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SANTIAGO TITO
2) Riesgo sistemático y no sistemático Clasi!"e los sig"ientes acontec a) *as tasas 'e inte$+s a co$to #la,o a"mentan 'e mane$a ines#e$a' b) El -anco -anco a"menta a"menta la tasa tasa 'e inte$+s inte$+s !"e !"e "na com#a./a com#a./a #aga #aga so-$ so-$ c) *os #$ecios 'el #et$(leo 'ismin"yen ines#e$a'amente% d ) Se $om#e $om#e "na ciste$na ciste$na #et$ole #et$ole$a0 $a0 lo !"e ca"sa ca"sa "n "n g$an 'e$$ame 'e$$ame ' e) Un 1a-$icante #ie$'e "n #leito m"ltimillona$io $elaciona'o con s" f ) Una 'ecisi(n 'e la S"#$ema Co$te am#l/a 'e mane$a s"stancial la RESPUESTA a) Sistemático b) No sistemático c) Sistemático Sistemático y No No sistemático sistemático,, debido a la relación relación del petról petróleo eo en todos todos lo d) No sistemático e) No sistemático f) Sistemático
4) 3ie$sicaci(n e$'a'e$o e$'a'e$o o 1also% *a ca$acte$/stica más im#o$tante RESPUESTA
Falso also,, La La var varia iaci ción ón del del ren rendi dimi mien ento to esper sperad ado o de de un un por porta tafo foli lio o va va a dep dep 6) eta y CAP7 &Es #osi-le #osi-le !"e !"e "n actio actio $iesgoso $iesgoso tenga tenga "na "na -eta 'e CAP7 ace$ca ace$ca 'el 'el $en'imient $en'imiento o es#e$a'o es#e$a'o 'e tal ta l actio acti o on &P"e'e &P"e 'e 'a$ "n Sign up to vote this title RESPUESTA
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i Si, esto sucede cuando los activos de !iesgo tienen un retorno igual
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<) Seleccion 'e alo$es &Es e$'a'e e$'a'e$a $a o 1alsa 1alsa la sig"ien sig"iente te a$maci a$maci(n (n U este actio en e!"ili-$io% E5#li!"e% RESPUESTA
#sto si puede puede ocurrir ocurrir con con un beta beta negativo, negativo, ya (ue (ue con un beta beta negtiv negtiv
2) Ren'imiento es#e$a'o 'e "n #o$ta1olio S"#onga !"e "ste' #osee "n es el $en'imiento es#e$a'o 'el #o$ta1olio ACCIONES Ine$si(n R% Es#e$% Pon'e$a%
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ACCIONESSign up to vote on this title Useful D Not useful -63 -/3 -0.3
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<) Seleccion 'e alo$es &Es e$'a'e e$'a'e$a $a o 1alsa 1alsa la sig"ien sig"iente te a$maci a$maci(n (n U este actio en e!"ili-$io% E5#li!"e% RESPUESTA
#sto si puede puede ocurrir ocurrir con con un beta beta negativo, negativo, ya (ue (ue con un beta beta negtiv negtiv
2) Ren'imiento es#e$a'o 'e "n #o$ta1olio S"#onga !"e "ste' #osee "n es el $en'imiento es#e$a'o 'el #o$ta1olio ACCIONES Ine$si(n R% Es#e$% Pon'e$a%
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R% Es#e$% R%E%Po$t%
ACCIONESSign up to vote on this title Useful D Not useful -63 -/3 -0.3
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Recesi(n No$mal A"ge
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-4./3 64./3 0/./3 R% Es#e$a'o 3es%Estan
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eta
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% 0/.//3 -4.//3 -/.//3 4.//3 /.//3 /./3
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26) Coa$ian,a y co$$elacion Con -ase en la sig"iente in1o$maci(n calc"l s"ce'e$% &C"ál es la coa$ian,a y la co$$elaci(n ent$e los $en'imient
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Em#$esa Em#$esa C Po$t% 7e$ca'o A% *i-$e 'e Ri -)
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PR7 T%*i-$e%Riesg eta alo$ a$ian,a 3%Estan'a$
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3%E%Po$ta1olio
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PREGUNTAS
imientos como #$inci#almente sistemáticos o no sistemáticos% &Es la 'istin % s" 'e"'a a co$to #la,o%
#et$(leo% es#onsa-ili'a' ciil so-$e "n #$o'"cto% $es#onsa-ili'a' ciil 'el 1a-$icante #o$ los 'a.os s"1$i'os #o$ los "s"a$ios
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a$a 'ete$mina$ el $en'imiento es#e$a'o 'e "n #o$ta1olio -ien 'ie$sica' Download With Free Trial
nder la medida del riesgo total del portafolio, la varianza de un portafolio b
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la tasa libre de riesgo.
