NOMBRES:

Emma Pichillá
Rubí Regalado
Andrea Sacalxot
Arnoldo Tubac
Carlos Garzo
Rosario Gómez

1. Encuentre la frontera eficiente del portafolio de 3 activos.

2
Fecha XLF XLE XLV Portafolio XLF
5/1/2004 1.71% -6.75% 4.72% 1.88% XLE
6/1/2004 1.58% -0.89% 0.12% 0.09% XLV
7/1/2004 3.19% 13.22% 2.57% 4.93%
4 Portafolio
8/1/2004 6.80% 13.82% 3.53% 6.14%
9/1/2004 -6.23% -2.19% -3.10% -3.30% Correlaciones
10/1/2004 4.21% 2.03% 4.26% 3.78%
11/1/2004 -6.27% 1.87% -3.02% -2.38% XLF
12/1/2004 -4.49% 1.10% -4.59% -3.36% XLE
1/1/2005 -5.71% -5.16% -1.38% -2.73% XLV
2/1/2005 14.46% -1.49% 4.93% 4.75%
3/1/2005 -4.49% -0.21% 1.16% 0.15% 1 Proporciones
4/1/2005 -2.40% 0.71% 8.66% 5.57% w(XLF)
5/1/2005 -3.07% 0.83% -2.56% -1.90% 0.13% 13%
6/1/2005 -11.29% -4.33% -6.79% -6.83%
7/1/2005 16.42% 11.39% 8.61% 10.19%
8/1/2005 0.97% -1.51% -1.18% -0.98% Mínima Varianza (con solver)
6
9/1/2005 2.19% 11.14% -2.69% 0.89% Retorno
10/1/2005 -4.97% -5.69% 0.18% -1.72% 0.42%
11/1/2005 8.43% -3.87% -1.48% -0.75%
12/1/2005 9.69% 10.36% 3.48% 5.73%
1/1/2006 2.12% 1.64% -3.70% -1.83%
2/1/2006 -0.85% -2.79% 1.52% 0.30%
7 solver
3/1/2006 -5.22% -5.38% -9.57% -8.13%
4/1/2006 8.11% 9.72% 1.85% 4.32% Retorno
5/1/2006 -0.24% -3.23% 6.95% 3.87% 0.05%
6/1/2006 -6.98% -1.22% -1.91% -2.40% 0.10%
7/1/2006 -3.02% -3.05% -6.64% -5.42% 0.20%
8/1/2006 3.53% 9.84% 7.13% 7.26% 0.30%
9/1/2006 4.31% -0.95% 3.77% 2.82% 0.40%
10/1/2006 -0.73% -9.54% -1.17% -2.91% 0.50%
11/1/2006 -0.94% -1.17% -2.00% -1.69% 0.60%
12/1/2006 -6.82% -4.31% -5.22% -5.23% 0.70%
1/1/2007 -5.81% -10.11% -15.62% -13.21% 0.80%
 2/1/2007 -1.41% 3.95% 0.51% 1.00% 0.90%
3/1/2007 6.29% -5.74% 10.97% 6.80% 1.00%
4/1/2007 1.46% 5.13% 2.23% 2.76% 1.10%
5/1/2007 -1.15% -3.63% -0.77% -1.43%
6/1/2007 -1.75% 3.39% 4.51% 3.48%
Frontera Efici
7/1/2007 6.43% 8.47% 5.64% 6.35%
8/1/2007 -2.57% -3.65% -0.62% -1.52% 1.20%

