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SE PIDE:

HP INTEL MICROSOFT Ri HP Ri INTEL Ri MICROSOFT


77.4 36.27 62.14 0.0231328486 0.0452449568 0.0311981414
75.65 34.7 60.26 0.1987006814 -0.0048752509 0.0056742323
63.11 34.87 59.92 -0.0622585438 -0.0762913907 0.0402777778
67.3 37.75 57.6 0.1131326497 0.0518250209 0.0024364775
60.46 35.89 57.46 -0.024366629 0.0295467585 0.0137614679
61.97 34.86 56.68 -0.0768657828 0.062804878 0.1076802814
67.13 32.8 51.17 0.097792314 0.0383032605 -0.0345283019
61.15 31.59 53 -0.0751663642 0.0432628798 0.0627631843
66.12 30.28 49.87 0.1260217984 -0.0639876352 -0.0970487054
58.72 32.35 55.23 0.1085520106 0.093274755 0.085495283
52.97 29.59 50.88 0.0427165354 -0.0460992908 -0.076420403
50.8 31.02 55.09 -0.0513538749 -0.0995645864 -0.0070295602
53.55 34.45 55.48 -0.0806866953 -0.0092033362 0.0207911684
58.25 34.77 54.35 0.0351874889 0.0268753692 0.0324848024
56.27 33.86 52.64 0.190647482 0.1234240212 0.1893357433
47.26 30.14 44.26 -0.1991187934 0.0560616678 0.0170036765
59.01 28.54 43.52 0.0219951507 -0.0141623489 -0.0680942184
57.74 28.95 46.7 -0.1800624822 -0.0483234714 0.0577576444
70.42 30.42 44.15 -0.0352103028 -0.1172373767 -0.0578318395
72.99 34.46 46.86 -0.0638707195 0.0586789555 -0.0365953947
77.97 32.55 48.64 0.1454385192 0.0409338024 0.1962616822
68.07 31.27 40.66 0.0150611393 -0.0595488722 -0.0727480046
67.06 33.25 43.85 0.1259234385 0.0063559322 0.0853960396
59.56 33.04 40.4
PROMEDIO 0.0171887769 0.0059695086 0.0216530946

a) el riesgo y rendimiento de cada Activo Financiero


HP INTEL MICROSOFT
Rendimiento
esperado 1.72% 0.60% 2%
Varianza 0.0114323398 0.0037789386 0.0057725168
D Estandar 10.69% 6.15% 7.60%
D Estandar 10.69% 6.15% 7.60%

D) Determine el riesgo y rendimiento del portafolio


% de Inversion 20% 50% 30%
Rendimiento
esperado
Portafolio 1.29%

HP INTEL MICROSOFT
HP 0.0004572936 0.0001615861 8.178531244E-05
INTEL 0.0001615861 0.0009447346 0.0004118608
MICROSOFT 8.1785312E-05 0.0004118608 0.0005195265

