Matriz de Varia

RAMXL RARA RCEMEXCPO RKINBERA RGRUMAB

RAMXL 12.3284 1.4192 1.8293 1.2095 1.2902
RARA 1.4192 3.9801 1.1311 0.6245 0.4714
RCEMEXCPO 1.8293 1.1311 5.7415 0.8330 0.7496
RKINBERA 1.2095 0.6245 0.8330 2.6020 0.3160
RGRUMAB 1.2902 0.4714 0.7496 0.3160 8.5925
RYPFABA 0.2867 -0.1234 0.2514 0.2549 0.1175
RMOLIBA 0.9017 0.4556 0.6019 0.3068 0.1272
RACINBA 1.3189 0.5146 0.8228 0.3422 0.4171
RBTEUNTO 0.2869 0.2472 0.4325 -0.0603 -0.0461
RABXTO 0.2469 0.0823 0.3597 0.0644 0.0029
RANPTO 1.0507 0.2912 0.8291 0.5724 0.3106
RABBOT 0.3251 0.3310 0.2707 0.2416 0.1385
RAEP 0.3471 0.3485 0.4330 0.2155 0.1583
RAVP 0.1070 0.0211 0.3001 0.0179 0.1910
RAAPL 2.0013 0.8127 1.1941 0.5861 0.4647

Matriz de Varia
matriz RAMXL RARA RCEMEXCPO RKINBERA RGRUMAB
inversaRAMXL 0.09182739 -0.0194647128 -0.01685273 -0.02811676 -0.00947719
𝛿^(−1)= RARA -0.01946471 0.2823768328 -0.03839919 -0.04134027 -0.006897374
RCEMEXCPO -0.01685273 -0.0383991909 0.2007019 -0.04055285 -0.010143531
RKINBERA -0.02811676 -0.0413402731 -0.04055285 0.42843682 -0.004466943
RGRUMAB -0.00947719 -0.0068973735 -0.01014353 -0.00446694 0.11949808
RYPFABA 0.00016533 0.009076729 -0.00113018 -0.00930689 -0.000810926
RMOLIBA -0.00434909 -0.0097464787 -0.00636565 -0.00649981 0.0019210372
RACINBA -0.00393371 -0.0029147236 -0.00472776 0.00054642 -0.00188345
RBTEUNTO -0.00193281 -0.0079923179 -0.00958833 0.01229337 0.0024777479
RABXTO -0.00284513 0.0020947982 -0.01228468 -0.00046723 0.0012685545
RANPTO -0.00272558 0.0006158654 -0.00573765 -0.00877222 -0.000744769
RABBOT -0.00111401 -0.0179958231 5.29973E-05 -0.01879005 -0.001312857
RAEP -0.00112468 -0.0146373481 -0.01206868 -0.01148343 -0.001534628
RAVP 0.00029872 0.0057633155 -0.00642052 0.00425426 -0.002709706
RAAPL -0.00674032 -0.0050827391 -0.00688315 -0.00485099 -0.000797317

PORTAFOLIO OPTIM
B= 1 1 1 1 1
-0.0043 0.0855 0.0189 0.0164 0.0739

b= 1
0.0272 〖𝑤 ^∗=𝛿 〗 ^(−1) 𝛽^𝑡 〖 (𝛽𝛿^(−1) 𝛽^𝑡) 〗 ^(−1) 𝑏 ̅
 𝛼=𝛿^(−1) 𝛽^𝑡 (𝛽𝛿^(−1) 𝛽^𝑡)
1 #NAME? #NAME? #NAME? #NAME?
2 #NAME? #NAME? #NAME? #NAME?
3 #NAME? #NAME?
4 #NAME? #NAME? PORTAFIOLO ÓPTIMO
5 #NAME? #NAME?
6 #NAME? #NAME? Rendimiento
7 #NAME? #NAME? Varianza
8 #NAME? #NAME? Riesgo
9 #NAME? #NAME?
10 #NAME? #NAME?
11 #NAME? #NAME?
12 #NAME? #NAME? COVARIANZA
13 #NAME? #NAME? CORRELACION
14 #NAME? #NAME?
15 #NAME? #NAME?

