Pregunta N°1

Precios
Fecha BBVAC1 PE SCOTIAC1 PE UNACEMC1 PE FERREYC1 PE
1/29/2010 2.13 11.47 2.06 1.21
2/26/2010 1.98 10.74 2.02 1.14
3/31/2010 2.11 12.26 2.52 1.35
4/30/2010 2.07 11.94 2.59 1.43
5/31/2010 1.83 11.17 2.45 1.30
6/30/2010 1.67 10.48 2.45 1.27
7/30/2010 1.63 9.73 2.38 1.23
8/31/2010 1.75 11.17 2.40 1.33
9/30/2010 2.14 13.67 2.96 1.78
10/29/2010 2.19 13.79 2.99 2.04
11/30/2010 2.51 15.13 3.17 2.23
12/31/2010 2.41 17.77 3.50 2.26
1/31/2011 2.35 16.98 3.39 2.39
2/28/2011 2.21 15.95 3.24 2.31
3/31/2011 2.19 15.95 2.81 2.02
4/29/2011 1.93 12.53 2.60 1.67
5/31/2011 2.12 12.99 2.80 1.70
6/30/2011 1.82 10.27 2.31 1.63
7/29/2011 2.00 13.22 2.69 1.92
8/31/2011 1.88 13.65 2.38 1.85
9/30/2011 1.65 12.76 2.10 1.69
10/31/2011 1.90 14.34 2.09 1.67
11/30/2011 1.83 13.43 2.20 1.69
12/30/2011 1.82 12.26 2.04 1.56
1/31/2012 2.00 12.39 2.45 1.78
2/29/2012 2.11 13.60 2.65 1.95
3/30/2012 2.25 14.10 2.75 2.13
4/30/2012 2.20 14.11 2.85 2.01
5/31/2012 1.98 12.80 2.62 1.80
6/29/2012 1.98 12.76 2.72 1.81
7/31/2012 2.03 13.64 2.73 1.70
8/31/2012 2.08 13.38 2.70 1.75
9/28/2012 2.21 13.87 2.96 1.86
10/31/2012 2.15 13.65 3.09 1.70
11/30/2012 2.31 14.78 3.18 1.68
12/31/2012 2.52 14.85 3.24 1.74
1/31/2013 2.69 15.75 3.70 1.96
2/28/2013 2.72 15.62 3.65 2.21
3/29/2013 2.74 15.66 3.70 2.12
4/30/2013 2.57 14.74 3.92 1.81
5/31/2013 2.47 15.20 3.75 1.61
6/28/2013 2.40 14.45 3.80 1.66
7/31/2013 2.16 14.41 3.90 1.54
8/30/2013 2.35 13.99 3.90 1.71
9/30/2013 2.26 14.39 3.58 1.69
10/31/2013 2.48 13.16 3.62 1.69
11/29/2013 2.31 11.92 3.54 1.66
12/31/2013 2.45 12.70 3.77 1.80
1/31/2014 2.55 13.05 3.38 1.66
2/28/2014 2.56 13.05 3.34 1.57
3/31/2014 2.38 12.52 3.04 1.41
4/30/2014 2.53 11.41 3.60 1.57
5/30/2014 2.61 10.73 3.37 1.74
6/30/2014 2.64 12.21 3.30 1.77
7/31/2014 2.71 13.42 3.22 1.70
8/29/2014 2.68 13.73 3.18 1.72
9/30/2014 2.66 13.75 3.07 1.66
10/31/2014 2.64 13.75 2.92 1.55
11/28/2014 2.63 12.51 2.90 1.60
12/31/2014 2.57 13.55 2.93 1.62
1/30/2015 2.27 13.24 2.66 1.50
2/27/2015 2.29 13.59 2.20 1.44
3/31/2015 2.39 12.97 2.33 1.41
4/30/2015 2.33 12.21 2.45 1.37
5/29/2015 2.37 12.75 2.40 1.43
6/30/2015 2.30 12.17 2.46 1.42
7/31/2015 2.30 12.86 2.40 1.37
8/31/2015 2.06 11.11 2.00 1.29
9/30/2015 1.94 11.55 1.87 1.26
10/30/2015 2.00 11.84 1.75 1.40
11/30/2015 1.99 12.21 1.70 1.28
12/31/2015 1.79 12.64 1.70 1.35
1/29/2016 1.62 12.50 1.45 1.22