VARIANZA DEL 0.0032320192


PORTAFOLIO

RIESGO DEL 6%
PORTAFOLIO
NASDAQ

VOLUMEN Rm Ri(HP)*Rm Ri(INTEL)*Rm Ri(MICROSOFT)*Rm


17248.70 -0.104563695 -0.002418856 -0.0047309799 -0.0032621929
19262.9 0.2056719389 0.0408671544 -0.0010027023 0.0011670304
15976.9 0.0784418284 -0.004883674 -0.0059844362 0.0031594625
14814.8 -0.1254338945 -0.014190669 -0.0065006142 -0.0003056169
16939.6 0.1554191392 -0.003787041 0.0045921318 0.0021387955
14661 -0.2347482044 0.0180441045 -0.0147433324 -0.0252777527
19158.4 0.1724990514 0.0168690814 0.0066072761 -0.0059560993
16339.8 -0.2465416113 0.0185316365 -0.0106661001 -0.0154737366
21686.4 -0.3499572861 -0.044102247 0.0223929392 0.0339629016
33361.5 0.2006931748 0.0217856476 0.0187196067 0.0171583198
27785.2 -0.0001799195 -7.68554E-06 8.29416319E-06 1.374952374883E-05
27790.2 0.1151586652 -0.005913844 -0.0114657249 -0.0008095148
24920.4 0.0594372149 -0.004795792 -0.0005470207 0.0012357691
23522.3 0.080074753 0.0028176295 0.0021520385 0.0026012125
21778.4 -0.034568361 -0.006590371 -0.0042665661 -0.0065450263
22558.2 -0.371278864 0.0739285994 -0.0208145123 -0.0063131057
35879.5 0.7132386296 0.0156877911 -0.0101011343 -0.048567427
20942.5 0.1272438571 -0.022911845 -0.0061488649 0.0073493055
18578.5 0.1642633779 -0.005783763 -0.0192578075 -0.0094996533
15957.3 -0.3131090947 0.0199985032 -0.0183729146 0.0114583509
23231.2 0.1112057131 0.0161735942 0.0045520727 0.0218254203
20906.3 0.2227050484 0.0033541918 -0.0132618345 -0.0162013479
17098.4 -0.2665251056 -0.033561758 -0.0016940155 -0.0227601885
23311.5
0.0156150589 0.0043091474 -0.0039362696 -0.002560928

B) El riesgo sistematico de cadad activo financiero utilizando el indicador


HP INTEL MICROSOFT

COVARIANZA 0.0040407436 -0.0040294838 -0.0028990424


VARIANZA 0.0587030769 0.0589575077 0.0589056197
BETA 0.0688335911 -0.0683455594 -0.0492150388

0.000700665
0.0015181816
0.0010131726
(Rm-Rm)ᶺ2 (Rm-Rm)ᶺ2 (Rm-Rm)ᶺ2
HP INTEL MICROSOFT
0.0118533 0.01012588 0.010404564
0.04054697 0.0439356 0.043360927
0.00549565 0.00678615 0.006561447
0.01683326 0.01476167 0.015097766
0.02283423 0.02539415 0.024957702
0.05714842 0.05327415 0.053910931
0.02828784 0.03112942 0.030645996
0.0629261 0.05885735 0.059526574
0.12550471 0.11973054 0.12068423
0.03856669 0.04187321 0.04131223
2.0152E-05 1.411E-05 5.669201E-06
0.01228762 0.0141836 0.013857903
0.0030391 0.0040162 0.00384377
0.00574043 0.00705785 0.006828656
0.00151146 0.00093833 0.001024476
0.14106635 0.13494058 0.135952916
0.50258101 0.51433984 0.512369007
0.01511294 0.01720823 0.016849282
0.02558536 0.02829112 0.027830349
0.10075434 0.09558784 0.096440164
0.01142688 0.01325768 0.012942849
0.04769677 0.05136629 0.05074476
0.07335119 0.0689529 0.069677087

1.35017077 1.35602268 1.354829254

ro utilizando el indicador MASDAQ


VOLUMEN
HP INTEL MICROSOFT VOLUMEN HP VOLUMEN INTEL Ri (HP)
MICROSOFT
77.4 36.27 62.14 37,068.8 405,906.2 513,579.7 0.02313285
75.65 34.7 60.26 43,656.6 412,448.1 613,056.8 0.19870068
63.11 34.87 59.92 32,445.9 471,649.9 614,841.8 -0.0622585
67.3 37.75 57.6 42,970.1 505,600.3 526,427.8 0.11313265
60.46 35.89 57.46 32,675.3 390,892.3 467,078.9 -0.0243666
61.97 34.86 56.68 32,433.9 530,528.9 647,587.8 -0.0768658
67.13 32.8 51.17 42,938.8 484,855.3 823,340.0 0.09779231
61.15 31.59 53 34,343.0 431,445.4 530,565.4 -0.0751664
66.12 30.28 49.87 43,831.7 515,786.8 698,390.0 0.1260218
58.72 32.35 55.23 52,296.4 471,958.2 641,110.9 0.10855201
52.97 29.59 50.88 53,579.1 526,508.8 814,770.9 0.04271654
50.8 31.02 55.09 62,514.1 614,859.0 926,833.1 -0.0513539
53.55 34.45 55.48 48,552.4 427,211.9 791,861.3 -0.0806867
58.25 34.77 54.35 41,666.8 459,871.4 662,626.6 0.03518749
56.27 33.86 52.64 55,889.6 703,183.2 856,488.6 0.19064748
47.26 30.14 44.26 67,456.2 680,884.1 673,079.9 -0.1991188
59.01 28.54 43.52 60,412.2 706,325.2 776,438.8 0.02199515
57.74 28.95 46.7 54,750.8 829,378.3 725,133.2 -0.1800625
70.42 30.42 44.15 32,915.7 701,712.6 664,806.4 -0.0352103
72.99 34.46 46.86 30,682.4 498,672.7 633,072.8 -0.0638707
77.97 32.55 48.64 46,869.2 568,144.2 874,535.3 0.14543852
68.07 31.27 40.66 52,323.0 910,690.8 824,335.3 0.01506114
67.06 33.25 43.85 53,707.4 456,578.1 656,509.7 0.12592344
59.56 33.04 40.4 57,610.1 689,873.3 918,922.5

