Anlisis de carteras 0 - Modelo sin incertidumbre

Si es el propietario de una cartera de inversiones, sabr que no existe certeza alguna sobre el valor futuro de su cartera. E
a riesgo (VAR) se puede utilizar para describir la incertidumbre que gobierna una cartera. Sencillamente, el valor a riesgo
un momento dado del futuro se estima normalmente en el percentil 5 de la prdida de valor de la cartera en ese momen
solo hay 1 posibilidad de 20 de que la prdida de la cartera exceda el VAR. Para ilustrar esta idea supongamos que una ca
Si simula el valor que la cartera tendr dentro de un ao, ver que hay un 5% de probabilidades de que el valor de la cart
menos. Por lo tanto, el VAR de la cartera es de $20 o el 20% del valor actual de la cartera.

Este ejemplo puede servirle de punto de partida. Es determinstico y, por tanto, muy poco realista. Supone que los precio
aumentan con las tasas anuales medias de la fila 6, sin ninguna incertidumbre e ignorando completamente las volatibilid
esta manera, se llega a un resultado de la cartera seguro del 9.82% en un periodo de 6 meses. En este modelo, el VAR no
no hay ningn riesgo.

Observe que las filas de valores 6 y 7 se estiman a partir de los datos histricos de la siguiente hoja de clculo. Consulte
para ver los clculos. Por supuesto, al confiar en datos histricos, este modelo supone tcitamente que la historia volver
menos probabilsticamente.

lor futuro de su cartera. El concepto de valor

amente, el valor a riesgo de una cartera en
la cartera en ese momento futuro. Es decir,
a supongamos que una cartera hoy vale $100.
de que el valor de la cartera sea de $80 o

ta. Supone que los precios de las acciones

pletamente las volatibilidades de la fila 7. De
n este modelo, el VAR no es relevante, ya que

oja de clculo. Consulte esa hoja de clculo

nte que la historia volver a repetirse, al

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Accin2
$33.42
2000
0.5
24.14%
19.85%

Accin3
$92.97
1500
0.5
16.86%
29.74%

Accin4
$41.33
500
0.5
22.54%
22.36%

Accin5
$37.48
1500
0.5
18.22%
22.06%

Entradas inciertas (pero tratadas aqu como conocidas)

Precio de la accin al venderla
$27.11
$37.71

$101.15

$46.26

$41.06

8.79%

11.93%

9.54%

Entradas conocidas
Precio actual de las acciones
Acciones compradas
Tiempo que se conservarn (en aos)
Tasa de crecimiento anual media
Volatibilidad anual

Salidas
Resultados de las acciones
Resultado de la cartera

Accin1
$25.47
1000
0.5
12.47%
25.34%

6.43%
9.82%

12.83%

Pgina 3

Mes
1/1/1998
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1/1/2001
2/1/2001
3/1/2001
4/1/2001
5/1/2001
6/1/2001
7/1/2001
8/1/2001
9/1/2001
10/1/2001
11/1/2001
12/1/2001

Precios de cierre
Accin1 Accin2
7.32
2.99
7.70
2.98
7.81
3.10
7.78
3.09
9.08
3.35
9.03
3.37
8.29
3.48
7.21
3.02
6.38
2.67
6.42
2.55
7.03
2.69
7.16
2.84
7.65
3.17
8.72
3.39
8.41
3.47
8.15
3.53
8.21
3.88
7.89
3.72
8.56
3.68
8.42
3.76
8.08
3.51
8.43
3.49
7.44
3.28
8.13
3.90
9.70
3.84
10.93
4.01
10.78
3.89
10.38
3.94
10.82
3.92
10.29
4.02
10.27
3.96
9.84
3.83
10.34
4.08
11.25
4.00
12.05
4.34
12.28
4.49
13.05
4.52
12.69
4.42
12.72
4.72
11.67
4.80
12.60
4.91
11.67
5.10
10.75
5.25
11.26
5.24
10.83
5.14
12.35
5.20
11.46
5.28
12.25
5.66

Accin3
17.23
18.37
18.77
19.28
21.46
21.01
19.94
18.43
19.24
19.08
20.78
20.67
23.18
23.78
21.03
19.02
19.83
18.15
18.92
18.32
19.60
18.58
17.71
17.04
17.23
16.86
16.20
17.61
17.84
19.24
18.63
17.26
16.09
13.32
13.84
10.22
10.45
11.15
10.43
9.97
10.93
10.23
9.22
9.54
8.75
9.59
11.29
11.83