2/29/2016 1.97 14.59 1.40 1.30
3/31/2016 2.25 14.90 2.25 1.47
4/29/2016 2.35 14.53 2.85 1.72
5/31/2016 2.70 15.78 2.66 1.70
6/30/2016 2.51 15.26 2.53 1.56
7/29/2016 2.81 17.89 2.80 1.63
8/31/2016 2.91 18.31 2.90 1.63
9/30/2016 2.89 18.93 2.80 1.65
10/31/2016 2.93 18.52 2.69 1.67
11/30/2016 2.95 21.15 2.61 1.71
12/30/2016 2.99 21.29 2.56 1.69
1/31/2017 3.14 24.21 2.42 1.80
2/28/2017 3.25 26.94 2.31 1.86
3/31/2017 3.28 24.21 2.60 2.04
4/28/2017 3.07 23.87 2.35 1.87
5/31/2017 3.18 26.35 2.50 1.96
6/30/2017 3.34 25.28 2.36 1.81
7/31/2017 3.28 24.93 2.55 1.80
8/31/2017 3.29 25.59 2.51 1.92
9/29/2017 3.57 25.97 2.85 2.13
10/31/2017 3.56 27.53 2.96 2.54
11/30/2017 3.61 28.74 3.00 2.60
12/29/2017 3.44 26.91 3.00 2.55
1/31/2018 3.62 29.99 3.05 2.59
2/28/2018 3.53 29.49 2.99 2.53
3/30/2018 3.61 29.74 2.95 2.54
4/30/2018 3.73 29.83 2.92 2.63
5/31/2018 3.70 29.99 2.92 2.66
6/29/2018 3.80 30.83 2.85 2.35
7/31/2018 3.79 30.91 2.85 2.36
8/31/2018 3.83 32.91 2.50 2.30
9/28/2018 3.63 32.91 2.30 2.35
10/31/2018 3.61 32.14 2.11 2.11
11/30/2018 3.57 28.97 2.40 2.34
12/31/2018 3.60 28.52 2.60 2.54
1/31/2019 3.51 33.50 2.60 2.52
2/28/2019 3.54 34.63 2.65 2.46
3/29/2019 3.64 35.94 2.73 2.47
4/30/2019 3.49 35.99 2.50 2.45
5/31/2019 3.32 35.31 2.48 2.17
6/28/2019 3.41 35.76 2.44 2.26
7/31/2019 3.33 33.00 2.36 2.16
8/30/2019 3.25 35.00 2.32 2.05
9/30/2019 3.24 36.00 2.13 2.11
10/31/2019 3.50 32.60 2.13 2.17
11/29/2019 3.36 32.00 2.00 2.14
12/31/2019 3.43 32.45 2.00 2.19
SPBLPGPT
14,440
14,002
15,129
15,842
14,487
13,985
14,275
15,153
17,867
19,221
20,855
23,375
22,887
22,843
21,957
19,636
21,566
18,879
21,963
20,697
18,329
19,630
19,912
19,473
21,948
22,729
23,612
22,678
20,998
20,207
19,628
20,312
21,675
20,789
20,045
20,629
21,435
20,612
19,859
17,353
16,050
15,550
15,118
16,652
15,920
16,322
15,200
15,754
15,452
15,441
14,299
15,528
15,753
16,662
16,866
17,011
16,227
15,673
15,106
14,794
13,670
13,397
12,462
13,367
13,181
13,113
11,988
10,340
10,031
10,546
10,226
9,849
9,392
10,742
12,058
13,702
13,536
13,857
15,211
15,130
15,297
15,171
15,415
15,567
15,984
15,766
15,757
15,559
16,000
16,133
16,750
17,616
18,538
19,874
19,694
19,974
21,069
20,832
20,559
21,429
20,814
19,800
20,486
19,443
19,564
18,909
19,181
19,350
20,191
20,614
21,098
20,897
19,923
20,623
19,957
19,107
19,603
19,905
20,078
20,526
Pregunta N°2

