Germán Minaya Lazarte

Cod: A01450125

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Solucionario:

Exercise #1:

a) R [P] = 30% [14%] +70%[20%] >> 18.2%

b) 30%^2 [3%^2] + 70%^2 [6%^2] +2[ 30%] [70%] 1 [3%] [6%]

[¿]
COR = +1 ͢ σ [P] = √¿
σ [P] = 5.1%

COR = 0 ͢ σ [P] = √[30%^2 [3%^2] +70%^2 [6%^2] +2[30%][70%] 0 [3%][6%]]

σ [P] = 4.3%

COR = -1 ͢ σ [P] = √[30%^2 [3%^2] +70%^2 [6%^2] +2[30%][70%][-1][3%][6%]]

σ [P] = 3.3%

c) Cuando se evalúa la desviación en los distintos puntos de correlación se evidencia que

el riesgo de la inversión se reduce al decrecer la correlación, por lo que la cartera
determinada por R[P] presenta el menor riesgo con el valor estimado COR (A,B)=-1

Exercise #2:

R [P] = [66.7%[14%] + [1-66.7%][20%]

R [P] = 15.98%

66.7^2[3%^2] +33.3%^2[6%^2] +2[66.7%] [33.3%] 1 [3%] [6%]

[¿]

COR = +1 ͢ σ [P] = √¿

σ [P] = 3.99%

COR = 0 ͢ σ [P] = √[66.7%^2 [3%^2] +33.3%^2[6%^2] +2[66.7%] [33.3%] 0[3%] [6%]]

σ [P] = 2.83%

COR = -1 ͢ σ [P] = √[66.7%^2 [3%^2] +33.3%^2[6%^2] +2[66.7%] [33.3%] [-1][3%] [6%]]

En base a los resultados se puede apreciar que ante mayor correlación se incrementa el riesgo
de la cartera y cuando disminuye la correlación se reduce el riesgo, dando como resultado un
mínimo cuando COR (A,B] =-1
Exercise #3:

a) x = VAR [B] -COR [A,B] σ [A] σ[B]

VAR [A] + VAR [B] -2COR[A,B] σ[A] σ[B]

x = 6X^2 –[[-1] [3%] [6%]]

3%^2 +6%^2-2[-1][3%] [6%]

x = 66.7% ͢ A
[1-x] =1 – 66.7% =33.3 ͢ B

b) VAR [P] = [xσ [A] + [1-x] σ [B]]

VAR [P] = [66.7%[3%] + [1-66.7%][6%]]

VAR [P] = 0

c) R [P] = xR [A] + [1-x] R[B]

R [P] = [66.7%[14%] + [1-66.7%][20%]

R [P] = 15.98%