PREPARADO POR: FERNANDO FRANCO CUARTAS

E(R)
DESV(R)

X
15%
10%

Y
25%
20%

Coeficiente de Correlacin
1

-1

1-W

DESV(Rp)

E(Rp)

DESV(Rp)

E(Rp)

DESV(Rp)

E(Rp)

0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
75.00%
80.00%
90.00%
100.00%

100.00%
90.00%
80.00%
70.00%
60.00%
50.00%
40.00%
30.00%
25.00%
20.00%
10.00%
0.00%

20.00%
19.00%
18.00%
17.00%
16.00%
15.00%
14.00%
13.00%
12.50%
12.00%
11.00%
10.00%

25.00%
24.00%
23.00%
22.00%
21.00%
20.00%
19.00%
18.00%
17.50%
17.00%
16.00%
15.00%

20.00%
18.03%
16.12%
14.32%
12.65%
11.18%
10.00%
9.22%
9.01%
8.94%
9.22%
10.00%

25.00%
24.00%
23.00%
22.00%
21.00%
20.00%
19.00%
18.00%
17.50%
17.00%
16.00%
15.00%

20.00%
17.00%
14.00%
11.00%
8.00%
5.00%
2.00%
1.00%
2.50%
4.00%
7.00%
10.00%

25.00%
24.00%
23.00%
22.00%
21.00%
20.00%
19.00%
18.00%
17.50%
17.00%
16.00%
15.00%

TEORIA PORTAFOLIOS

RENDIMIENTO

30.00%

Correlacin = 1

25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
0.00%

5.00%

10.00%

15.00%

20.00%

RIESGO

TEORIA DE PORTAFOLIOS

25.00%

PREPARADO POR: FERNANDO FRANCO CUARTAS

TEORIA DE PORTAFOLIOS

FERNANDO FRANCO CUARTAS

SOLUCIN EJERCICIO 10.6

Con base en la siguiente distribucin de frecuencias, calcular:
A. El rendimiento esperado del proyecto. Es decir, E(Rj)
B. La varianza de los rendimientos del proyecto. Es decir, VAR(Rj)
C. La desviacin estndar de los rendimientos del proyecto. Es decir, Sigma de Rj
D. La covarianza de los rendimientos del proyecto con los rendimientos del mercado.
COV(Rj,Rm)
E. El coeficiente de correlacin entre los rendimientos del mercado y los rendimientos del
proyecto.Es decir, CORR(Rj,Rm)

Rendimiento
del Mercado

Rendimiento
del Proyecto

Estados

Prob

Rm

Rj

Rj - E(Rj)

1
2
3
4
5

0.05
0.25
0.35
0.20
0.15

-0.20
0.10
0.15
0.20
0.25

-0.30
0.05
0.20
0.25
0.30

-0.46
-0.11
0.04
0.09
0.14

14.50%
0.87%
9.34%

16.25%
1.87%
13.68%

E(R)
VAR(R)
DESV(R)
COV(RP,RM)
CORR(RP,RM)

0.97322

TEORIA RIESGO

Rm - E(Rm) Pi * (Rj-E(Rj)(Rm-E(Rm)

-0.35
-0.05
0.00
0.06
0.11

0.007978
0.001266
6.56E-05
0.000963
0.002166

FERNANDO FRANCO CUARTAS

SOLUCIN EJERCICIO 10.6

ndar de los rendimientos del proyecto. Es decir, Sigma de Rj

los rendimientos del proyecto con los rendimientos del mercado.

correlacin entre los rendimientos del mercado y los rendimientos del

Pi * (Rj-E(Rj)(Rm-E(Rm)

0.01244

TEORIA RIESGO

PROFESOR: FERNANDO FRANCO CUARTAS

Pulse para ver enunciado

ESTRUCTURA FINANCIERA BAJO RIESGO

VARIABLES
Proyecto
Tasa de inters
Precio de la accin
Margen Contribuccin
No. acciones
Costos fijos
Acciones nuevas
Tasa de impuestos
Monto a financiar