Accin4
4.34
4.47
4.68
4.72
5.35
5.68
5.92
5.53
5.33
5.42
5.91
6.08
6.48
6.98
8.15
8.04
7.74
7.13
7.82
7.97
7.58
8.16
8.30
9.86
9.26
8.75
8.43
8.20
8.41
7.77
8.56
8.62
8.23
8.73
8.84
8.86
7.72
7.49
7.51
7.69
7.91
7.36
6.47
7.28
7.03
7.52
7.84
8.06

Accin5
6.06
5.87
5.91
5.63
6.46
6.63
5.86
5.22
4.87
4.73
5.28
5.47
5.35
5.94
6.54
6.31
6.61
6.21
6.18
6.18
6.63
6.58
6.38
7.21
8.26
7.71
7.59
8.44
8.94
8.77
8.37
8.12
8.48
8.77
9.39
9.34
9.31
9.72
10.15
9.24
9.55
9.45
9.91
10.36
10.00
11.11
11.32
11.01

LN(1+devolucin)
Accin1 Accin2
5.06%
1.42%
-0.38%
15.45%
-0.55%
-8.55%
-13.96%
-12.23%
0.63%
9.08%
1.83%
6.62%
13.09%
-3.62%
-3.14%
0.73%
-3.98%
8.15%
-1.65%
-4.12%
4.24%
-12.49%
8.87%
17.66%
11.94%
-1.38%
-3.78%
4.15%
-5.02%
-0.19%
-4.28%
4.96%
8.43%
6.87%
1.89%
6.08%
-2.80%
0.24%
-8.62%
7.67%
-7.67%
-8.21%
4.64%
-3.89%
13.13%
-7.48%
6.67%

-0.34%
3.95%
-0.32%
8.08%
0.60%
3.21%
-14.18%
-12.32%
-4.60%
5.34%
5.43%
10.99%
6.71%
2.33%
1.71%
9.45%
-4.21%
-1.08%
2.15%
-6.88%
-0.57%
-6.21%
17.31%
-1.55%
4.33%
-3.04%
1.28%
-0.51%
2.52%
-1.50%
-3.34%
6.32%
-1.98%
8.16%
3.40%
0.67%
-2.24%
6.57%
1.68%
2.27%
3.80%
2.90%
-0.19%
-1.93%
1.16%
1.53%
6.95%

Accin3
6.41%
2.15%
2.68%
10.71%
-2.12%
-5.23%
-7.87%
4.30%
-0.84%
8.54%
-0.53%
11.46%
2.56%
-12.29%
-10.05%
4.17%
-8.85%
4.15%
-3.22%
6.75%
-5.34%
-4.80%
-3.86%
1.11%
-2.17%
-3.99%
8.35%
1.30%
7.55%
-3.22%
-7.64%
-7.02%
-18.89%
3.83%
-30.32%
2.23%
6.48%
-6.68%
-4.51%
9.19%
-6.62%
-10.39%
3.41%
-8.64%
9.17%
16.32%
4.67%

1/1/2002
2/1/2002
3/1/2002
4/1/2002
5/1/2002
6/1/2002
7/1/2002
8/1/2002
9/1/2002
10/1/2002
11/1/2002
12/1/2002
1/1/2003
2/1/2003
3/1/2003
4/1/2003
5/1/2003
6/1/2003
7/1/2003
8/1/2003
9/1/2003
10/1/2003
11/1/2003
12/1/2003
1/1/2004
2/1/2004
3/1/2004
4/1/2004
5/1/2004
6/1/2004
7/1/2004
8/1/2004
9/1/2004
10/1/2004
11/1/2004
12/1/2004
1/1/2005
2/1/2005
3/1/2005
4/1/2005
5/1/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/1/2005
11/1/2005
12/1/2005
1/1/2006
2/1/2006

13.59
13.81
12.08
12.25
12.50
12.00
12.23
11.91
11.19
11.43
12.58
13.31
14.74
15.47
15.50
16.07
16.11
16.11
17.04
16.35
16.68
16.78
17.51
17.17
18.73
19.10
18.63
18.11
17.74
18.37
16.28
16.68
18.51
19.31
21.66
20.45
21.40
21.80
21.40
24.05
24.08
23.61
23.81
22.63
23.75
24.31
28.02
29.21
31.58
33.08

5.82
5.69
5.44
5.18
5.41
5.11
5.52
5.45
5.31
5.40
5.08
5.68
5.73
6.09
6.05
6.28
6.50
6.37
6.66
6.65
7.25
7.19
7.63
8.24
8.78
8.64
8.96
8.89
9.52
9.98
9.52
9.62
10.58
11.25
12.09
11.56
12.10
12.02
11.66
13.04
14.19
15.27
16.54
14.76
16.12
15.30
17.49
17.45
18.43
18.49

