Rendimiento y beta de portafolios ejercicios
Enviado por Luis Pérez • 13 de Enero de 2021 • Tareas • 985 Palabras (4 Páginas) • 86 Visitas
[pic 1] [pic 2]
Beta = (1/3) * (1.5) + (1/3) * (1.5) + (1/3) * (1.5)
Beta = 1.5
Beta1 = (1/4) * (1.5) + (1/4) * (1.4) + (1/4) * (1.5) + (1/4) * (3)[pic 3]
[pic 4] [pic 5]
r = RF + [b * (RM - RF)][pic 6]
[pic 7] [pic 8]
r = RF + [b * (RM - RF)][pic 9]
[pic 10]
[pic 11] [pic 12]
r = | RF + [b * (RM - RF)] |
16% = | RF + [1.8 * (10% - RF)] |
16% = | RF + 0.18 - 1.8RF |
1.8RF - RF = | 18% - 16% |
0.8 RF = | 2.00% |
RF = | 2.50% |
[pic 13] [pic 14]
Acción | Monto invertido | Porcentaje | Beta | Factor |
1 | $ 400,000.00 | 40% | 1.5 | 0.6000 |
2 | $ 500,000.00 | 50% | 2 | 1.0000 |
3 | $ 100,000.00 | 10% | 4 | 0.4000 |
TOTAL
$ 1,000,000.00
100% 2
r = RF + [b * (RM - RF)][pic 15]
[pic 16] [pic 17]
Acción | Monto invertido | Rendimiento | Factor (x) |
ABC | $ 10,000.00 | 30% | 10% |
EFG | $ 50,000.00 | 16% | 50% |
QRP | $ 40,000.00 | 20% | 40% |
TOTAL
$ 100,000.00
100%
r = (r1*x1) + (r2*x2) + (r3*x3)[pic 18]
[pic 19][pic 20][pic 21][pic 22][pic 23]
r = | RF + [b * (RM - RF)] |
r = | 3% + [b * (10%-3%)] |
17% = | 3% + [b * 7%] |
17%-3% = | 7%b |
b = | 2 |
PRm = | 7.00% |
PRm1 = | 8.00% |
r = | 3% + [2 * 8%] |
r = | 19.00% |
[pic 24] [pic 25]
a)
r = RF + [b * (RM - RF)]
r = 8% + [b * (11%-8%)]
14% 8% + [b * 3%]
14%-8% = 3%b[pic 26]
b)
r = RF + [b * (RM - RF)]
r = 8% + [1.5 * (11% - 8%)][pic 27]
[pic 28] [pic 29]
a)
r = RF + [b * (RM - RF)]
r = 9% + [1.3 * (14% - 9%)]
[pic 30]
b)
b1)
r = RF + [b * (RM - RF)]
r = 10% + [1.3 * (14% - 10%)]
[pic 31]
b2)
r = RF + [b * (RM - RF)]
r = 8% + [1.3 * (14% - 8%)]
[pic 32]
c)
c1)
r = RF + [b * (RM - RF)]
r = 9% + [1.3 * (16% - 9%)]
[pic 33]
c2)
r = RF + [b * (RM - RF)]
r = 9% + [1.3 * (13% - 9%)]
[pic 34]
Acción | Monto invertido | Porcentaje | Beta | Factor |
A | $ 400,000.00 | 10% | 1.5 | 0.1500 |
B | $ 600,000.00 | 15% | -0.5 | -0.0750 |
C | $ 1,000,000.00 | 25% | 1.25 | 0.3125 |
D | $ 2,000,000.00 | 50% | 0.75 | 0.3750 |
TOTAL[pic 35][pic 36]
$ 4,000,000.00
100% 0.7625
[pic 37][pic 38]
r = RF + [b * (RM - RF)][pic 39]
d)[pic 40]
d1)[pic 41]
d2) R =
a)
Valor esperado =
$ 500,000.00
- Los $500,000 seguros
- Aversión al riesgo
[pic 42]
Acción | Monto invertido | Beta | Porcentaje | Factor |
A | $ 160,000,000.00 | 0.5 | 32% | 0.16 |
B | $ 120,000,000.00 | 2 | 24% | 0.48 |
C | $ 80,000,000.00 | 4 | 16% | 0.64 |
D | $ 80,000,000.00 | 1 | 16% | 0.16 |
E | $ 60,000,000.00 | 3 | 12% | 0.36 |
Probabilidad | ||||
0.1 | ||||
0.2 | ||||
0.4 | ||||
0.2 | ||||
0.1 |
TOTAL
...