25%
12%
8
50%
100
920
25
35%
200

Probabilidad
15%
20%
30%
20%
15%

Ventas
1900
2400
3000
4200
5400

Balance General
Deuda
Capital Comn
Utilidades R
Total Activos

800

300
100
400
800

Estado de Resultados
Ventas
Costos Variables
Margen de C.
Costos Fijos
U.A.I.I
Intereses
U.A.I.
Impuestos
Utilidad neta
Probabilidad

2300
1150
1150
920
230
30
200
70
130
Ventas

Pi*[(Q-E(Q)]^2

UAII

Pi*[UAII - E(UAII)]^2

PROFESOR: FERNANDO FRANCO CUARTAS

15%
20%
30%
20%
15%
100%

1900
2400
3000
4200
5400

E(Ventas)
Desv(Ventas)
E(U.A.I.I.)
Desv(U.A.I.I.)

300,333.75
167,445.00
29,767.50
156,645.00
652,083.75
1,306,275.00

3,315.00
1,142.92
737.50
571.46

Anlisis de Alternativas
Deuda
737.50
30
24
683.50
239.23
444.28
100

U.A.I.I
Intereses actuales
Intereses nuevos
U.A.I
Impuestos
U.D.I
No. acciones
UPA

4.44

Acciones
737.50
30
0
707.50
247.63
459.88
125
3.68

Punto de Indiferencia Financiera

PIF(UAII)
PIF (Ventas)
Riesgo:
U.A.I.I
Ventas

150
2,140
Z
(1.02806496)
(1.02806496)

