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DATOS HISTÓRICOS

ACTIVO A

E(ra) = ( ra (² (a) =( (ra – E(ra))² ( (a)= Raíz cuadrada ((² (a))
T T

Intervalos deconfianza 68% (+/- 1 () 95% (+/- 2 () 99% (+/- 3 ()
CARTERA A , B = p
E (r p) = w i x E (ra) + w j x E (rb) w i + w j = 1

(² (p)= w i ² x (² (a) + w j ² x (² (b) + 2 x w i x w j x Cov a,b

(² (p) = w i ² x (² (a) + w j ² x (² (b) + 2 x w i x w j x ( (a)x ( (b) x Coef Corr a,b

( (p) = Raiz cuadrada ((² (p))

Covarianza = COV a, b = ( (ra-E(ra) x (rb-E(rb))
T
Coeficientede = COV a , b
Correlación ( (a) x ( (b)

PROBABILIDADES

ACTIVO A

E (ra) = ( p a x r a (² (a) = ( p a x(ra- E (ra))²

( (a) = Raíz cuadrada ( (² (a) )

CARTERA A,B = p

E (r p ) = w i x E (ra) + w j x E (rb)

(² (p) = w i ² x (²(a) + w j ² x (² (b) + 2 x w i x w j x COV a, b

(² (p) = w i² x (² (a) + w j² x (² (b) + 2 x wi x wj x ( (a) x ( (b) xCorr a, b

Cov (a,b) = ( p x (ra-E(ra)) x (rb – E(rb))

Corr(a,b) = COV(a,b)
( (a) X ( (b)

RIESGO MINIMO w (a ) =(² (b) - Corr a,b X ( (a) X ( (b) .

(² (a) + (² (b) - 2 X Corr a, b X ( (a) X ( (b)

CAPM

ß a = Cov a,m = ( ax Corr a,m
(² m ( m

SML E (r a) = R f + ß x (R m - R f)

CML E (r a) = R f + ( a (R m - R f)

( m