Precios de los activos

𝑅𝐸(𝑃)=𝑤×𝑟^𝑡
Periodo PA PB PC PD PE PF donde
1 $31.46 $49.72 $109.13 $51.29 $39.32 $41.00 𝑟=[𝑅 ̅_1 𝑅 ̅_2 ⋯
2 $32.06 $49.65 $109.91 $52.25 $39.32 $40.81 𝑤=[𝑤_1 𝑤_2 ⋯
3 $31.86 $49.04 $110.66 $52.68 $39.38 $43.22
4 $31.87 $49.90 $111.48 $54.25 $39.11 $43.52
5 $31.60 $49.68 $112.55 $53.88 $39.25 $43.95
𝑅𝐼(𝑃)=√(𝑤×𝑠×𝑤
6 $31.70 $49.70 $114.19 $54.15 $39.38 $44.27 donde
7 $31.96 $49.88 $112.75 $54.16 $39.61 $44.77 𝑤=[𝑤_1 𝑤_2 ⋯
8 $31.99 $49.02 $111.48 $54.66 $39.69 $44.72 𝑠=[■8(𝜎_1^2&𝜎
&𝜎_1𝑛@𝜎_21&𝜎
9 $31.54 $49.34 $108.91 $54.97 $39.95 $45.06 &𝜎_2𝑛@⋮&⋮&⋱&⋮
10 $31.87 $51.18 $109.12 $55.61 $39.68 $44.22 &𝜎_𝑛^2 )]
11 $31.84 $51.02 $108.80 $55.68 $39.88 $44.93
12 $32.04 $51.23 $104.63 $55.72 $39.45 $44.70

Rendimientos
Periodo RA RB RC RD RE RF
1_2
2_3
3_4
4_5
5_6
6_7
7_8
8_9
9_10
10_11
11_12

Rendimiento esperado y riesgo individual

A B C D E F
Rend
Riesgo
Proporciones invertidas
A B C D E F TOTAL
w 0%
Matriz de varianza-covarianza
A B C D E F
A
B
C
D
E
F
(P) mínimo riesgo
RE(P) 0.0000% =SUMAPRODUCTO(C38:H38;C34:H34)
Var(P) =MMULT(C38:H38;MMULT(C41:H46;TRANSPONER(C38:H38)))
RI(P)
𝑅𝐸(𝑃)=𝑤×𝑟^𝑡
donde
𝑟=[𝑅 ̅_1 𝑅 ̅_2 ⋯ 𝑅 ̅_𝑛 ]
𝑤=[𝑤_1 𝑤_2 ⋯ 𝑤_𝑛 ]

𝑅𝐼(𝑃)=√(𝑤×𝑠×𝑤^𝑡 )
donde
𝑤=[𝑤_1 𝑤_2 ⋯ 𝑤_𝑛 ]
𝑠=[■8(𝜎_1^2&𝜎_12&⋯
&𝜎_1𝑛@𝜎_21&𝜎_2^2&⋯
&𝜎_2𝑛@⋮&⋮&⋱&⋮@𝜎_𝑛1&𝜎_𝑛2&⋯
&𝜎_𝑛^2 )]

=+PROMEDIO(C20:C30)
=+DESVEST.M(C20:C30)

SOLVER
R(C38:H38))) ctrl + shift + enter