Escenario Base

Precios
Fecha KOF US Equity ENIA US Equity SCCO US Equity SPY US Equity
1/31/2001 21.75 10.53 8.39 137.02
2/28/2001 20.85 9.45 6.77 123.95
3/30/2001 19.15 8.86 6.71 116.69
4/30/2001 19.50 8.68 7.56 124.91
5/31/2001 22.35 8.76 7.11 125.95
6/29/2001 24.70 7.93 6.43 122.60
7/31/2001 21.86 7.51 6.21 121.35
8/31/2001 21.91 7.76 6.32 114.15
9/28/2001 19.75 6.48 6.36 104.44
10/31/2001 20.09 6.51 6.72 105.80
11/30/2001 18.75 7.14 7.69 114.05
12/31/2001 20.07 7.04 8.12 114.30
1/31/2002 23.25 5.58 8.00 113.18
2/28/2002 24.75 4.92 9.24 111.15
3/29/2002 27.26 4.78 9.87 114.52
4/30/2002 27.78 4.76 12.33 107.86
5/31/2002 25.50 4.13 11.36 107.22
6/28/2002 24.00 3.06 11.15 98.96
7/31/2002 22.27 3.02 10.86 91.16
8/30/2002 22.70 3.10 10.47 91.78
9/30/2002 19.01 2.37 10.47 81.79
10/31/2002 20.88 2.57 10.57 88.52
11/29/2002 22.09 2.30 9.97 93.98
12/31/2002 17.90 2.16 9.97 88.23
1/31/2003 18.29 2.15 9.62 86.06
2/28/2003 18.09 2.12 9.37 84.90
3/31/2003 17.14 2.06 9.36 84.74
4/30/2003 21.25 2.41 9.87 91.91
5/30/2003 22.42 2.54 9.82 96.95
6/30/2003 21.50 2.33 10.66 97.63
7/31/2003 22.00 2.53 11.85 99.39
8/29/2003 21.65 2.83 13.43 101.44
9/30/2003 21.20 3.06 14.56 99.95
10/31/2003 20.20 3.66 14.51 105.30
11/28/2003 20.45 3.41 14.42 106.45
12/31/2003 21.24 3.89 15.11 111.28
1/30/2004 23.30 3.48 17.67 113.48
2/27/2004 23.78 3.79 17.87 115.02
3/31/2004 24.09 3.40 18.66 113.10
4/30/2004 21.26 3.20 19.25 110.96
5/31/2004 21.86 3.28 18.96 112.86
6/30/2004 22.19 3.15 18.76 114.53
7/30/2004 20.50 3.15 19.20 110.84
8/31/2004 20.38 3.50 19.06 111.11
9/30/2004 19.48 3.83 22.56 111.76
10/29/2004 20.12 4.00 22.71 113.20
11/30/2004 21.82 3.95 23.17 117.89
12/31/2004 23.76 4.50 26.15 120.87
1/31/2005 25.93 4.24 26.29 118.16
2/28/2005 25.70 4.65 26.76 120.63
3/31/2005 24.17 4.45 24.98 117.96
4/29/2005 22.83 4.60 22.02 115.75
5/31/2005 23.80 4.87 22.86 119.48
6/30/2005 26.71 5.52 24.83 119.18
7/29/2005 28.51 5.54 25.08 123.74
8/31/2005 27.00 5.66 23.87 122.58
9/30/2005 26.71 6.05 27.40 123.04
10/31/2005 25.71 5.78 27.66 120.13
11/30/2005 25.19 6.07 31.79 125.41
12/30/2005 27.01 5.82 34.07 124.51
1/31/2006 29.86 6.41 38.14 127.50
2/28/2006 30.58 6.49 33.23 128.23
3/31/2006 33.20 6.28 31.76 129.83
4/28/2006 32.20 6.46 34.24 131.47
5/31/2006 30.91 6.17 27.85 127.51
6/30/2006 29.52 5.95 30.45 127.23
7/31/2006 30.43 6.25 32.57 127.85
8/31/2006 29.52 6.54 32.53 130.64
9/29/2006 31.27 6.99 33.19 133.58
10/31/2006 34.74 7.30 34.85 137.79
11/30/2006 35.59 8.05 36.95 140.53
12/29/2006 38.00 8.47 38.87 141.62
1/31/2007 40.02 8.34 32.87 143.75
2/28/2007 34.45 8.26 34.82 140.93
3/30/2007 36.12 8.62 34.34 142.00
4/30/2007 38.89 10.02 36.09 148.29