Probabilidad
0.151959635
0.151959635

30
280
580
1180
1780

75,083.44
41,861.25
7,441.88
39,161.25
163,020.94
326,568.75

PROFESOR: FERNANDO FRANCO CUARTAS

UAII

Deuda
0
30
54
500
628.88
1000
2000

U.A.I.I
Intereses actuales
Intereses nuevos
U.A.I
Impuestos
U.D.I
No. acciones

Acciones

0
30
24
(54.00)
(18.90)
(35.10)
100

UPA

-0.35

-0.16

UAII

UPA - Deuda

UPA Acciones

0
30
54
500
628.88
1000
2000

-0.35
-0.16
0
2.9
3.74
6.15
12.65

-0.16
0
0.12
2.44
3.11
5.04
10.24

Deuda

0
30
0
(30.00)
(10.50)
(19.50)
125

30
30
24
(24.00)
(8.40)
(15.60)
100
-0.16

Acciones
30
30
0
0
125
0.00

Punto de Indiferencia
12
10

UPA

8
6

Deuda

Acciones

2
0

500

1000

1500

2000

2500

Deuda
54
30
24
0
100
0.00

Acciones
54
30
0
24.00
8.40
15.60
125
0.12

PROFESOR: FERNANDO FRANCO CUARTAS

500

1000

1500

-2

U.A.I.I

2000

2500

PROFESOR: FERNANDO FRANCO CUARTAS

PROFESOR: FERNANDO FRANCO CUARTAS

PROFESOR: FERNANDO FRANCO CUARTAS

Deuda
500
30
24
446.00
156.10
289.90
100
2.90

Acciones
500
30
0
470.00
164.50
305.50
125
2.44

Deuda
628.88
30
24
574.88
201.21
373.67
100
3.74

Acciones
628.88
30
0
598.88
209.61
389.27
125
3.11

Deuda
1000
30
24
946.00
331.10
614.90
100
6.15

Acciones
1000
30
0
970.00
339.50
630.50
125
5.04

Deuda
2000
30
24
1,946.00
681.10
1,264.90
100
12.65

Acciones
2000
30
0
1,970.00
689.50
1,280.50
125
10.24

PROFESOR: FERNANDO FRANCO CUARTAS

www.gacetafinanciera.com

MATRIZ DE PRECIOS
Fecha
1/31/1992
2/29/1992
3/31/1992
4/30/1992
5/31/1992
6/30/1992
7/31/1992
8/31/1992
9/30/1992
10/31/1992
11/30/1992
12/31/1992
1/31/1993
2/28/1993
3/31/1993
4/30/1993
5/31/1993
6/30/1993
7/31/1993
8/31/1993
9/30/1993
10/31/1993
11/30/1993
12/31/1993
1/31/1994
2/28/1994
3/31/1994
4/30/1994
5/31/1994
6/30/1994
7/31/1994
8/31/1994
9/30/1994
10/31/1994
11/30/1994
12/31/1994
1/31/1995
2/28/1995
3/31/1995
4/30/1995
5/31/1995
6/30/1995
7/31/1995
8/31/1995
9/30/1995
10/31/1995

ACCIN #1
724.807
649.083
654.646
717.330
897.493
1050.125
1372.704
1383.602
1286.527
1391.397
1320.428
1351.849
1430.022
1319.301
1175.738
1370.914
1420.038
1400.156
1313.044
1415.461
1514.225
1289.890
1565.236
1647.856
1827.109
2562.768
2765.834
2298.179
2314.952
2347.863
2167.607
1806.609
1941.622
1828.736
1606.674
1503.199
1780.997
1726.386
1455.975
1088.859
1446.788
1680.369
1767.591
1540.005
1518.063
1176.480

ACCIN #2
2441.386
3286.309
2920.496
3089.543
3654.541
4444.460
5205.863
5659.382
5703.843
5079.478
5087.490
5094.979
5111.367
5080.898
4886.164
5104.473
5342.501
5001.698
5167.753
5051.498
5085.161
5290.275
5078.974
5445.419
5624.548
6382.897
6539.823
6673.080
6319.469
6195.935
6005.082
5761.761
6011.248
4510.090
4239.806
4173.812
4329.183
4815.776
4701.198
4191.247
4498.644
4833.242
4710.237
4001.857
3994.218
3810.940

ACCIN #3
1672.161
1571.728
1540.180
1596.991
1576.854
1509.227
1699.270
1802.416
1776.201
1856.801
1651.428
1688.467
1819.979
1729.450
1641.082
1663.922
1824.402
1809.299
1859.459
2066.924
2256.185
2429.825
2419.139
2875.922
3555.036
3888.793
3943.930
3839.803
4102.086
4040.042
3954.175
3567.793
3859.513
3631.399
3382.873
3235.156
4100.002
3973.630
3508.627
3208.922
3300.346
3480.441
3576.601
3347.774
3225.757
3156.939

Mercado
6,714.59
8,772.05
7,536.13
7,352.83
7,649.41
8,102.43
9,294.36
10,791.98
10,819.40
10,507.00
10,109.00
9,789.00
10,224.38
9,729.80
9,343.57
8,719.49
8,652.84
8,510.27
8,361.78
8,725.26
9,770.80
10,436.32
11,253.52
11,771.69
13,367.52
15,417.70
17,822.75
19,274.09
18,996.65
19,337.04
19,382.66
19,746.02
17,862.70
18,491.56
17,340.40
15,802.65
16,572.01
18,942.98
17,524.27
15,919.62
14,739.63
14,413.59
16,094.24
15,539.80
15,156.39
14,449.85

