C= pij=

STD DEV
E(R1) 14% 6% Correlation 1
E(R2) 8% 3% 1 1
E(R3) 20% 15% 2
3
rf 2%

E(R1)-rf 12% Vector Z solves E( R) - rf = S.Z <=> Z = S(inverse).[E(R ) - rf]

E(R2)-rf 6%
E(R3)-rf 18%

Z´s X(i) E(Rp) VARIANCE PF

22.222222 0.35
38.095238 0.6 0.107 0.00137025
3.1746032 0.05
SUM 63.492063
 S=

2 3 Covarianza 1 2 3
0.5 0.2 1 0.0036 0.0009 0.0018
1 0.4 2 0.0009 0.0009 0.0018
1 3 0.0018 0.0018 0.0225

S(inverse).[E(R ) - rf]

STD DEV

0.037017
 Variance Covariance Matrix E(Ri)
0.10 0.03 - 0.08 0.05 8%
0.03 0.20 0.02 0.03 9%
- 0.08 0.02 0.30 0.20 10%
0.05 0.03 0.20 0.90 11%

Constant 3%

Z`s Xi E(Rp)
0.92981755 62.19%
0.12023873 8.04% 8.62%
0.52957467 35.42%
-0.08445886 -5.65%
1.49517209

Theta(lamda en apuntes) 0.28985983

Variance STD DEV

0.03758319 0.19386386
 Variance Covariance Matrix E(Ri)
0.10 0.03 - 0.08 0.05 8%
0.03 0.20 0.02 0.03 9%
- 0.08 0.02 0.30 0.20 10%
0.05 0.03 0.20 0.90 11%

Constant 3%

Z`s Xi E(Rp)
0.92981755 58.56%
0.12023873 9.66% 8.73%
0.52957467 31.79%
-0.08445886 0.00%
1.49517209 100.00%

Theta(lamda en apuntes) 0.28205074

Variance STD DEV

0.04130498 0.20323627