PROMEDIO 0.01718878
SUMA

BETA DE HP
0.25
0.2
0.15
0.1
0.05
f(x) = - 0.0538168507x0 + 0.017592513
-0.4 -0.2 0 0.2 0.4
-0.05
-0.1
0.2
0.15
0.1
0.05
f(x) = - 0.0538168507x0 + 0.017592513
-0.4 -0.2 0 0.2 0.4
-0.05
-0.1
-0.15
-0.2
-0.25
Ri
Ri (INTEL) (MICROSOF Rm(MICROS Ri(HP)*Rm( Ri(INTEL)*R Ri(MICROSOFT)*Rm(
T) Rm(HP) Rm(INTEL) OFT) HP) m(INTEL) MICROSOFT)
0.04524496 0.03119814 -0.1509004 -0.0158611 -0.1622641 -0.0034908 -0.0007176 -0.0050623378
-0.0048753 0.00567423 0.34551977 -0.1255206 -0.0029032 0.06865501 0.00061194 -1.647335082439E-05
-0.0762914 0.04027778 -0.2449191 -0.0671487 0.16795086 0.01524831 0.00512287 0.0067646873
0.05182502 0.00243648 0.31506367 0.29345167 0.12706397 0.03564399 0.01520814 0.0003095885
0.02954676 0.01376147 0.00744283 -0.2632026 -0.2787404 -0.0001814 -0.0077768 -0.0038358774
0.06280488 0.10768028 -0.2446482 0.09420048 -0.2134625 0.01880508 0.00591625 -0.0229857001
0.03830326 -0.0345283 0.25029264 0.12379295 0.55181623 0.0244767 0.00474167 -0.0190532775
0.04326288 0.06276318 -0.2164803 -0.1635199 -0.2403021 0.01627204 -0.0070743 -0.0150821265
-0.0639876 -0.0970487 -0.1618601 0.09286543 0.08934351 -0.0203979 -0.0059422 -0.0086706723
0.09327475 0.08549528 -0.0239403 -0.1036081 -0.2131397 -0.0025988 -0.009664 -0.0182224363
-0.0460993 -0.0764204 -0.1429278 -0.1436918 -0.1209087 -0.0061054 0.00662409 0.0092398928
-0.0995646 -0.0070296 0.28755942 0.43923659 0.17044879 -0.0147673 -0.0437324 -0.00119818
-0.0092033 0.02079117 0.16525387 -0.0710188 0.19503398 -0.0133338 0.00065361 0.0040549842
0.02687537 0.0324848 -0.2544803 -0.3460148 -0.2263451 -0.0089545 -0.0092993 -0.0073527759
0.12342402 0.18933574 -0.1714683 0.03275021 0.27249172 -0.03269 0.00404216 0.0515924225
0.05606167 0.01700368 0.11659897 -0.036019 -0.1331192 -0.023217 -0.0020193 -0.0022635155
-0.0141623 -0.0680942 0.10340306 -0.1483679 0.07075335 0.00227437 0.00210124 -0.0048178938
-0.0483235 0.05775764 0.66336429 0.18193446 0.09074341 -0.119447 -0.0087917 0.0052411256
-0.1172374 -0.0578318 0.07278766 0.40716065 0.0501263 -0.0025629 -0.0477344 -0.0028988964
0.05867896 -0.0365954 -0.3453611 -0.1222779 -0.2761038 0.02205846 -0.0071751 0.0101041267
0.0409338 0.19626168 -0.1042333 -0.3761393 0.06089755 -0.0151595 -0.0153968 0.0119518556
-0.0595489 -0.072748 -0.0257767 0.99460027 0.25563309 -0.0003882 -0.0592273 -0.0185967968
0.00635593 0.08539604 -0.0677433 -0.3381711 -0.2855658 -0.0085305 -0.0021494 -0.0243861848