B= 1 1 1 1 1 1

〖𝑤 ^(∗∗)=𝛿 〗 ^(−1) 𝛽^𝑡 〖 (𝛽𝛿^(−1) 𝛽^𝑡) 〗 ^(−1)

𝛼=𝛿^(−1) 𝛽^𝑡 (𝛽𝛿^(−1) 𝛽^𝑡) 〖 (𝛽𝛿^(−1) 𝛽^𝑡) 〗 ^(−1)

1 #NAME? #NAME? #NAME?
2 #NAME?
3 #NAME? PORTAFOLIO ÓPTIMO
4 #NAME? Rendimiento #NAME?
5 #NAME? Varianza #NAME?
6 #NAME? Riesgo 0.81938184
7 #NAME?
8 #NAME?
9 #NAME?
10 #NAME?
11 #NAME?
12 #NAME?
13 #NAME?
14 #NAME?
15 #NAME?
suma
 Salto Proporción Rendimientos Riesgo Varianza Covarianza
P1 0.0272156379 0.82299956 0.67732827 0.6713865981
P2 0.0310114391 0.81938184 0.6713866 0.6713865981

Frontera 1.7 -35 2.8195630534 0.16386448

1 -33.3 2.6944476577 0.15741162
2 -31.6 2.5699228427 0.15095876
Cha
3 -29.9 2.4460788056 0.1445059
0.18
4 -28.2 2.323024429 0.13805303
0.16
5 -26.5 2.2008921694 0.13160017
6 -24.8 2.0798444784 0.12514731 0.14

7 -23.1 1.9600823033 0.11869445 0.12

8 -21.4 1.8418564239 0.11224159 0.1
9 -19.7 1.7254826588 0.10578872 0.08
10 -18 1.6113623411 0.09933586
0.06
11 -16.3 1.5000098839 0.092883
0.04
12 -14.6 1.3920896444 0.08643014
13 -12.9 1.288464347 0.07997727 0.02

14 -11.2 1.1902562907 0.07352441 0

0.5 1 1.5
15 -9.5 1.098918819 0.06707155
16 -7.8 1.0163060429 0.06061869
17 -6.1 0.9447096083 0.05416583
18 -4.4 0.8868017727 0.04771296
19 -2.7 0.8454001378 0.0412601
20 -1 0.822999557 0.03480724
 Matriz de Varianza Covarianza
RYPFABA RMOLIBA RACINBA RBTEUNTO RABXTO RANPTO RABBOT RAEP
0.2867 0.9017 1.3189 0.2869 0.2469 1.0507 0.3251 0.3471
-0.1234 0.4556 0.5146 0.2472 0.0823 0.2912 0.3310 0.3485
0.2514 0.6019 0.8228 0.4325 0.3597 0.8291 0.2707 0.4330
0.2549 0.3068 0.3422 -0.0603 0.0644 0.5724 0.2416 0.2155
0.1175 0.1272 0.4171 -0.0461 0.0029 0.3106 0.1385 0.1583
9.4266 1.1201 2.1646 0.5654 0.1255 0.6336 0.1179 -0.0269
1.1201 6.8449 4.0303 0.0349 0.2222 0.3533 0.1674 -0.1163
2.1646 4.0303 14.9679 -0.2014 -0.0628 0.3738 0.1888 0.0234
0.5654 0.0349 -0.2014 6.2448 0.4750 0.3201 0.1577 0.2881
0.1255 0.2222 -0.0628 0.4750 4.4516 -0.2596 0.2188 0.2738
0.6336 0.3533 0.3738 0.3201 -0.2596 17.3137 0.3820 0.0068
0.1179 0.1674 0.1888 0.1577 0.2188 0.3820 3.1108 0.6877
-0.0269 -0.1163 0.0234 0.2881 0.2738 0.0068 0.6877 3.5487
-0.0861 -0.0195 -0.0888 0.3101 0.1357 -0.0632 0.7678 0.6551
0.1599 1.0082 1.0226 0.3580 -0.1363 1.0954 0.4924 0.7013

