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TALLER GESTIN DE RIESGOS - FRONTERA EFICIE
INTEGRANTES:HERRERA MARILYN
LLAULLI ADRIN
DATOS INICIALES
Portafolio
"aria#le
Retorno Esperado (Ri) 3.00% 15.00%
Desviacin Estndar (i) 0% 8.00%
Correlacin Activo 1 ! ("1!) 0
DATOS CALCULADOS
Portafolio
"aria#le
Retorno Esperado (Ri) 3.00% 15.00%
Desviacin Estndar (i) 0% 0.08
#arian$a 0.00&
Correlacin Activo 1 ! ("1!) 0
A$ %$
0.0% 100.0%
5.0% '5.0%10.0% '0.0%15.0% 85.0%!0.0% 80.0%
A&ti'o Li#re (eRie!o )Rf*
Sto&+ A%C)*
A&ti'o Li#re (eRie!o )Rf*
Sto&+ A%C)*
*+,A -+ C/RREAC+ a2rontera eciente se o4tiene dediversicar
nestro porta2olioinvirtiendo n 5% en -*/C6 A7C n '5% en 7/D 9:;
parao4tener n rendio del 1='&%.
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!5.0% ?5.0%30.0% ?0.0%35.0% 5.0%&0.0% 0.0%&5.0%
55.0%
+#ER-+ ++C+A 50.0% 50.0%55.0% &5.0%0.0% &0.0%5.0%
35.0%
?0.0% 30.0%?5.0% !5.0%80.0% !0.0%85.0% 15.0%'0.0% 10.0%'5.0%
5.0%
100.0% 0.0%
*+,A R+,A nadiversicacin
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CONCLUSIN: U,a 'e. reali.ala &artera 40ti2a5 &o, 1,
i,ter9 %OND e e,&1e,tra i,'iertie
e!1,(a5 &o, 1, re,(i2ie,t
0.01 0.0! 0.03 0.00%
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TE
Rie!oo
5.00%
!.00%
Rie!oo
5.00%
0.0!
0.000&
"ARIAN=A RIESGO
5.00% 0.0&00% 0.0!
5.50% 0.03??% 0.01'&15 1.'&%.00% 0.0388% 0.01''??.50%
0.0&33% 0.0!0808??.00% 0.051!% 0.0!!!?&
%o,( >Y=)#*
%o,( >Y=)#*
RENDIMIENTOESPERADO ?5@
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?.50% 0.0!5% 0.0!5 !.50%8.00% 0.0??!% 0.0!??8&'8.50% 0.0'53%
0.0308?0?'.00% 0.118% 0.03&1?'.50% 0.1&1?% 0.03?&31
10.00% 0.1?00% 0.0&1!311 &.1!%10.50% 0.!01?%
0.0&&'1111.00% 0.!38% 0.0&8!111.50% 0.!?53%
0.05!&'
1!.00% 0.31?!% 0.053!051!.50% 0.3!5% 0.00!0813.00% 0.&11!%
0.0&1!&'13.50% 0.&33% 0.08011&.00% 0.5188%
0.0?!0!?81&.50% 0.5???% 0.0?0015.00% 0.&00% 0.08
0%
- %o,(
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o el a,/lii e 01e(e (eter2i,ar 31e6 li#re (e rie!o (el 7$5 e,tre
STOC8(o e, la 0ri2era el ;$ 9 el
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1 B0001B B0001B! B000!B 3 B0003B & B000&B 5 B0005B
B000B
? B000?B 8 B0008B '
1011 B0007B 1! B000CB 13 B000DB 1& B000EB 15 B000B 1
B0010B
1? B0011B 18 B001!B 1' B0013B !0 B001&B !1 B0015B !! B001B
!3 B001?B !& B0018B !5 B001'B ! B001AB !? B0017B !8 B001CB !'
B001DB 30 B001EB 31 B001B 3!33 3& F F35 G G3 H H3? % %38 I I3'
J J&0 ( (&1 ) )&! K K&3 L L&& = =&5 M
M
& . .&? N N&8 0 0
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&' 1 150 ! !51 3 35! & &53 5 55&
55 ? ?5 8 85? ' '58 5' ; ;0 O O1 P P! Q Q3 & S S
5 A A 7 7? C C8 D D' E E?0 ?1 T T?! U U?3 + +?& V V?5 6 6 ?
?? , ,?8 ?' / /80 81 W W8! R R83 - -8& * *85 X X8 # #8? Y Y88
8' 9 9'0 : :'1 Z Z'! [ ['3 \ \
'& ] ]'5 B B ' ^ ^
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'? a a'8 4 4'' c c
100 d d101 e e10! 2 2
103 > >10& _ _105 i i10 10? ` `108 l l10'