9/1/2007 -0.30% -1.78% 1.39% 0.50%

1.00%
10/1/2007 -4.37% -3.74% -7.42% -6.24%
11/1/2007 -8.70% -14.93% -2.93% -6.23% 0.80%
12/1/2007 1.87% 1.48% 0.96% 1.19%
1/1/2008 -12.22% -7.37% -6.42% -7.35% 0.60%
2/1/2008 8.75% 1.82% 5.70% 5.25%
3/1/2008 3.67% 4.02% 3.04% 3.33% 0.40%
4/1/2008 -5.66% 0.05% -3.85% -3.24%
0.20%
5/1/2008 -1.30% -2.53% -0.32% -0.92%
6/1/2008 -3.13% 2.87% -2.26% -1.27%
0.00%
7/1/2008 -0.92% 0.14% 3.51% 2.23% 0.00% 0.50% 1.00%
8/1/2008 11.82% -0.86% 3.23% 3.44%
9/1/2008 4.99% 10.09% 2.04% 4.13%
10/1/2008 0.41% -1.27% 4.32% 2.63%
11/1/2008 4.25% -3.60% -1.50% -1.23%
12/1/2008 -1.19% 6.17% -3.77% -1.31%
1/1/2009 0.88% -2.09% 0.27% -0.16%
2/1/2009 6.71% 0.96% 0.65% 1.48%
3/1/2009 -0.37% 0.78% 2.15% 1.54%
4/1/2009 4.44% 12.30% 5.61% 6.90%
5/1/2009 3.22% 2.23% 2.71% 2.67%
6/1/2009 2.79% 5.13% 1.06% 2.15%
7/1/2009 -1.16% -0.64% -4.26% -3.09%
8/1/2009 -4.46% 1.70% 3.07% 1.83%
9/1/2009 1.71% -0.32% -0.31% -0.06%
10/1/2009 0.42% 6.05% -0.38% 1.10%
11/1/2009 -2.14% 3.04% -5.50% -3.25%
12/1/2009 3.21% -1.56% 1.59% 1.12%
1/1/2010 -0.96% 9.32% -1.78% 0.70%
2/1/2010 0.54% 0.59% -2.22% -1.27%
3/1/2010 3.05% 6.53% 1.93% 3.05%
4/1/2010 4.07% -2.87% 5.36% 3.43%
5/1/2010 -2.20% 3.34% -3.14% -1.64%
6/1/2010 -0.66% 15.51% 2.97% 5.20%
7/1/2010 -3.88% -1.91% -0.56% -1.27%
8/1/2010 0.19% -5.57% 3.41% 1.08%
9/1/2010 2.88% 2.74% 1.24% 1.77%
10/1/2010 1.25% 6.75% -0.54% 1.25%
11/1/2010 1.56% 6.85% 2.26% 3.15%
12/1/2010 -1.67% 6.20% -0.36% 0.88%
1/1/2011 0.87% 6.09% -0.56% 1.04%
2/1/2011 2.99% -9.48% -3.10% -3.70%
3/1/2011 4.67% 1.48% 1.19% 1.69%
4/1/2011 0.00% 1.79% 3.42% 2.64%
5/1/2011 0.90% 13.64% 1.27% 3.87%
6/1/2011 2.10% -9.67% 1.15% -1.04%
7/1/2011 0.29% 4.16% -1.28% 0.08%
8/1/2011 4.22% 4.90% -3.15% -0.50%
9/1/2011 -3.84% -2.83% -2.12% -2.49%
10/1/2011 -0.45% 2.14% 0.03% 0.43%
11/1/2011 2.25% 3.29% 5.34% 4.51%
12/1/2011 1.17% -5.21% 2.80% 0.88%
1/1/2012 3.97% -3.74% 1.53% 0.71%
2/1/2012 2.29% 4.19% 0.34% 1.41%
3/1/2012 0.70% 8.23% -0.12% 1.77%
4/1/2012 2.94% -3.16% 0.68% 0.14%
5/1/2012 0.90% -0.92% 3.02% 1.91%
6/1/2012 -2.97% -1.98% -2.35% -2.35%
7/1/2012 -0.58% 6.01% 0.18% 1.34%
8/1/2012 3.78% 4.99% 7.06% 6.21%
9/1/2012 2.39% 7.50% 1.68% 3.02%
10/1/2012 -4.09% 1.28% -3.40% -2.48%
11/1/2012 -9.53% 0.01% -4.87% -4.41%
12/1/2012 2.57% 1.21% 2.27% 2.08%
1/1/2013 2.39% 7.14% 3.05% 3.85%
2/1/2013 -1.72% 2.50% 1.85% 1.54%
3/1/2013 -8.44% -4.30% 1.29% -1.13%
4/1/2013 -6.00% 7.95% -2.87% -0.95%
5/1/2013 0.70% -13.10% -4.68% -5.81%
6/1/2013 -12.04% 8.86% -2.70% -1.40%
7/1/2013 -3.00% -2.37% -4.63% -3.94%
8/1/2013 6.78% 9.88% 0.96% 3.60%
9/1/2013 -7.23% 5.07% 1.90% 1.43%
10/1/2013 -19.17% 3.11% -4.32% -4.59%
11/1/2016 6.54% -17.33% 4.38% 0.00%
12/1/2016 -6.99% 1.00% 2.41% 0.93%
Emma Pichillá 2047419
Rubí Regalado 1172514
Andrea Sacalxot 1023311
Arnoldo Tubac 2075419
Carlos Garzo 2098819
Rosario Gómez 1146614

3
Retorno Riesgo Perform
0.02% 5.29% 0.38%
1.12% 6.05% 18.48%
0.27% 3.93% 6.98%
0.42% 0.13%

Correlaciones
XLF XLE XLV 5
1
0.242878963 1 Matriz Varianza Covarianza (incluye proporciones)
0.579618109 0.27459417 1

Proporciones
w(XLE) w(XLV) Total 1X3
21% 66% 100% Matriz Varianza-Covarianza 3X3
XLF XLE XLV
XLF 0.0027950723 0.0007769049 0.001205812
Mínima Varianza (con solver) XLE 0.0007769049 0.0036606893 0.000653753
Riesgo XLV 0.0012058122 0.0006537534 0.001548397
0.13%
0.33333333 0.3333333333 0.3333333333 1X3

Varianza Riesgo
0.131%
7 solver
1X1
Riesgo XLF XLE XLV
Iván Alejandro Higueros:
0.22% 78% -3% 25%
PARA CADA RETORNO ESPECIFICADO LLENAR LOS CORRESPONDIENTES
0.19% 62% -2% 40% RIESGOS Y PROPORCIONES (W) DE LAS ACCIONES.
0.15% 24% -2% 78%
0.17% -13% -1% 114%
0.24% -50% 0% 151%
0.37% -89% 0% 190%
0.56% -129% 0% 229%
0.82% -168% 0% 268%
1.13% -207% 0% 307%
 1.50% -246% 0% 347%
0.20% 68% 0% 33%
2.41% -324% 0% 425%

Frontera Eficiente de activos múltiples

1.20%

1.00%

0.80%

0.60%

0.40%

0.20%

0.00%
0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00%
 3X1
13%
21%
66%

R LOS CORRESPONDIENTES
IONES.