Matriz de Varianza Covarianza

RYPFABA RMOLIBA RACINBA RBTEUNTO
0.0001653311 -0.00434909 -0.00393371 -0.00193281
0.009076729 -0.00974648 -0.00291472 -0.00799232
-0.001130177 -0.00636565 -0.00472776 -0.00958833
-0.009306893 -0.00649981 0.00054642 0.01229337
-0.000810926 0.00192104 -0.00188345 0.00247775
0.1117277727 -0.01013968 -0.01353325 -0.01071793
-0.010139685 0.17775475 -0.04475444 0.00015764
-0.013533251 -0.04475444 0.08174075 0.00450501
-0.010717926 0.00015764 0.00450501 0.16468074
-0.001815366 -0.00893377 0.00401369 -0.01573955
-0.003181338 -0.00099996 0.00025775 -0.00255553
-0.002879438 -0.00474744 -0.00124145 -0.0021445
0.0014908966 0.01139857 -0.00123014 -0.00899043
0.0020238059 2.31852E-05 0.00118716 -0.00602076
0.0007404262 -0.00653336 -0.00118757 -0.00229153
RABXTO RANPTO RABBOT RAEP
-0.00284512532 -0.00272558 -0.00111401 -0.00112468
0.002094798166 0.00061587 -0.01799582 -0.01463735
-0.01228467571 -0.00573765 5.29973E-05 -0.01206868
-0.00046722912 -0.00877222 -0.01879005 -0.01148343
0.001268554482 -0.00074477 -0.00131286 -0.00153463
-0.00181536625 -0.00318134 -0.00287944 0.0014909
-0.00893376662 -0.00099996 -0.00474744 0.01139857
0.00401369471 0.00025775 -0.00124145 -0.00123014
-0.01573954567 -0.00255553 -0.0021445 -0.00899043
0.229837826436 0.00461827 -0.01195546 -0.01361589
0.004618265498 0.0590482 -0.00640285 0.00262103
-0.01195545549 -0.00640285 0.34905031 -0.05618085
-0.01361588905 0.00262103 -0.05618085 0.30457452
-0.0008415549 0.0015329 -0.03523416 -0.02233492
0.004205019773 -0.00258506 -0.00478723 -0.00918174

PORTAFOLIO OPTIMO 1
1 1 1 1 1 1 1 1
0.0766 0.0290 0.0594 0.0510 0.0201 -0.0406 0.0183 0.0168

w*=
 Vector
〖 (𝛽𝛿^(−1) 𝛽^𝑡) 〗 ^(−1) 〖 (𝛽𝛿^(−1) 𝛽^𝑡) 〗 ^(−1) 𝑏 ̅ óptimo
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME?
PORTAFIOLO ÓPTIMO #NAME?
#NAME?
#NAME? #NAME?
#NAME? #NAME?
0.822999557 #NAME?
#NAME?
#NAME?
#NAME?
#NAME? #NAME?
0.9956042284 #NAME?
#NAME?
#NAME?
suma= 1

1 1 1 1 1 1 1 1

w**=
Vector óptimo

#NAME? El que sea negativo significa que es una venta en corto

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
1
 Chart Title
0.18
0.16
0.14
0.12
0.1
0.08
0.06
0.04
0.02
0
0.5 1 1.5 2 2.5 3
 RAVP RAAPL Rendimientos Ponderaciones
0.1070 2.0013 1 -0.0043 0.0667
0.0211 0.8127 1 0.0855 0.0667
0.3001 1.1941 1 0.0189 0.0667
0.0179 0.5861 1 0.0164 0.0667
0.1910 0.4647 1 0.0739 0.0667
-0.0861 0.1599 1 0.0766 0.0667
-0.0195 1.0082 1 0.0290 0.0667
-0.0888 1.0226 1 0.0594 0.0667
0.3101 0.3580 1 0.0510 0.0667
0.1357 -0.1363 1 0.0201 0.0667
-0.0632 1.0954 1 -0.0406 0.0667
0.7678 0.4924 1 0.0183 0.0667
0.6551 0.7013 1 0.0168 0.0667
6.4507 0.2952 1 0.0025 0.0667
0.2952 16.9167 1 -0.0153 0.0667

Varianza 0.97580698 0.0272 1

Riesgo 0.98782943

RAVP RAAPL
0.00029872 -0.00674032
0.00576332 -0.00508274
-0.00642052 -0.00688315
0.00425426 -0.00485099
-0.00270971 -0.00079732
0.00202381 0.00074043
2.31852E-05 -0.00653336
0.00118716 -0.00118757
-0.00602076 -0.00229153
-0.00084155 0.00420502
0.0015329 -0.00258506
-0.03523416 -0.00478723
-0.02233492 -0.00918174
0.16223274 -0.00088197
-0.00088197 0.06206974

1 1
0.0025 -0.0153
1