finanzas tarea 3
-
Upload
jose-espinoza -
Category
Documents
-
view
230 -
download
0
Transcript of finanzas tarea 3
-
8/16/2019 finanzas tarea 3
1/13
Tarea 3
Profesor:
Miranda Castillo, Oscar Enrique
Integrantes:
Calixto Mendoza, Erasmo RogelioCamayo Maravi, Edgar
Espinoza Bernardo, José LuisEsquica !az, "#ctor $ugo %ru&illo 'arc#a, !atricia
-
8/16/2019 finanzas tarea 3
2/13
Precios de las acciones
Cotizaci(n al cierre)*+CEMC %ELE-BC
./.0/1.2 2304. 131..
.1/.0/1.2 230.. 131..
.2/.0/1.2 2350. 136.
.4/.0/1.2 2350. 136.
.6/.0/1.2 2356. 136.
.7/.0/1.2 2356. 136.
.8/.0/1.2 235. 134.
./.0/1.2 235.. 134.
/.0/1.2 2351. 136.
1/.0/1.2 2368. 136.
6/.0/1.2 2368. 136.
5/.0/1.2 2352. 136.
0/.0/1.2 2306. 136.
7/.0/1.2 2300. 131..
8/.0/1.2 237.. 131..
11/.0/1.2 2300. 131..
12/.0/1.2 2371. 136.
14/.0/1.2 2306. 131..
16/.0/1.2 237. 1316.
15/.0/1.2 2376. 134..
2./.0/1.2 2374. 134..
2/.0/1.2 238.. 134..
./.7/1.2 2376. 134..
.1/.7/1.2 2376. 1346.
.6/.7/1.2 2376. 1346.
.5/.7/1.2 2374. 1356.
.0/.7/1.2 2374. 130..
.7/.7/1.2 2372. 1356.
.8/.7/1.2 2386. 135..
1/.7/1.2 43.6. 130..
2/.7/1.2 43.. 1306.
4/.7/1.2 43... 1306.
6/.7/1.2 43... 1306.5/.7/1.2 43... 130..
8/.7/1.2 2384. 130..
1./.7/1.2 2386. 1306.
1/.7/1.2 2386. 137..
11/.7/1.2 238.. 1376.
12/.7/1.2 2376. 138..
15/.7/1.2 238.. 1375.
-EC$+CO%9:+C9O*
-
8/16/2019 finanzas tarea 3
3/13
10/.7/1.2 238.. 1376.
17/.7/1.2 238.. 137..
18/.7/1.2 238.. 130..
.1/.8/1.2 237.. 130..
.2/.8/1.2 2376. 137..
.4/.8/1.2 2374. 1372.
.6/.8/1.2 2372. 1372.
.5/.8/1.2 2372. 1372.
.8/.8/1.2 2370. 1372.
./.8/1.2 238.. 1371.
/.8/1.2 238.. 1371.
1/.8/1.2 2306. 1371.
2/.8/1.2 2306. 1371.
5/.8/1.2 2300. 1371.
0/.8/1.2 235.. 1371.
7/.8/1.2 2366. 1300.
8/.8/1.2 235.. 1300.1./.8/1.2 2356. 1300.
12/.8/1.2 2366. 1300.
14/.8/1.2 236.. 1300.
16/.8/1.2 236.. 1358.
15/.8/1.2 236. 1358.
10/.8/1.2 236. 1358.
2./.8/1.2 2367. 1358.
././1.2 2367. 1358.
.1/./1.2 235.. 1358.
.2/./1.2 2351. 1358.
.4/./1.2 2346. 1357.
.0/./1.2 2346. 1358.
.8/./1.2 235.. 1302.
././1.2 2367. 135.
/./1.2 235.. 130..
4/./1.2 236.. 130..
6/./1.2 2346. 1302.
5/./1.2 2345. 1302.
0/./1.2 2366. 1302.
7/./1.2 235.. 1302.
1/./1.2 235.. 137..11/./1.2 2351. 137..
12/./1.2 2365. 138..