0.00596951 0.02165309 0.00750204 0.01475787 -0.0021979 -0.0029735 -0.0078991 -0.0023993244

C) El riesgo sirtematico utilizando la informacion solo de los


COVARIANZA
VARIANZA
BETA

BETA DE HP BETA INTEL


0.15

0.1

0.05
f(x) = - 0.0890551825x + 0.0072837735
7592513 0
0.2 0.4 0.6 0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2

-0.05
0.1

0.05
f(x) = - 0.0890551825x + 0.0072837735
7592513 0
0.2 0.4 0.6 0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2

-0.05

-0.1

-0.15
(Rm-Rm)ᶺ2
(Rm-Rm)ᶺ2 HP (Rm-Rm)ᶺ2 INTEL MICROSOFT
0.0250913441 0.0009375242 0.0256211824
0.1142559889 0.0196780621 4.9742468824E-07
0.063716452 0.0067086854 0.0289506002
0.0945941585 0.0776702364 0.016708632
3.505645026E-09 0.077262038 0.076475768
0.0635797412 0.0063111275 0.0446327226
0.0589472743 0.0118886491 0.3069316614
0.0501680923 0.0317829594 0.0566936201
0.0286835305 0.0061007904 0.0083798307
0.000988621 0.0140105136 0.0444964289
0.0226291229 0.0251062999 0.0140922572
0.0784321372 0.1801821869 0.0298068802
0.0248856408 0.0073576316 0.0389004136
0.0686347252 0.1301569257 0.0502419673
0.0320303823 0.0003237244 0.075454389
0.0119021394 0.0025782866 0.0171403821
0.009197005 0.0266100105 0.0053218846
0.4301552947 0.0279480106 0.0086380876
0.004262212 0.1539799402 0.0027378226
0.1245124175 0.0187788122 0.0750244285
0.0124847903 0.1528005979 0.0039810361
0.001107475 0.9600911211 0.0664768181
0.0056618654 0.1245588453 0.0802973414

1.3259204139 2.0628229793 1.0770046524

nformacion solo de los tres Activos financieros.


-0.0031024722 -0.0079871773 -0.002351733
0.0576487136 0.0896879556 0.0468262892
-0.0538168507 -0.0890551825 -0.0502224937

BETA MICROSOFT
0.25

0.2

0.15

0.1

0.05
1 1.2
f(x) = - 0.0502224937x + 0.0215427104
0
-0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 0.6
-0.05
0.2

0.15

0.1

0.05
1 1.2
f(x) = - 0.0502224937x + 0.0215427104
0
-0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 0.6
-0.05

-0.1

-0.15
E) Determinar el riesgo sitematico del portafolio (NASDAQ)

Bp=Bhp*(%HP)+Bintel*(%INTEL)+Bmicro.*(%MICRO.)

Bp= -0.0351705731
E) Determinar el riesgo sitematico del portafolio (Solo con Activos)

Bp=Bhp*(%HP)+Bintel*(%INTEL)+Bmicro.*(%MICRO.)

Bp= -0.0703577095
F) Determinar el coeficiente de variacion de cada activo financiero y como del portafolio

COEFICIENTE DE COEFICIENTE DE COEFICIENTE DE VARIACION


VARIACION HP VARIACION INTEL MICROSOFT

6.2204612199 10.2978445858 3.5088324491

622.0461219883 1029.7844585834 350.8832449106

COEFICIENTE DE VARIACION DE PORTAFOLIO


Riesgo 0.0568508504
Rendimiento 0.0129184381
n de cada activo financiero y como del portafolio

COEFICIENTE DE VARIACION
PORTAFOLIO

4.4007526415
440.0752641548