5/31/2007 40.20 9.73 37.23 153.32
6/29/2007 44.28 10.61 35.30 150.43
7/31/2007 45.43 9.38 39.95 145.72
8/31/2007 40.60 9.51 39.00 147.59
9/28/2007 42.92 9.39 35.04 152.58
10/31/2007 46.32 10.49 37.77 154.65
11/30/2007 45.33 9.24 33.77 148.66
12/31/2007 49.28 8.48 35.85 146.21
1/31/2008 47.01 7.52 28.88 137.37
2/29/2008 52.44 8.35 30.13 133.82
3/31/2008 56.33 9.36 25.08 131.97
4/30/2008 52.14 9.99 28.89 138.26
5/30/2008 62.40 10.06 31.02 140.35
6/30/2008 56.39 8.24 28.22 127.98
7/31/2008 56.77 9.43 28.67 126.83
8/29/2008 56.74 9.07 29.05 128.79
9/30/2008 50.46 8.64 22.10 115.99
10/31/2008 31.84 7.62 8.38 96.83
11/28/2008 34.80 6.91 6.50 90.09
12/31/2008 43.51 6.74 7.00 90.24
1/30/2009 37.78 7.59 6.22 82.83
2/27/2009 31.16 7.63 4.90 73.93
3/31/2009 34.06 7.99 5.31 79.52
4/30/2009 39.34 7.93 8.38 87.42
5/29/2009 41.28 9.05 14.46 92.53
6/30/2009 40.12 9.77 14.02 91.95
7/31/2009 46.20 10.15 19.22 98.81
8/31/2009 44.58 9.16 20.50 102.46
9/30/2009 48.10 9.76 23.64 105.59
10/30/2009 53.94 9.36 24.27 103.56
11/30/2009 57.13 10.15 23.89 109.94
12/31/2009 65.72 12.10 23.07 111.44
1/29/2010 61.91 12.15 25.80 107.39
2/26/2010 64.21 11.44 25.20 110.74
3/31/2010 66.45 10.58 27.95 117.00
4/30/2010 70.00 10.53 22.66 118.81
5/31/2010 66.52 9.97 19.56 109.37
6/30/2010 62.59 10.54 19.96 103.22
7/30/2010 68.50 10.98 18.92 110.27
8/31/2010 75.07 11.64 17.58 105.31
9/30/2010 78.22 12.44 17.99 114.13
10/29/2010 79.47 12.07 24.26 118.49
11/30/2010 80.98 12.59 23.07 118.49
12/31/2010 82.43 12.29 23.21 125.75
1/31/2011 79.18 10.99 26.34 128.68
2/28/2011 73.06 10.75 24.64 133.15
3/31/2011 76.99 11.02 24.96 132.59
4/29/2011 79.77 11.30 23.05 136.43
5/31/2011 86.91 11.48 20.83 134.90
6/30/2011 93.01 12.22 24.28 131.97
7/29/2011 96.30 11.53 24.76 129.33
8/31/2011 98.78 10.65 24.17 122.22
9/30/2011 88.73 8.95 24.38 113.15
10/31/2011 89.84 10.39 26.05 125.50
11/30/2011 90.87 9.40 28.02 124.99
12/30/2011 95.21 9.33 26.40 125.50
1/31/2012 98.00 9.69 28.84 131.32
2/29/2012 98.95 10.69 31.42 137.02
3/30/2012 105.91 10.68 34.39 140.81
4/30/2012 105.95 10.73 36.10 139.87
5/31/2012 115.04 9.10 31.38 131.47
6/29/2012 130.88 9.90 32.74 136.11
7/31/2012 111.19 8.76 34.80 137.71
8/31/2012 122.05 8.72 35.89 141.16
9/28/2012 129.00 8.67 36.42 143.97
10/31/2012 127.91 8.96 38.21 141.35
11/30/2012 141.08 8.97 36.52 142.16
12/31/2012 149.04 9.64 39.17 142.41
1/31/2013 158.08 10.40 42.46 149.70
2/28/2013 168.64 9.87 44.99 151.61
3/29/2013 163.77 10.21 54.61 156.67
4/30/2013 161.37 10.02 60.65 159.68
5/31/2013 146.34 8.90 57.23 163.45
6/28/2013 140.29 8.69 58.82 160.42
7/31/2013 141.20 8.07 67.66 168.71
8/30/2013 120.02 8.39 69.11 163.65
9/30/2013 125.98 8.53 73.02 168.01