PROFESOR: FERNANDO FRANCO CUARTAS

11/30/1995
12/31/1995

1092.928
1256.378

3565.457
3500.000

3317.357
3431.501

MATRIZ DE DIVIDENDOS
ACCIN #1
1/31/1992
2/29/1992
3/31/1992
4/30/1992
5/31/1992
6/30/1992
7/31/1992
8/31/1992
9/30/1992
10/31/1992
11/30/1992
12/31/1992
1/31/1993
2/28/1993
3/31/1993
4/30/1993
5/31/1993
6/30/1993
7/31/1993
8/31/1993
9/30/1993
10/31/1993
11/30/1993
12/31/1993
1/31/1994
2/28/1994
3/31/1994
4/30/1994
5/31/1994
6/30/1994
7/31/1994
8/31/1994
9/30/1994
10/31/1994
11/30/1994
12/31/1994
1/31/1995
2/28/1995
3/31/1995
4/30/1995
5/31/1995
6/30/1995
7/31/1995
8/31/1995

1.10
1.10
1.80
1.80
1.80
1.80
1.80
1.80
1.80
1.80
1.80
1.80
1.80
1.80
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.00
3.70
3.70
3.70
3.70
3.70
3.70
3.70
3.70
3.70
3.70
3.70
3.70
4.50
4.50
4.50
4.50
4.50
4.50

ACCIN #2
5.00
5.00
5.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
7.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
11.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
16.00
20.00
20.00
20.00
20.00
20.00

ACCIN #3
3.70
3.70
6.00
6.00
6.00
6.00
6.00
6.00
6.00
6.00
6.00
6.00
6.00
6.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
10.50
10.50
10.50
10.50
10.50
10.50
10.50
10.50
10.50
10.50
10.50
10.50
15.50
15.50
15.50
15.50
15.50
15.50

PROFESOR: FERNANDO FRANCO CUARTAS

9/30/1995
10/31/1995
11/30/1995
12/31/1995

4.50
4.50
4.50
4.50

20.00
20.00
20.00
20.00

15.50
15.50
15.50
15.50

MATRIZ DE RENDIMIENTOS
ACCIN #1
1/31/1992
2/29/1992
3/31/1992
4/30/1992
5/31/1992
6/30/1992
7/31/1992
8/31/1992
9/30/1992
10/31/1992
11/30/1992
12/31/1992
1/31/1993
2/28/1993
3/31/1993
4/30/1993
5/31/1993
6/30/1993
7/31/1993
8/31/1993
9/30/1993
10/31/1993
11/30/1993
12/31/1993
1/31/1994
2/28/1994
3/31/1994
4/30/1994
5/31/1994
6/30/1994
7/31/1994
8/31/1994
9/30/1994
10/31/1994
11/30/1994
12/31/1994
1/31/1995
2/28/1995
3/31/1995
4/30/1995
5/31/1995
6/30/1995
7/31/1995
8/31/1995

-0.10296
0.01027
0.09850
0.25367
0.17207
0.30890
0.00925
-0.06886
0.08291
-0.04971
0.02516
0.05916
-0.07617
-0.10745
0.16855
0.03802
-0.01189
-0.06007
0.08028
0.07189
-0.14617
0.21579
0.05470
0.11060
0.40428
0.08041
-0.16775
0.00891
0.01582
-0.07520
-0.16484
0.07678
-0.05623
-0.11941
-0.06210
0.18727
-0.02859
-0.15449
-0.24905
0.33285
0.16456
0.05458
-0.12621

ACCIN #2
0.34813
-0.10979
0.05960
0.18514
0.21806
0.17289
0.08846
0.00909
-0.10824
0.00296
0.00285
0.00459
-0.00459
-0.03695
0.04611
0.04879
-0.06173
0.03540
-0.02037
0.00884
0.04250
-0.03786
0.07432
0.03492
0.13678
0.02631
0.02206
-0.05059
-0.01702
-0.02822
-0.03785
0.04608
-0.24706
-0.05638
-0.01179
0.04106
0.11609
-0.02047
-0.10507
0.07811
0.07882
-0.02131
-0.14615

