TEORIA DE PORTAFOLIOS DE INVERSION

PRECIOS POR ACCION

Date IBM DISNEY RACE
PROBABILIDADES
OCURRENCIA
12/1/2019 129.207504 143.768646 164.380569
11/1/2019 128.089859 150.677261 167.091461 1/23
10/1/2019 127.403915 129.146255 158.998535 1/23
9/1/2019 138.540909 129.543869 153.010773 1/23
8/1/2019 127.615112 136.442535 156.645142 1/23
7/1/2019 139.58287 141.28334 159.951828 1/23
6/1/2019 129.84671 137.954025 160.289444 1/23
5/1/2019 118.170158 130.445786 142.018311 1/23
4/1/2019 130.527832 135.316269 134.080994 1/23
3/1/2019 131.300186 109.689461 131.882935 1/23
2/1/2019 127.056107 111.477608 126.42231 1/23
1/1/2019 123.643517 110.173546 124.49041 1/23
12/1/2018 104.557053 107.49234 98.015244 1/23
11/1/2018 112.869713 113.217415 108.029671 1/23
10/1/2018 104.840683 112.570404 115.432076 1/23
9/1/2018 137.338303 114.638885 134.948395 1/23
8/1/2018 131.620193 109.815689 129.211761 1/23
7/1/2018 130.227463 110.43766 130.719849 1/23
6/1/2018 125.528008 101.928246 133.075607 1/23
5/1/2018 125.580627 96.735069 129.468048 1/23
4/1/2018 128.824371 97.571426 120.222443 1/23
3/1/2018 136.351547 97.678398 118.105705 1/23
2/1/2018 137.134232 100.323616 121.721786 1/23
1/1/2018 144.060028 105.682114 117.10614 1/23
RETORNOS

Portafolio de Partes Iguales

 Portafolio de Partes Iguales

33% 33%

33%

1 2 3

RIESGO DEL PORTAFOLIO

IBM DISNEY RACE
IBM 0.076% 0.014% 0.042%
DISNEY 0.014% 0.052% 0.013%
RACE 0.042% 0.013% 0.067%

Portafolio de Minimo Riesgo

19%
28%

53%

1 2 3
 53%

1 2 3

RIESGO DEL PORTAFOLIO

IBM DISNEY RACE
IBM 0.024% 0.013% 0.020%
DISNEY 0.013% 0.131% 0.018%
RACE 0.020% 0.018% 0.048%

Portafolio de Maximo Rendimiento

47%
53%

1 2 3

RIESGO DEL PORTAFOLIO

IBM DISNEY RACE
IBM 0.000% 0.000% 0.000%
DISNEY 0.000% 0.133% 0.029%
RACE 0.000% 0.029% 0.131%
INVERSION
VARIANZA DE RACE
RETORNOS ESPERADOS MENSUALES Diferencias
PROBABILIDADES
OCURRENCIA
RACE con el
IBM DISNEY RACE promedio
0.87% -4.59% -1.62% 1/23 -1.62% -3.39%
0.54% 16.67% 5.09% 1/23 5.09% 3.32%
-8.04% -0.31% 3.91% 1/23 3.91% 2.14%
8.56% -5.06% -2.32% 1/23 -2.32% -4.09%
-8.57% -3.43% -2.07% 1/23 -2.07% -3.84%
7.50% 2.41% -0.21% 1/23 -0.21% -1.98%
9.88% 5.76% 12.87% 1/23 12.87% 11.09%
-9.47% -3.60% 5.92% 1/23 5.92% 4.15%
-0.59% 23.36% 1.67% 1/23 1.67% -0.10%
3.34% -1.60% 4.32% 1/23 4.32% 2.55%
2.76% 1.18% 1.55% 1/23 1.55% -0.22%
18.25% 2.49% 27.01% 1/23 27.01% 25.24%
-7.36% -5.06% -9.27% 1/23 -9.27% -11.04%
7.66% 0.57% -6.41% 1/23 -6.41% -8.18%
-23.66% -1.80% -14.46% 1/23 -14.46% -16.23%
4.34% 4.39% 4.44% 1/23 4.44% 2.67%
1.07% -0.56% -1.15% 1/23 -1.15% -2.92%
3.74% 8.35% -1.77% 1/23 -1.77% -3.54%
-0.04% 5.37% 2.79% 1/23 2.79% 1.02%
-2.52% -0.86% 7.69% 1/23 7.69% 5.92%
-5.52% -0.11% 1.79% 1/23 1.79% 0.02%
-0.57% -2.64% -2.97% 1/23 -2.97% -4.74%
-4.81% -5.07% 3.94% 1/23 3.94% 2.17%
-0.11% 1.56% 1.77% PROMEDIO 1.77%
0.685% 0.445% 0.579% VARIANZA
8.28% 6.67% 7.61% DESVIACION ESTÁNDAR

