Frontera Ef Ici Ente

8/15/2019 Frontera Ef Ici Ente

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296385002.xls

Optimización de portafolios por el métodoCon este procedimiento se pretende elegir la proporción óptima de activos del portafolio I por medio de mi

a "n rendimiento deseado del portafolio.

BSUD ALUA FRAN AL A!"N #otal

$%" &#S'(RO(OR!" 0.00% 0.00% 0.00% 0.00% 100.00% 100.00%R%#ORNO %S(%RAD 0.05% -0.14% -0.16% -0.17% 0.19%

MATRIX DE COVARIANZASBSUD ALUA FRAN AL A!"N

BSUD 0.04% 0.00% 0.00% 0.00% 0.01%ALUA 0.00% 0.03% 0.03% 0.03% 0.03%FRAN 0.00% 0.03% 0.06% 0.05% 0.04%

AL 0.00% 0.03% 0.05% 0.06% 0.04%A!"N 0.01% 0.03% 0.04% 0.04% 0.06%

)AR"AN*A !+ 0.00% 0.00% 0.00% 0.00% 0.06%

R%#ORNO !+ 0.00% 0.00% 0.00% 0.00% 0.19%

0.002 0.004 0.006 0.008 0.01 0.012 0.014 0.016 0.018 0.02

0.06

0.08

0.1

0.12

0.14

0.16

Eff icient Frontier

Variance

R e

t u r n



296385002.xls

e Markowitznimi!ación del ri R%#ORNO D%S% 14.75%

Al procesar, se ejecuta un programa que elije la mejor combinación de minimizacióndel riesgo al retorno deseado

por medio de cambios en losweights del portafolio

R%#ORNO (i 0.19%)AR"AN*A 0.0005561D%S)+%S#+ 2.36%

0.1 0.003033050.1025 0.00303305

0.105 0.003033050.1075 0.00303784

0.11 0.003098570.1125 0.0032398

0.115 0.00350.1175 0.00388265

0.12 0.00438776

0.1225 0.005015310.125 0.005765310.1275 0.00663776

0.13 0.007632650.1325 0.00875

0.135 0.00998980.1375 0.01135204

0.14 0.012836730.1425 0.01444388

0.145 0.016173470.1475 0.01802551

Por !o"#o $ #&' ( ( " )r*#+o,* r# ,+o ,(o #, o , ",/ro/or # + , , , # o + ro

" o ," " /or ,!o"#o. S#&+#!# ,", ,+ # , , #o+ ( , ,*/r (, + ro " o ," +

, #o+ ( " /or ,!o"#o #.E" r or+o (/ r, o ,( o*o ",*, r# o ,r#,+ ,(

orr (/o+ + , ", '#( or#, "o(, # o( + ,( , +, ( r# TD.

"o( , o( , o*/" ,r ( +r (," , o( + ,*/o(,*,r#""o(

E PRO:RAMA ;<NCIONA CONSO VER =A>I ITADO EN EXCE



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#s"d al"a fran ggal acin0.05' $0.1%' $0.16' $0.1&' 0.19'

#s"d al"a fran ggal acin

0.0%' 0.00' 0.00' 0.00' 0.01'0.00' 0.03' 0.03' 0.03' 0.03'0.00' 0.03' 0.06' 0.05' 0.0%'0.00' 0.03' 0.05' 0.06' 0.0%'0.01' 0.03' 0.0%' 0.0%' 0.06'

#s"d al"a fran ggal acin1.0000 $0.0651 0.0139 0.06&& 0.1%85

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Frontera Ef Ici Ente

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