10/31/2013 121.54 8.76 89.42 175.79
11/29/2013 121.15 8.30 92.00 181.00
12/31/2013 121.77 7.96 98.78 184.69
1/31/2014 106.24 7.04 108.74 178.18
2/28/2014 96.97 7.55 104.44 186.29
3/31/2014 105.52 8.24 107.99 187.01
4/30/2014 111.96 8.55 115.58 188.31
5/30/2014 115.33 8.60 135.32 192.68
6/30/2014 113.62 8.95 155.25 195.72
7/31/2014 106.73 8.95 144.68 193.09
8/29/2014 108.67 8.98 149.17 200.71
9/30/2014 100.72 8.38 143.38 197.02
10/31/2014 105.80 8.38 148.29 201.66
11/28/2014 99.98 8.91 153.32 207.20
12/31/2014 86.52 8.51 157.32 205.54
1/30/2015 81.29 8.10 162.36 199.45
2/27/2015 86.30 8.73 183.13 210.66
3/31/2015 79.86 8.63 193.64 206.43
4/30/2015 79.90 9.43 184.99 208.46
5/29/2015 85.05 9.03 203.34 211.14
6/30/2015 79.45 8.40 201.97 205.85
7/31/2015 75.55 8.02 211.11 210.50
8/31/2015 72.01 7.37 225.12 197.67
9/30/2015 69.38 6.71 234.80 191.63
10/30/2015 76.68 7.03 254.90 207.93
11/30/2015 77.07 6.51 241.29 208.69
12/31/2015 70.81 6.45 241.75 203.87
1/29/2016 70.14 6.26 274.80 193.72
2/29/2016 73.45 6.71 291.32 193.56
3/31/2016 83.05 7.38 273.71 205.52
4/29/2016 87.29 8.43 251.33 206.33
5/31/2016 80.29 7.52 265.32 209.84
6/30/2016 82.96 8.45 263.80 209.48
7/29/2016 78.58 8.55 269.67 217.12
8/31/2016 74.48 8.20 250.25 217.38
9/30/2016 75.00 8.06 254.94 216.30
10/31/2016 75.01 8.54 262.25 212.55
11/30/2016 62.90 7.87 246.01 220.38
12/30/2016 63.54 8.08 263.10 223.53
1/31/2017 62.02 8.89 280.57 227.53
2/28/2017 65.63 9.60 264.92 236.47
3/31/2017 71.70 10.23 263.51 235.74
4/28/2017 72.71 9.76 251.38 238.08
5/31/2017 80.39 9.24 243.25 241.44
6/30/2017 84.67 9.28 236.68 241.80
7/31/2017 84.98 9.84 245.89 246.77
8/31/2017 81.83 10.57 262.22 247.49
9/29/2017 77.13 10.06 266.23 251.23
10/31/2017 68.44 10.44 251.13 257.15
11/30/2017 68.46 9.67 231.04 265.01
12/29/2017 69.62 11.00 249.30 266.86
1/31/2018 76.20 11.60 222.30 281.90
2/28/2018 67.42 11.24 218.20 271.65
3/30/2018 66.43 11.44 208.57 263.15
4/30/2018 65.64 11.17 228.43 264.51
5/31/2018 58.46 9.53 209.15 270.94
6/29/2018 56.43 8.67 242.90 271.28
7/31/2018 62.49 8.63 241.24 281.33
8/31/2018 60.42 7.30 242.05 290.31
9/28/2018 61.24 7.61 239.24 290.72
10/31/2018 56.99 7.76 212.00 270.63
11/30/2018 60.49 8.55 222.90 275.65
12/31/2018 60.84 8.78 222.70 249.92
1/31/2019 62.19 10.18 232.97 269.93
2/28/2019 60.38 8.63 208.84 278.68
3/29/2019 66.00 8.79 198.20 282.48
4/30/2019 64.12 8.60 189.49 294.02
5/31/2019 62.30 7.87 186.91 275.27
6/28/2019 62.14 8.73 180.14 293.00
7/31/2019 61.34 8.25 175.63 297.43
8/30/2019 59.00 8.18 186.66 292.45
9/30/2019 60.62 9.11 201.94 296.77
10/31/2019 54.98 9.56 201.85 303.33
11/29/2019 57.81 9.67 197.00 314.31
12/31/2019 60.62 10.98 194.13 321.86
 Escenario de estrés