ACCIN #3
-0.05785
-0.01772
0.04078
-0.00885
-0.03908
0.12990
0.06423
-0.01122
0.04876
-0.10737
0.02606
0.08144
-0.04645
-0.04763
0.01879
0.10125
-0.00389
0.03215
0.11588
0.09544
0.08051
-0.00111
0.19213
0.23892
0.09613
0.01624
-0.02374
0.07104
-0.01257
-0.01866
-0.09506
0.08471
-0.05638
-0.06555
-0.04056
0.27057
-0.02826
-0.11438
-0.08100
0.03332
0.05926
0.03208
-0.05965

Mercado
0.30642
-0.14089
-0.02432
0.04034
0.05922
0.14711
0.16113
0.00254
-0.02887
-0.03788
-0.03165
0.04448
-0.04837
-0.03970
-0.06679
-0.00764
-0.01648
-0.01745
0.04347
0.11983
0.06811
0.07830
0.04605
0.13557
0.15337
0.15599
0.08143
-0.01439
0.01792
0.00236
0.01875
-0.09538
0.03521
-0.06225
-0.08868
0.04869
0.14307
-0.07489
-0.09157
-0.07412
-0.02212
0.11660
-0.03445

PROFESOR: FERNANDO FRANCO CUARTAS

9/30/1995
10/31/1995
11/30/1995
12/31/1995
E(R)
DES(R)

-0.01133
-0.22205
-0.06719
0.15367

0.00309
-0.04088
-0.05917
-0.01275

-0.03182
-0.01653
0.05572
0.03908

-0.02467
-0.04662

0.02364
0.14307

0.01483
0.09641

0.02211
0.08188

0.02082
0.08784

CORRELACIN

ACCIN #1
ACCIN #2
ACCIN #3

ACCIN #1
1.0000

ACCIN #2 ACCIN #3
0.4228
0.5356
1.0000
0.2206
1.0000

CALCULO DEL RENDIMIENTO Y RIESGO ESPERADO

EN UNA CARTERA DE TRES ACTIVOS
ACTIVO

E(R)

DESV.(R)

2.36%
1.48%
2.21%

ACCIN #1
ACCIN #2
ACCIN #3

14.31%
9.64%
8.19%

Wi
63.75%
0.00%
36.25%
100.00%

CORRELACIN ENTRE LOS ACTIVOS

ACCIN #1
ACCIN #2
ACCIN #3

ACCIN #1
1.0000

ACCIN #2 ACCIN #3
0.4228
0.5356
1.0000
0.2206
1.0000

COVARIANZA ENTRE ACTIVOS

I
I
J
K

J
2.05%

0.58%
0.93%

K
0.63%
0.17%
0.67%

VARIANZA DE PORTAFOLIO
SUMA

SUMA

EXTERNA

INTERNA

I
I
I
J
J
J
K
K

I
J
K
I
J
K
I
J

TRMINO
Wi*Wi*COVii
Wi*Wj*COVij
Wi*Wk*COVik
Wj*Wi*COVji
Wj*Wj*COVjj
Wj*Wk*COVjk
Wk*Wi*COVki
WkWj*COVkj

VALOR
NUMERIC
O
0.00832
0.00000
0.00145
0.00000
0.00000
0.00000
0.00145
0.00000

100%

PROFESOR: FERNANDO FRANCO CUARTAS

Wk*Wk*COVkk
VARIANZA

RENDIMIENTO ESPERADO

0.00088
0.01210

11.00%

1.00%

2.31%

RIESGO
RENDIMIENTO
8.19%
2.22%
8.50%
2.24%
8.75%
2.25%
9.00%
2.26%
9.50%
2.28%
10.00%
2.29%
10.50%
2.30%
11.00%
2.31%
11.50%
2.32%
12.00%
2.33%
12.50%
2.34%
13.00%
2.34%
13.50%
2.35%
14.00%
2.36%
FRONTERA DE EFICIENCIA
0.0238
0.0236
0.0234
0.0232
0.023
RENDIM
IENTO

0.0228
0.0226
0.0224
0.0222
0.022
0

0.05

0.1

0.15