14/./1.2 236.. 1386.
16/./1.2 2340. 23...
17/./1.2 2340. 23...
18/./1.2 235.. 23...
2././1.2 235.. 1387.
-
8/16/2019 finanzas tarea 3
4/13
2/./1.2 2351. 1384.
.4//1.2 2350. 1387.
.6//1.2 2350. 1380.
.5//1.2 2350. 1387.
.0//1.2 2350. 1386.
.7//1.2 2356. 138..
//1.2 2356. 138..1//1.2 2356. 138..
2//1.2 236.. 138..
4//1.2 236.. 138..
6//1.2 2361. 1376.
7//1.2 236. 1376.
8//1.2 2346. 1376.
1.//1.2 2327. 137..
1//1.2 2327. 137..
11//1.2 2346. 137..
16//1.2 2340. 137..15//1.2 2365. 1306.
10//1.2 2347. 130..
17//1.2 2347. 1306.
18//1.2 2364. 137..
.1/1/1.2 2364. 137..
.2/1/1.2 236.. 1307.
.4/1/1.2 236.. 1305.
.6/1/1.2 236.. 1305.
.5/1/1.2 2366. 1300.
.8/1/1.2 2366. 1305.
./1/1.2 2355. 1305.
/1/1.2 230.. 1305.
1/1/1.2 2306. 1305.
2/1/1.2 2302. 1304.
5/1/1.2 2301. 1304.
0/1/1.2 2306. 1304.
7/1/1.2 2301. 1304.
8/1/1.2 2302. 137..
1./1/1.2 230.. 1308.
12/1/1.2 230.. 137..
14/1/1.2 2300. 138..15/1/1.2 2306. 138..
10/1/1.2 2301. 138..
2./1/1.2 2301. 138..
2/1/1.2 2300. 138..
-
8/16/2019 finanzas tarea 3
5/13
-EC$+
Renta;ilidad
)*+CEMC %ELE-BC
+
-
8/16/2019 finanzas tarea 3
6/13
10/.7/1.2 .3.... =.3..26
17/.7/1.2 .3.... =.3.06
18/.7/1.2 .3.... =.3.260
.1/.8/1.2 =.3.165 .3....
.2/.8/1.2 .3.21 .3.20.
.4/.8/1.2 =.3..15 .3..0
.6/.8/1.2 =.3..15 .3....
.5/.8/1.2 .3.... .3....
.8/.8/1.2 .3..4 .3....
./.8/1.2 .3..07 =.3..26
/.8/1.2 .3.... .3....
1/.8/1.2 =.3.276 .3....
2/.8/1.2 .3.... .3....
5/.8/1.2 .3..62 .3....
0/.8/1.2 =.3.46 .3....
7/.8/1.2 =.3.28 =.3.00
8/.8/1.2 .3.4 .3....1./.8/1.2 .3.28 .3....
12/.8/1.2 =.3.104 .3....
14/.8/1.2 =.3.4 .3....
16/.8/1.2 .3.... =.3.178
15/.8/1.2 .3..18 .3....
10/.8/1.2 .3.... .3....
2./.8/1.2 .3.88 .3....
././1.2 .3.... .3....
.1/./1.2 .3..65 .3....
.2/./1.2 .3..65 .3....
.4/./1.2 =.3.40. =.3..20
.0/./1.2 .3.... .3..20
.8/./1.2 .3.426 .3.48
././1.2 =.3..65 =.3.44.
/./1.2 .3..65 .3.246
4/./1.2 =.3.107 .3....
6/./1.2 =.3.42 .3.
5/./1.2 .3..18 .3....
0/./1.2 .3.15. .3....
7/./1.2 .3.4 .3....
1/./1.2 .3.... .3.16511/./1.2 .3..65 .3....
12/./1.2 =.3.55 .3.260
14/./1.2 =.3.58 .3.01
16/./1.2 =.3..75 .3.58
17/./1.2 .3.... .3....
18/./1.2 .3.206 .3....