Precios
Fecha KOF US Equity ENIA US Equity SCCO US Equity SPY US Equity
1/31/2007 40.02 8.34 32.87 143.75
2/28/2007 34.45 8.26 34.82 140.93
3/30/2007 36.12 8.62 34.34 142.00
4/30/2007 38.89 10.02 36.09 148.29
5/31/2007 40.20 9.73 37.23 153.32
6/29/2007 44.28 10.61 35.30 150.43
7/31/2007 45.43 9.38 39.95 145.72
8/31/2007 40.60 9.51 39.00 147.59
9/28/2007 42.92 9.39 35.04 152.58
10/31/2007 46.32 10.49 37.77 154.65
11/30/2007 45.33 9.24 33.77 148.66
12/31/2007 49.28 8.48 35.85 146.21
1/31/2008 47.01 7.52 28.88 137.37
2/29/2008 52.44 8.35 30.13 133.82
3/31/2008 56.33 9.36 25.08 131.97
4/30/2008 52.14 9.99 28.89 138.26
5/30/2008 62.40 10.06 31.02 140.35
6/30/2008 56.39 8.24 28.22 127.98
7/31/2008 56.77 9.43 28.67 126.83
8/29/2008 56.74 9.07 29.05 128.79
9/30/2008 50.46 8.64 22.10 115.99
10/31/2008 31.84 7.62 8.38 96.83
11/28/2008 34.80 6.91 6.50 90.09
12/31/2008 43.51 6.74 7.00 90.24
1/30/2009 37.78 7.59 6.22 82.83
2/27/2009 31.16 7.63 4.90 73.93
3/31/2009 34.06 7.99 5.31 79.52
4/30/2009 39.34 7.93 8.38 87.42
5/29/2009 41.28 9.05 14.46 92.53
6/30/2009 40.12 9.77 14.02 91.95
7/31/2009 46.20 10.15 19.22 98.81
8/31/2009 44.58 9.16 20.50 102.46
9/30/2009 48.10 9.76 23.64 105.59
10/30/2009 53.94 9.36 24.27 103.56
11/30/2009 57.13 10.15 23.89 109.94
12/31/2009 65.72 12.10 23.07 111.44
1/29/2010 61.91 12.15 25.80 107.39
2/26/2010 64.21 11.44 25.20 110.74
3/31/2010 66.45 10.58 27.95 117.00
4/30/2010 70.00 10.53 22.66 118.81
 5/31/2010 66.52 9.97 19.56 109.37
6/30/2010 62.59 10.54 19.96 103.22
7/30/2010 68.50 10.98 18.92 110.27
8/31/2010 75.07 11.64 17.58 105.31
9/30/2010 78.22 12.44 17.99 114.13
10/29/2010 79.47 12.07 24.26 118.49
11/30/2010 80.98 12.59 23.07 118.49
12/31/2010 82.43 12.29 23.21 125.75
1/31/2011 79.18 10.99 26.34 128.68
2/28/2011 73.06 10.75 24.64 133.15
3/31/2011 76.99 11.02 24.96 132.59
4/29/2011 79.77 11.30 23.05 136.43
5/31/2011 86.91 11.48 20.83 134.90
6/30/2011 93.01 12.22 24.28 131.97
7/29/2011 96.30 11.53 24.76 129.33
8/31/2011 98.78 10.65 24.17 122.22
9/30/2011 88.73 8.95 24.38 113.15
10/31/2011 89.84 10.39 26.05 125.50
11/30/2011 90.87 9.40 28.02 124.99
12/30/2011 95.21 9.33 26.40 125.50
Pregunta N°3