COVARIANZA
IBM DISNEY RACE
IBM 0.68%
DISNEY 0.13% 0.46%
RACE 0.38% 0.12% 0.60%

CORRELACION
IBM DISNEY RACE
IBM 1
DISNEY 0.23032724 1
RACE 0.59389502 0.22187371064 1

1) RETORNO ESPERADO DEL PORTAFOLIO DE PARTES IGUALES

RW*R+W*R+W*R

RETORNO ESPERADO DEL PORTAFOLIO DE PARTES IGUALES

P(33% IBM; 33% DISNEY; 33% RACE) 1.072%

DESVIACION ESTANDAR DEL PORTAFOLIO DE PARTES IGUALES

P(33% IBM; 33% DISNEY; 33% RACE) 5.786%

DESEMPEÑO DEL PORTAFOLIO DE PARTES IGUALES

P(33% IBM; 33% DISNEY; 33% RACE) 0.185

PORTAFOLIO DE 3 ACTIVOS
WA= 33.33% IBM
WB= 33.33% DISNEY
WC= 33.33% RACE
100.00% W * W * COV (X,Y)
X Y

W *W *covarianza(IBM,DIS)
IBM DIS

2) PORTAFOLIO DE MINIMA VARIANZA

RW*R+W*R+W*R

RETORNO DEL PORTAFOLIO DE MINIMA VARIANZA

P(33% IBM; 33% DISNEY; 33% RACE) 1.308%

DESVIACION ESTANDAR DEL PORTAFOLIO DE MINIMA VARIANZA

P(33% IBM; 33% DISNEY; 33% RACE) 5.517%

DESEMPEÑO DEL PORTAFOLIO DE MINIMA VARIANZA

P(33% IBM; 33% DISNEY; 33% RACE) 0.237

PORTAFOLIO DE 3 ACTIVOS
WA= 18.59% IBM
WB= 53.14% DIS
WC= 28.26% RACE
100.00% W * W * COV (X,Y)
X Y

W *W *covarianza(IBM,DIS)
IBM DIS

3) PORTAFOLIO DE MAXIMO DESEMPEÑO

RW*R+W*R+W*R

RETORNO DEL PORTAFOLIO DE MAXIMO DESEMPEÑO

P(33% IBM; 33% DISNEY; 33% RACE) 1.657%

DESVIACION ESTANDAR DEL PORTAFOLIO DE MAXIMO DESEMPEÑO

P(33% IBM; 33% DISNEY; 33% RACE) 5.671%

PORTAFOLIO DE MAXIMO DESEMPEÑO

P(33% IBM; 33% DISNEY; 33% RACE) 0.292

PORTAFOLIO DE 3 ACTIVOS
WA= 0.00% IBM
WB= 53.42% DISNEY
WC= 46.48% RACE
100.00% W * W * COV (X,Y)
X Y

W *W *covarianza(IBM,DIS)
IBM DIS
ZA DE RACE COVARIANZA IBM D
Cuadrado RETORNOS ESPERADOS
de las Cuadrados*
diferencias prob. PROB. OCURRENCIA IBM DIS
0.12% 0.005% 1/23 0.87% -4.59%
0.11% 0.0048% 1/23 0.54% 16.67%
0.05% 0.0020% 1/23 -8.04% -0.31%
0.17% 0.0073% 1/23 8.56% -5.06%
0.15% 0.0064% 1/23 -8.57% -3.43%
0.04% 0.0017% 1/23 7.50% 2.41%
1.23% 0.0535% 1/23 9.88% 5.76%
0.17% 0.0075% 1/23 -9.47% -3.60%
0.00% 0.0000% 1/23 -0.59% 23.36%
0.06% 0.0028% 1/23 3.34% -1.60%
0.00% 0.0000% 1/23 2.76% 1.18%
6.37% 0.2770% 1/23 18.25% 2.49%
1.22% 0.0530% 1/23 -7.36% -5.06%
0.67% 0.0291% 1/23 7.66% 0.57%
2.64% 0.1146% 1/23 -23.66% -1.80%
0.07% 0.0031% 1/23 4.34% 4.39%
0.09% 0.0037% 1/23 1.07% -0.56%
0.13% 0.0055% 1/23 3.74% 8.35%
0.01% 0.0004% 1/23 -0.04% 5.37%
0.35% 0.0152% 1/23 -2.52% -0.86%
0.00% 0.0000% 1/23 -5.52% -0.11%
0.22% 0.0098% 1/23 -0.57% -2.64%
0.05% 0.0020% 1/23 -4.81% -5.07%
0.60% VARIANZA -0.11% 2.95%
IBM,DIS)
IBM,DIS)

IBM,DIS)
COVARIANZA IBM DIS
A B

IBM-Retorno Promedio DIS-Retorno Promedio A*B

0.99% -7.53% -0.07%
0.65% 13.72% 0.09% CORRELACION
-7.92% -3.25% 0.26% IBM,DIS
8.68% -8.00% -0.69%
-8.46% -6.37% 0.54% COVARIANZA
7.61% -0.53% -0.04% IBM,DIS
10.00% 2.81% 0.28%
-9.35% -6.55% 0.61% DESVIACION ESTÁNDAR
-0.47% 20.42% -0.10% IBM
3.45% -4.55% -0.16% DIS
2.87% -1.76% -0.05%
18.37% -0.45% -0.08%
-7.25% -8.00% 0.58%
7.77% -2.37% -0.18%
-23.55% -4.75% 1.12%
4.46% 1.44% 0.06%
1.18% -3.51% -0.04%
3.86% 5.40% 0.21%
0.07% 2.42% 0.00%
-2.40% -3.80% 0.09%
-5.41% -3.06% 0.17%
-0.46% -5.58% 0.03%
-4.69% -8.02% 0.38%
0.13% COVARIANZA IBM;DIS
 0.23

0.13%

VIACION ESTÁNDAR
8.28%
6.82%