11.83
11.13
11.49
12.10
13.31
12.42
13.08
14.53
14.77
15.81
15.06
15.65
15.35
16.07
17.54
20.21
19.92
20.56
23.32
22.19
20.29
20.88
20.79
19.66
23.35
26.45
23.99
23.24
23.10
21.42
23.26
24.83
27.03
28.00
34.69
32.98
34.15
31.36
29.95
35.02
37.75
39.38
46.15
44.32
46.34
43.06
47.97
45.83
43.26
45.84

7.61
7.25
6.82
7.48
8.05
7.81
8.56
9.18
9.48
10.00
9.83
10.08
10.70
10.50
11.01
12.03
12.30
12.55
13.34
12.89
13.85
15.23
16.25
16.04
18.01
17.60
17.37
17.41
18.41
18.71
18.05
18.69
19.44
18.69
20.28
18.95
21.99
21.97
20.20
23.35
23.00
24.68
23.82
21.82
22.20
22.08
24.31
25.44
25.86
29.20

11.73
11.73
11.00
11.61
11.99
11.19
10.51
10.97
10.24
11.22
11.04
11.39
12.70
12.97
13.31
13.65
14.80
15.29
15.09
14.29
14.97
16.05
17.50
17.69
19.70
19.63
18.84
18.80
18.92
18.38
18.24
18.26
18.66
17.52
18.44
17.90
17.95
17.09
18.67
21.14
19.88
19.12
21.27
18.75
18.88
17.76
19.26
18.96
18.71
21.70

10.38%
1.61%
-13.38%
1.40%
2.02%
-4.08%
1.90%
-2.65%
-6.24%
2.12%
9.59%
5.64%
10.20%
4.83%
0.19%
3.61%
0.25%
0.00%
5.61%
-4.13%
2.00%
0.60%
4.26%
-1.96%
8.70%
1.96%
-2.49%
-2.83%
-2.06%
3.49%
-12.08%
2.43%
10.41%
4.23%
11.48%
-5.75%
4.54%
1.85%
-1.85%
11.67%
0.12%
-1.97%
0.84%
-5.08%
4.83%
2.33%
14.20%
4.16%
7.80%
4.64%

2.79%
-2.26%
-4.49%
-4.90%
4.34%
-5.70%
7.72%
-1.28%
-2.60%
1.68%
-6.11%
11.16%
0.88%
6.09%
-0.66%
3.73%
3.44%
-2.02%
4.45%
-0.15%
8.64%
-0.83%
5.94%
7.69%
6.35%
-1.61%
3.64%
-0.78%
6.85%
4.72%
-4.72%
1.04%
9.51%
6.14%
7.20%
-4.48%
4.57%
-0.66%
-3.04%
11.19%
8.45%
7.34%
7.99%
-11.39%
8.81%
-5.22%
13.38%
-0.23%
5.46%
0.33%

0.00%
-6.10%
3.18%
5.17%
9.53%
-6.92%
5.18%
10.51%
1.64%
6.80%
-4.86%
3.84%
-1.94%
4.58%
8.75%
14.17%
-1.45%
3.16%
12.60%
-4.97%
-8.95%
2.87%
-0.43%
-5.59%
17.20%
12.47%
-9.76%
-3.18%
-0.60%
-7.55%
8.24%
6.53%
8.49%
3.53%
21.42%
-5.06%
3.49%
-8.52%
-4.60%
15.64%
7.51%
4.23%
15.86%
-4.05%
4.46%
-7.34%
10.80%
-4.56%
-5.77%
5.79%

3/1/2006
4/1/2006
5/1/2006
6/1/2006
7/1/2006
8/1/2006
9/1/2006
10/1/2006
11/1/2006
12/1/2006
1/1/2007
2/1/2007
3/1/2007
4/1/2007
5/1/2007
6/1/2007
7/1/2007
8/1/2007
9/1/2007
10/1/2007
11/1/2007
12/1/2007

31.54
36.86
33.51
31.09
30.62
24.39
22.55
24.00
28.68
26.72
29.40
31.35
27.72
28.28
25.94
27.45
24.55
24.72
23.16
23.66
25.10
25.21

20.58
20.34
19.90
21.69
21.42
19.16
19.12
21.03
21.72
24.60
25.30
24.20
26.78
25.51
24.62
27.35
26.47
27.27
28.87
33.00
31.69
32.76

45.59
50.86
51.67
50.49
58.27
49.61
56.60
65.41
72.85
81.34
80.84
74.98
78.30
92.41
102.60
114.32
111.17
110.28
107.13
86.98
91.36
91.68

28.46
27.70
26.85
28.77
30.04
26.92
30.53
31.79
31.79
32.82
33.30
33.50
36.69
38.26
36.45
38.57
35.84
40.36
36.27
41.35
41.07
40.57