Supuestos tributarios
IR 29.5%

Supuestos CAPM
rf 2%
rm-rf 6%

Supuestos deuda
Tipo Bullet
# bonos 340,000
Precio del bono 110
V. Nominal 100
Tasa cupón 10% anual
Plazo 10 años

Supuestos acción de "ABC"

# acciones 350,000

Fecha ABC Índice de mercado

11/19/2020 142 353
11/20/2020 141 350
11/23/2020 146 352
11/24/2020 151 358
11/25/2020 149 358
11/27/2020 147 359
11/30/2020 148 357
12/1/2020 149 361
12/2/2020 154 362
12/3/2020 153 362
12/4/2020 154 365
12/7/2020 154 364
12/8/2020 154 365
12/9/2020 154 362
12/10/2020 155 362
12/11/2020 176 361
12/14/2020 169 360
12/15/2020 174 364
12/16/2020 173 365
12/17/2020 174 367
12/18/2020 173 366
12/21/2020 171 364
12/22/2020 170 364
12/23/2020 174 364
12/24/2020 174 365
12/28/2020 179 369
12/29/2020 177 368
12/30/2020 181 368
12/31/2020 181 370
1/4/2021 178 365
1/5/2021 178 368
1/6/2021 179 370
1/7/2021 179 375
1/8/2021 179 378
1/11/2021 179 375
1/12/2021 176 375
1/13/2021 176 376
1/14/2021 173 375
1/15/2021 171 372
1/19/2021 172 375
1/20/2021 174 380
1/21/2021 171 381
1/22/2021 173 379
1/25/2021 172 381
1/26/2021 170 380
1/27/2021 163 371
1/28/2021 172 374
1/29/2021 168 366
2/1/2021 171 373
2/2/2021 177 378
2/3/2021 176 378
2/4/2021 180 382
2/5/2021 181 384
2/8/2021 190 387
2/9/2021 188 386
2/10/2021 190 386
2/11/2021 191 387
2/12/2021 188 389
2/16/2021 186 388
2/17/2021 186 389
2/18/2021 183 387
2/19/2021 184 386
2/22/2021 192 383
2/23/2021 197 384
2/24/2021 198 388
2/25/2021 191 379
2/26/2021 189 377
3/1/2021 195 386
3/2/2021 194 383
3/3/2021 192 378
3/4/2021 188 373
3/5/2021 190 380
3/8/2021 202 378
3/9/2021 195 383
3/10/2021 195 386
3/11/2021 197 390
3/12/2021 197 390
3/15/2021 197 393
3/16/2021 194 392
3/17/2021 195 393
3/18/2021 192 388
3/19/2021 191 387
3/22/2021 193 390
3/23/2021 189 387
3/24/2021 185 385
3/25/2021 187 387
3/26/2021 186 393
3/29/2021 185 393
3/30/2021 186 392
3/31/2021 185 394
4/1/2021 189 398
4/5/2021 189 404
4/6/2021 190 404
4/7/2021 188 404
4/8/2021 187 406
4/9/2021 188 409
4/12/2021 186 409
4/13/2021 185 410
4/14/2021 187 409
4/15/2021 186 413
4/16/2021 187 415
4/19/2021 187 413
4/20/2021 183 410
4/21/2021 183 413
4/22/2021 183 410
4/23/2021 183 414
4/26/2021 184 415
4/27/2021 185 415
4/28/2021 183 415
4/29/2021 185 417
4/30/2021 186 415
5/3/2021 186 416
5/4/2021 184 413
5/5/2021 182 413
5/6/2021 182 416
5/7/2021 185 419
5/10/2021 184 415
5/11/2021 182 412
5/12/2021 178 403
5/13/2021 178 408
5/14/2021 174 414
5/17/2021 170 413
5/18/2021 170 409
5/19/2021 169 408
5/20/2021 171 413
5/21/2021 172 412
5/24/2021 174 416
5/25/2021 176 416
5/26/2021 176 416
5/27/2021 179 417
5/28/2021 179 417
6/1/2021 179 417
6/2/2021 177 418
6/3/2021 176 416
6/4/2021 177 420
6/7/2021 177 419
6/8/2021 176 420
6/9/2021 176 419
6/10/2021 177 421
6/11/2021 177 422
6/14/2021 178 423
6/15/2021 176 422
6/16/2021 175 419
6/17/2021 175 419
6/18/2021 172 414
6/21/2021 174 420
6/22/2021 174 422
6/23/2021 175 421
6/24/2021 178 424
6/25/2021 178 425
6/28/2021 177 426
6/29/2021 174 426
6/30/2021 176 427
7/1/2021 177 429
7/2/2021 177 432
7/6/2021 174 432
7/7/2021 173 433
7/8/2021 173 430
7/9/2021 177 434
7/12/2021 184 436
7/13/2021 184 434
7/14/2021 183 435
7/15/2021 184 433
7/16/2021 179 430
7/19/2021 173 424
7/20/2021 177 430
7/21/2021 177 433
7/22/2021 175 434
7/23/2021 176 439
7/26/2021 179 440
7/27/2021 180 438
7/28/2021 179 437
7/29/2021 178 439
7/30/2021 176 437
8/2/2021 176 436
8/3/2021 173 440
8/4/2021 173 438
8/5/2021 177 440
8/6/2021 177 441
8/9/2021 177 441
8/10/2021 177 441
8/11/2021 178 442
8/12/2021 179 444
8/13/2021 181 444
8/16/2021 179 446
8/17/2021 176 443
8/18/2021 175 438
8/19/2021 173 438
8/20/2021 175 442
8/23/2021 178 446
8/24/2021 178 447
8/25/2021 178 447
8/26/2021 177 445
8/27/2021 180 449
8/30/2021 180 451
8/31/2021 181 450
9/1/2021 183 450
9/2/2021 182 452
9/3/2021 181 452
9/7/2021 184 450
9/8/2021 185 449
9/9/2021 186 448
9/10/2021 184 444
9/13/2021 185 445
9/14/2021 182 443
9/15/2021 184 446
9/16/2021 183 446
9/17/2021 183 441
9/20/2021 179 434
9/21/2021 171 434
9/22/2021 174 438
9/23/2021 176 443
9/24/2021 176 444
9/27/2021 178 443
 9/28/2021 175 434
9/29/2021 173 434
9/30/2021 169 429
10/1/2021 176 434
10/4/2021 173 429
10/5/2021 175 433
10/6/2021 175 435
10/7/2021 178 439
10/8/2021 177 438
10/11/2021 174 435
10/12/2021 173 434
10/13/2021 173 435
10/14/2021 174 443
10/15/2021 176 446
10/18/2021 171 447
10/19/2021 171 451
10/20/2021 171 452
10/21/2021 171 454
10/22/2021 169 453
10/25/2021 172 456
10/26/2021 172 456
10/27/2021 170 454
10/28/2021 170 458
10/29/2021 169 459
11/1/2021 170 460
11/2/2021 170 462
11/3/2021 170 465
11/4/2021 170 467
11/5/2021 176 469
11/8/2021 177 469
11/9/2021 175 467
11/10/2021 174 464
11/11/2021 162 464
11/12/2021 160 467
11/15/2021 158 467
11/16/2021 159 469
11/17/2021 157 468
Pregunta N°4

