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Portafolio Diplomado
Portafolio Diplomado
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COVARIANZA
AMAZON APPLE ALIBABA MICROSOFT NESTLE WALMART
0.00031606 0.00027264 0.00023197 0.00028452 9.66823E-05 0.0001453
0.00027264 0.00051902 0.00032541 0.00039586 0.00013811 0.00018553
0.00023197 0.00032541 0.00042122 0.00027805 7.84312E-05 0.00011133
0.00028452 0.00039586 0.00027805 0.00045368 0.00016215 0.00020966
9.66823E-05 0.00013811 7.84312E-05 0.00016215 0.00015711 0.00010209
0.0001453 0.00018553 0.00011133 0.00020966 0.00010209 0.00023128
EMPRESA Wi R. DIARIA BETA R PORTAFOLIO
AMAZON 0% 0.066% 0.0372774339
APPLE 60% 0.149% 0.0555859386 VARIANZA PORTAFOLIO
ALIBABA 8% 0.092% 0.1204333882
MICROSOFT 24% 0.119% 0.0305861252 DESVEST (SD)
NESTLE 1% 0.079% -0.0258559793
WALMART 7% 0.089% 0.0190980776 TLR
SUMA Wi 100% BETA P 5.19380E-02
3 I SHARPÉ
PORTAFOLIO DE
MARKOWITZ
AMAZON(100%)APPLE(0%)
AMAZON(70%)APPLE(13%)
AMAZON(40%)APPLE(25%)
AMAZON(11%)APPLE(38%)
AMAZON(0%)APPLE(60%)A
AMAZON(0%)APPLE(100%)
MINIMA VAR
0.67813676997069
82.349%
1.18%
-0.0127577987998
FACTOR 0.00016721702
DESVIACION RENDIMIENTO BETA DEL
INDICE SHARPÉ
ESTANDAR ESPERADO PORTAFOLIO
100.000% 0.06575378%
94.764% 0.08247549%
89.186% 0.09919719%
83.273% 0.11591889%
82.35% 0.13264059%
82.045% 0.14936230%
VAR PARAMETRICO
F 1.64485
S $ 2,000,000
O 2.282%
t 1
VaR $ 4,728.925
VAR PARAMETRICO
F 2.32635
S $ 2,000,000
O 2.282%
t 1
VaR $ 6,688.208
APPLE APPLE
VaR 99% -0.08524711 VaR $$$ -85247110 VaR TOTAL
-$ 85,247,110
AMAZON APPLE ALIBABA MICROSOFT
VaR 95% -0.02720695373 -0.03062090259 -0.03678067001 -0.030538930548
AMAZON
RENDIMIENTO
GANANCIA/PERDIDAS PRECIO SIMULADO
SIMULADO
APPLE
RENDIMIENTO
GANANCIA/PERDIDAS PRECIO SIMULADO GANANCIA/PERDIDAS
SIMULADO
ALIBABA MICROSOFT
RENDIMIENTO
PRECIO SIMULADO GANANCIA/PERDIDAS PRECIO SIMULADO
SIMULADO
2.32635
300,000,000,000
1.660%
1
$ 729,730,453
0.94
1.075%
-7,500,300,228
2.52
8