23.86
24.61
26.13
27.48
26.60
22.48
23.80
26.74
27.97
30.67
31.47
33.94
36.22
33.88
30.82
32.92
33.37
33.16
34.66
33.06
36.70
36.92

Medias mensuales
Desv est mensuales
Medias anuales
Desv est anuales

-4.77%
15.59%
-9.53%
-7.50%
-1.52%
-22.75%
-7.84%
6.23%
17.81%
-7.08%
9.56%
6.42%
-12.31%
2.00%
-8.64%
5.66%
-11.17%
0.69%
-6.52%
2.14%
5.91%
0.44%

10.71%
-1.17%
-2.19%
8.61%
-1.25%
-11.15%
-0.21%
9.52%
3.23%
12.45%
2.81%
-4.45%
10.13%
-4.86%
-3.55%
10.52%
-3.27%
2.98%
5.70%
13.37%
-4.05%
3.32%

-0.55%
10.94%
1.58%
-2.31%
14.33%
-16.09%
13.18%
14.47%
10.77%
11.02%
-0.62%
-7.53%
4.33%
16.57%
10.46%
10.82%
-2.79%
-0.80%
-2.90%
-20.84%
4.91%
0.35%

1.04%
7.31%

2.01%
5.73%

1.40%
8.58%

12.47%
25.34%

24.14%
19.85%

16.86%
29.74%

Accin4

Accin5

2.95%
4.59%
0.85%
12.53%
5.99%
4.14%
-6.81%
-3.68%
1.67%
8.66%
2.84%
6.37%
7.43%
15.50%
-1.36%
-3.80%
-8.21%
9.24%
1.90%
-5.02%
7.37%
1.70%
17.22%
-6.28%
-5.67%
-3.73%
-2.77%
2.53%
-7.92%
9.68%
0.70%
-4.63%
5.90%
1.25%
0.23%
-13.77%
-3.02%
0.27%
2.37%
2.82%
-7.21%
-12.89%
11.80%
-3.49%
6.74%
4.17%
2.77%

-3.19%
0.68%
-4.85%
13.75%
2.60%
-12.35%
-11.57%
-6.94%
-2.92%
11.00%
3.54%
-2.22%
10.46%
9.62%
-3.58%
4.64%
-6.24%
-0.48%
0.00%
7.03%
-0.76%
-3.09%
12.23%
13.60%
-6.89%
-1.57%
10.62%
5.76%
-1.92%
-4.67%
-3.03%
4.34%
3.36%
6.83%
-0.53%
-0.32%
4.31%
4.33%
-9.39%
3.30%
-1.05%
4.75%
4.44%
-3.54%
10.53%
1.87%
-2.78%

-5.75%
-4.85%
-6.11%
9.24%
7.34%
-3.03%
9.17%
6.99%
3.22%
5.34%
-1.71%
2.51%
5.97%
-1.89%
4.74%
8.86%
2.22%
2.01%
6.10%
-3.43%
7.18%
9.50%
6.48%
-1.30%
11.58%
-2.30%
-1.32%
0.23%
5.58%
1.62%
-3.59%
3.48%
3.93%
-3.93%
8.16%
-6.78%
14.88%
-0.09%
-8.40%
14.49%
-1.51%
7.05%
-3.55%
-8.77%
1.73%
-0.54%
9.62%
4.54%
1.64%
12.15%

6.33%
0.00%
-6.43%
5.40%
3.22%
-6.91%
-6.27%
4.28%
-6.89%
9.14%
-1.62%
3.12%
10.89%
2.10%
2.59%
2.52%
8.09%
3.26%
-1.32%
-5.45%
4.65%
6.97%
8.65%
1.08%
10.76%
-0.36%
-4.11%
-0.21%
0.64%
-2.90%
-0.76%
0.11%
2.17%
-6.30%
5.12%
-2.97%
0.28%
-4.91%
8.84%
12.42%
-6.15%
-3.90%
10.66%
-12.61%
0.69%
-6.12%
8.11%
-1.57%
-1.33%
14.83%

-2.57%
-2.71%
-3.12%
6.91%
4.32%
-10.97%
12.58%
4.04%
0.00%
3.19%
1.45%
0.60%
9.10%
4.19%
-4.85%
5.65%
-7.34%
11.88%
-10.68%
13.11%
-0.68%
-1.22%

9.49%
3.09%
5.99%
5.04%
-3.25%
-16.83%
5.71%
11.65%
4.50%
9.22%
2.57%
7.56%
6.50%
-6.68%
-9.47%
6.59%
1.36%
-0.63%
4.42%
-4.73%
10.45%
0.60%

1.88%
6.46%

1.52%
6.37%

22.54%
22.36%

18.22%
22.06%