Supuestos
Concepto x y
Retorno esperado 13% 28%
Riesgo 22% 37%
ρ x,y 0.4

rf 5%
A 4

a) Maximizando el ratio de sharpe a traves de la herramienta solver:

WX WY Riesgo
Portafolio Óptimo: 100% 28.88% 71.12% 29.44%

b)
Posteriormente:
A 4
𝑤^∗ =[𝐸(𝑟_𝑝 )
w* 53.86%
−𝑟_𝑓
Rentabilidad ]/(𝐴
15.05% 𝐸(𝑟_𝐶 ) = 〖𝜎 _𝑝 𝑦〗
𝑟_𝑓+ ^2 )−𝑟_𝑓 ]
[𝐸(𝑟_𝑝
Riesgo )
15.9% 𝜎_𝐶=𝑦𝜎_𝑝

WX 15.6% 53.9%
XY 38.3%
WRF 46.1% ir en activo libre de riesgo riesgo
Total 100.0%

c) Utilidad del inversionista

Utilidad del inversionista = 0.1003

 Rentabilidad Sharpe Rf
23.67% 63.42% 5.00%

𝑤^∗ =[𝐸(𝑟_𝑝 )
−𝑟_𝑓
]/(𝐴
𝐸(𝑟_𝐶 ) = 〖𝜎 _𝑝 𝑦〗
𝑟_𝑓+ ^2 )−𝑟_𝑓 ]
[𝐸(𝑟_𝑝
)
𝜎_𝐶=𝑦𝜎_𝑝

ir en activo libre de riesgo riesgo