Documente Academic
Documente Profesional
Documente Cultură
A =
B 58.2040650514
C 1194.834881
D 68839.77951384
546013.265967511
-54266.9931460406
-22960.9964277565
-38981.2311015568
-19169.1650874364
G1 -2324.3606258795
-12944.951774297
-103013.839041668
-61251.0182723061
-54779.3832487012
-74200.9669675624
248989.132733938
-24746.4528825479
-10470.5122450162
G2 -17775.9470874381
-8741.3879622449
-1059.9385994279
-5903.0659444759
-46975.647005808
-27931.2589441727
-24980.1094166192
-33836.6035494312
112822.384182801
-16492.3835854491
G3 -5782.9074233193
-6571.0543313829
-5470.2789876445
5598.4575565362
-266.3041395663
-4455.0307053378
-7683.0529176532
11560.1722932958
-14420.2224284396
11208765.1430958
H1 -1114013.19181895
-471351.947748278
-800221.334607813
-393511.81161062
-47715.3468371819
-265738.825905066
-2114706.73017573
-1257383.87944333
-1124531.72805304
-1523225.28401628
248989.132733938
-24746.4528825479
-10470.5122450162
-17775.9470874381
H2 -8741.3879622449
-1059.9385994279
-5903.0659444759
-46975.647005808
-27931.2589441727
-24980.1094166192
-33836.6035494312
-528342.137255656
124973.741730055
66426.3629954641
62736.3955141785
164945.213392652
H3 -231635.803489799
-456.9030358954
65444.6961276356
127057.286776846
33133.6085354585
115717.538709061
g
1.6389126313
-0.2395763569
-0.0840053159
-0.0954543198
-0.0794639237
0.0813259077
-0.003868463
-0.0647159351
-0.1116077502
0.1679286653
-0.2094751397
E[U] W1
.SPX 11.262% 1%
MSFT.O 28.076% 1%
AMZN.O 30.583% 1%
AAPL.O 24.998% 1%
GOOG.O 15.037% 1%
GOOGL.O 14.312% 1%
FB.O 17.321% 1%
BRKb 13.495% 1%
V 25.122% 1%
JNJ 6.636% 1%
JPM 19.647% 1%
Restriccion de pesos
COV ANUAL .SPX MSFT.O AMZN.O
.SPX 0.11% 0.14% 0.15%
MSFT.O 0.14% 0.31% 0.27%
AMZN.O 0.15% 0.27% 0.50%
AAPL.O 0.14% 0.21% 0.24%
GOOG.O 0.13% 0.23% 0.27%
GOOGL.O 0.13% 0.23% 0.27%
FB.O 0.13% 0.22% 0.31%
BRKb 0.11% 0.12% 0.11%
V 0.13% 0.21% 0.20%
JNJ 0.07% 0.08% 0.07%
JPM 0.12% 0.14% 0.12%
1 1 1
-54266.993146041 -22960.9964277565 -38981.2311015568 -19169.16509
66040.436935592 -8281.6246673182 -677.4294605219 -580.7098789
-8281.6246673182 27770.5502853161 -2551.0455604051 -10827.94026
-677.4294605219 -2551.0455604051 30340.1312049203 -3181.704788
-580.7098788995 -10827.9402623664 -3181.7047881146 1313964.8262
-12142.611626264 3782.8054092171 -469.440915425 -1298931.307
824.1189545532 -5261.7870878706 156.5010671563 1949.0933608
4071.0963969247 5512.1247001196 3224.6633496645 -6460.645985
-15835.984146752 2107.9352354538 -558.7745601666 13275.061387
1617.3427291764 2533.080938969 4054.6949085137 12730.860714
5375.7502041894 3825.4924029718 3413.2114903079 -4593.073097
1.6389126313
-0.2395763569
G total -0.0840053159
-0.0954543198
-0.0794639237
0.0813259077
-0.003868463
-0.0647159351
-0.1116077502
0.1679286653
-0.2094751397
-7.67495
1.815429
0.964942
0.911339
Htotal 2.396074
-3.36485
-0.00664
0.950681
1.845696
0.481315
1.680969
h
-7.6749539436
1.8154291401
0.964941542
0.9113392861 Up
+ 2.3960741094 x 3.000%
-3.3648539424
-0.0066371949
0.9506813733
1.8456957253
0.4813148556
1.6809690491
W2 W3 W4 W5
AAPL.O GOOG.O GOOGL.O
0.14% 0.13% 0.13%
0.21% 0.23% 0.23%
0.24% 0.27% 0.27%
0.38% 0.21% 0.20%
0.21% 0.33% 0.32%
0.20% 0.32% 0.32%
0.20% 0.26% 0.26%
0.12% 0.11% 0.11%
0.18% 0.18% 0.18%
0.07% 0.07% 0.07%
0.13% 0.12% 0.12%
1 1 1
-2324.36062588 -12944.9517742971 -103013.839041668
-12142.6116263 824.1189545532 4071.0963969247