2././1.2 .3.... =.3..50
-
8/16/2019 finanzas tarea 3
7/13
2/./1.2 .3..65 =.3.24
.4//1.2 .3.27 .3.25
.6//1.2 .3.... =.3..24
.5//1.2 .3.... .3..24
.0//1.2 .3.... =.3..
.7//1.2 =.3..64 =.3.58
//1.2 .3.... .3....1//1.2 .3.... .3....
2//1.2 =.3.4 .3....
4//1.2 .3.... .3....
6//1.2 .3..60 =.3.01
7//1.2 =.3..17 .3....
8//1.2 =.3.0 .3....
1.//1.2 =.3.1.2 =.3.06
1//1.2 .3.... .3....
11//1.2 .3.1.0 .3....
16//1.2 .3..67 .3....15//1.2 .3.168 =.3.08
10//1.2 =.3.116 =.3.71
17//1.2 .3.... .3.76
18//1.2 .3.01 .3.71
.1/1/1.2 .3.... .3....
.2/1/1.2 =.3.2 =.3..0
.4/1/1.2 .3.... =.3..01
.6/1/1.2 .3.... .3....
.5/1/1.2 .3.42 .3..25
.8/1/1.2 .3.... =.3..25
./1/1.2 .3.2. .3....
/1/1.2 .3..8 .3....
1/1/1.2 .3.26 .3....
2/1/1.2 =.3..62 =.3..01
5/1/1.2 =.3..10 .3....
0/1/1.2 .3..7 .3....
7/1/1.2 =.3..7. .3....
8/1/1.2 .3..10 .3.18
1./1/1.2 =.3..7. =.3..25
12/1/1.2 .3.... .3..25
14/1/1.2 .3.78 .3.26015/1/1.2 =.3..62 .3....
10/1/1.2 =.3..7. .3....
2./1/1.2 .3.... .3....
2/1/1.2 .3.24 .3....
-
8/16/2019 finanzas tarea 3
8/13
)*+CEMC %ELE-BC
.3.401 .3.512
CoeAciente de correlaci(n =.32..
>esviaci(n Estndar ?@
-
8/16/2019 finanzas tarea 3
9/13
-
8/16/2019 finanzas tarea 3
10/13
-
8/16/2019 finanzas tarea 3
11/13
Rendimiento de un portafolio
.3.1D
.312D
Cálculo de la rentabilidad y desviación estánda
Renta;ilidad
86D 6D .3.2D
8.D .D .3.4D
76D 6D .3.6D
7.D 1.D .3.5D
06D 16D .3.0D
0.D 2.D .3.7D
56D 26D .3.8D
5.D 4.D .3.D66D 46D .3D
6.D 6.D .31D
46D 66D .34D
4.D 5.D .36D
26D 56D .35D
2.D 0.D .30D
16D 06D .37D
1.D 7.D .38D
6D 76D .31.D
.D 8.D .31D
6D 86D .311D
r A (UNACEMC1):
r B (TELEFBC1):
+cci(n
+cci(n 11
-
8/16/2019 finanzas tarea 3
12/13
Desviación Estándar de
.3.401
.3.512
de cada portafolio
>esviaci(n Estndar
.3.28 .3.1.
.3.2 .3.186
.3.14 .3.287
.3.7 .3.6
.3.2 .3.52
.3..7 .3.060
.3..6 .3.774
.3..2 .3..0.3..1 .31
.3..1 .311
.3..4 .32.4
.3..0 .3250
.3. .342
.3.5 .3441
.3.12 .3467
.3.18 .3454
.3.20 .3451
.3.46 .3465
.3.62 .3446
σ A (UNACEMC1):
σB (TELEFBC1):
Relaci(nRenta;ilidad/Riesgo
2 2 2 2
1 1 2 2 1x *σ x *σ 2* x *
P
σ = + +
-
8/16/2019 finanzas tarea 3
13/13
l Portafolio
CoeAciente de correlaci(nF =.32..4
e!or alternativa de Inversión
2 2
2 2 1 2 12 1 2x *σ 2*x *x *ρ *σ *σ+ +