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Manual APP Parte 8
Manual APP Parte 8
k Pk
k%
100 k %
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Pk 1 Pk
k
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Pk Li 100 A
fi
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n
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a
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x f
u F x F
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f xk
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x1, x2 ,, xn n
n
n
1,64 1,64
m m
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m m
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m
124,07 4,63
ECRIN
ECRIN
I 0 m T max (1 0 ) j 1 (1 j ,ik ), 0
ik i
m k 1 i 1 (1 r )ik
j,i k
ECRIN
j,i k
zt , t 0
Z t Z t
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Yt Yt t
Yt Yt t t 0 T
EYT Y0eT Y0 T 0
dYt
dt t t
Yt
t
2
d ( Ln(Yt )) dt dzt
2
Y 2
Ln(YT ) Ln(Yt ) Ln T N T t , 2 (T t )
Yt 2
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rt Ln t
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rt Ln(Yt ) Ln(Yt 1 ) E rt V rt 2
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n
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r t 1 t
n
sr (ri r )2
(n 1) i 1
s r 2 r sr
r ˆ
2 2
dYt
dt dzt dt t dt
Yt 1
dYt Yt 1dt Yt 1dzt
Yt Yt 1 Yt 1dt Yt 1dt Yt 1 t dt
Yt (1 dt )Yt 1 ( dt )Yt 1 t t iid N (0,1)
2
Ln(Yt ) Ln(Y0 )
t zt
2
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Yt Y0e Y0e
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PIB
j j
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Ln t Ln (1 j ) Ln(Yt ) Ln(Y0 ) Ln(1 j )
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Ln
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Ln(Yt ) Ln(Y0 ) Ln(e 2
k
k
k
k
PPD Inv
PPDOMC
OMC
E ( Rp ) E ( R f ) ( Rm E ( R f )) PRP
PRP E(R f )
Rm
Rm
PRP
a e
W
e a 1 (1 t) d
We
t We
Wd
PRP
PRP
Wd We
t
Wd
e a [1 (1 t )
We
0.60
e 0.90 [1 (1 0.25) 0.90 [1 0.75 1.50] 0.90 2.125 1.9125
0.40
E ( Rp ) 5.8% 1.91 (10.4% 5.8%) 1% 15.31%
(1 i) (1 r ) (1 )
(1 i)
r 1
(1 )
r
i
(1 i) (1 0.0855)
r 1 1 5.39%
(1 ) (1 0.03)