3782.805409217 -5261.7870878706 5512.1247001196
-469.440915425 156.5010671563 3224.6633496645
-1298931.30743 1949.0933608141 -6460.6459853609
1335648.832258 -10372.8555136072 7017.8309570398
-10372.8555136 19761.4355919517 4616.0969162153
7017.83095704 4616.0969162153 106433.62463274
-17326.3794851 -1334.3141611077 3790.1060021435
-12253.4088493 1600.1102044491 -3728.7797022335
7828.479966755 727.2696833495 -24494.2474928536
h*Up
-0.2302486183
0.0544628742
0.0289482463
0.0273401786
0.0718822233 =
-0.1009456183
-0.0001991158
0.0285204412
0.0553708718
0.0144394457
0.0504290715
Suma
SO
1. PORTAFOLIO
DE MÍNIMA
VARIANZA DE
MARKOWITZ
Portafolio1
Riesgo del
Portafolio
Rentabilidad del 2.065%
Portafolio
Restriccion de NO HAY
rentabilidad del RESTRICCIÓN DE
portafolio RENTABILIDAD
Frontera Eficien
Frontera Efici ente
1200.000%
1000.000%
800.000%
600.000%
400.000%
200.000%
0.000%
0.025 2.025 4.025 6.025
FB.O BRKb V
0.13% 0.11% 0.13%
0.22% 0.12% 0.21%
0.31% 0.11% 0.20%
0.20% 0.12% 0.18%
0.26% 0.11% 0.18%
0.26% 0.11% 0.18%
0.55% 0.10% 0.19%
0.10% 0.18% 0.11%
0.19% 0.11% 0.26%
0.06% 0.07% 0.07%
0.11% 0.16% 0.13%
1 1 1
-61251.0182723062 -54779.3832487012 -74200.9669675623
-15835.9841467515 1617.3427291764 5375.7502041894
2107.9352354538 2533.080938969 3825.4924029718
-558.7745601666 4054.6949085137 3413.2114903079
13275.0613867245 12730.8607143839 -4593.0730965659
-17326.3794850708 -12253.4088492739 7828.4799667551
-1334.3141611077 1600.1102044491 727.2696833495
3790.1060021435 -3728.7797022335 -24494.2474928536
63406.80545555 4135.9475850029 4680.2447282263
4135.9475850029 48109.3360744899 8402.2262455091
4680.2447282263 8402.2262455091 57064.6521365131
100%
SOLVER
Frontera Eficiente
Frontera Efici ente
9381.0160078162 -932.357441
-932.3574409808 1134.636161
-394.4912852301 -142.286018
-669.733824727 -11.6388685
-329.3440942741 -9.97713611
1 1 x -39.9346785113 -208.621367
-222.406317546 14.15913053
-1769.8736153674 69.9452245
-1052.3494917095 -272.076944
-941.1607797547 27.78745312
-1274.8416610075 92.36039097
1 102120.360274307
1 -13856.6077053594
1 -4351.4050336696
1 -5230.4243656274
x 1 -1824.7048345543
1 457.5841471558
1 = -279.2827583935
1 -3031.9692672688
1 -4910.3702323018
1 12422.0276002854
1 -11970.9606991597
11.3% -10702.0239084939
28.1% 2635.7758800898
30.6% 1431.5023896497
25.0% 1340.6299657555
x 15.0% 3645.5741530902
14.3% -5140.8734093804
17.3% = -12.9786188272
13.5% 1423.061438069
25.1% 2772.6826853514
6.6% 861.8553069896
19.6% 2449.2617292799
11.3% -481773.928158899
28.1% 118654.948854064
30.6% 64442.0658491527
25.0% 60351.2541489401
x 15.0% 164113.124316124
14.3% -231427.139182438
17.3% = -584.2595968697
13.5% 64062.0788078979
25.1% 124818.094248479
6.6% 38798.214272668
19.6% 110258.625330474
1 46568.2090967557
1 -6318.7928759905
1 -1984.2971463114
1 -2385.1413652384
x 1 -832.0890765281
1 208.6643073612
1 = -127.3565609742
1 -1382.6173197376
1 -2239.1925283664
1 5664.6057372095
1 -5458.9133785866
A DE MARKOWITZ
Portafolio5
30.000%
10.025 12.025
-394.491285 -669.733825 -329.344094 -39.9346785 -222.406318 -1769.87362 -1052.34949
-142.286018 -11.6388685 -9.97713611 -208.621367 14.15913053 69.9452245 -272.076944
477.1238961 -43.8293366 -186.03409 64.99211706 -90.4023986 94.70343171 36.21628891
-43.8293366 521.2716874 -54.664649 -8.06543177 2.688833967 55.40271709 -9.60026692