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n alo$ $iesgoso no #"e'e tene$ "n $en'imiento es#e$a'o in1e$io$ a la ta
en el modelo $%&' tenemos (ue el rendimineto esperado, será menor al r
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_
tasa li-$e 'e $iesgo es 'e 4H y la #$ima 'e $iesgo 'e me$ca'o es 'e @H% _
" -eta es 'e <%@? y el $en'imiento es#e$a'o 'el me$ca'o es 'e <
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"na -eta 'e <%% Si la tasa li-$e 'e $iesgo es 'e ?H0 com#lete el sig"iente entos es#e$a'os cont$a las -etas% &C"ál es la #en'iente 'e la l/nea !"e $es Sign up to vote on this title
Ren'imiento es#e$a'o 'el
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04/./3
e$ la tasa li-$e 'e $iesgo #a$a !"e las 'os acciones est"ie$an co$$ectamen
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Download With Free Trial $iesgo 'e 'os actios es ig"al a la $a,(n 'e s"s -etas%
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el $en'imiento es#e$a'o y la 'esiaci(n están'a$ 'e ca'a "na 'e las sig" s 'e las 'os acciones A
K$AReA)K$R 8/./03 /./623 8/.-563
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#e$a'o 'e <H y "na 'esiaci(n están'a$ 'e 26H an"al% El alo$ G tiene G Reading a Preview H 'el alo$ F y @H 'el alo$You're e %2?0 &c"ál es la 'esiaci(n están'a$ 'el #o$ta1olio !"e se 'esc$i-i( en Unlock full access with a free trial.
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-.4/ -.01 -.// /.//
segCn el $%'& debe tener un rendimiento del -/.43, y en la tabla se muestra un -
segCn el $%'& debe tener un rendimiento del -4.4/3, y en la tabla se muestra un -
segCn el $%'& debe tener un rendimiento del -1.473, y en la tabla se muestra un -
el #o$ta1olio 'el me$ca'o tiene "n $en'imiento es#e$a'o 'e FH y "na 'es ci(n 'e los actios 'e ca#ital% &9"+ tasa es#e$a'a 'e $en'imiento gana$/a You're Reading a Preview Unlockde full $apitale access with aL'$ free trial. #n la linea de mercado B 〖�〗_=_
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#l activo con un mayor riesgo sistemático es el Actio II pues este tiene una may La acción con mayor riesgo general va a ser la Accion I debido a (ue esta posee
n el me$ca'o% *a sig"iente ta-la m"est$a s"s #osi-les $en'imientos alo$ alo$es $ta1olio con la mita' 'e 1on'os ine$ti'a en el alo$ < y la mita' en el alo o$ta1olio con la mita' 'e 1on'os ine$ti'a en el alo$ < y la mita' en el al o$ta1olio con la mita' 'e 1on'os ine$ti'a en el alo$ 2 y la mita' en el alo la 'ie$sicaci(n nto alo$ -/3 -43 0/3 043
alo$ <
alo$ 2 K$Re)2 /.4613 /.4613 /./613 /./613 You're/./613 Reading a Preview/./613 /.4613 /.4613
alo$
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-5.4/3 /.0-3 2.6-3 alo$ 8/.//0-04 8/.//-04 alo$
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4/.//3
valores es inferior a -, eDiste un benecio a diversicación. Ena cartera con las acc sitivamente. La aplicación de los pesos apropiados sobre las poblaciones perfectame
ci(n A y la B% oy '/a0 el #$ecio 'e la #$ime$a es 'e @? '(la$es% El a.o sig" (n% *as #$o-a-ili'a'es 'e $ecesi(n0 'e +#ocas no$males y 'e e5#ansi(n so en'imiento es#e$a'o 'e <H0 "na 'esiaci(n están'a$ 'e 4H0 "na co$$e ga !"e se mantiene el CAP7% o$ta1olio -ien 'ie$sica'o0 &!"+ acci(n #$e1e$i$/a &Po$ !"+ o$ta1olio 1o$ma'o #o$ @H 'e acciones A y H 'e acciones
R% Es#e$a'o A
8-6./3 -/.53 07./3
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K$AReA)2
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cla$a en ca'a caso
n #$o'"cto%
ría sistemático.
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las a$ian,as 'e los actios in'ii'"ales incl"i'os en +l% E5#li!"e% Download With Free Trial
ersicado es una función solo del riesgo sistemático.
'o 'e tal actio &Es #osi-le !"e "n actio $iesgoso tenga "na -eta negati Sign up to vote on this title
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e 'e $iesgo #o$!"e ning=n ine$sionista con ae$si(n al $iesgo esta$/a 'is#
iento de la tasa libre de riesgo, esto ayuda a (ue se reduzca la variabilidad d
n B% Si los $en'imientos es#e$a'os 'e estas acciones son 'e <H y
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n "n $en'imiento es#e$a'o 'e <6H y las acciones 'e Y con "n $en'imien nes 'e Y Sign up to vote on this title
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s#e$a'os 'e estas acciones son 'e 8H0
folio
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$ta1olio
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l 'e-e se$ la -eta 'e esta acci(n
e se$ la tasa li-$e 'e $iesgo
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$o 'e los #o$ta1olios 'el actio W y "n actio li-$e 'e $iesgo% Il"st$e la $ela Sign up to vote on this title
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al"a'as
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es acciones% S"#onga !"e ca'a esta'o 'e la econom/a tiene las mismas
'imiento es#e$a'o 'e <@H y "na 'esiaci(n están'a$ 'e ?8H an"al% You're Reading a Preview te a) Unlock full access with a free trial.
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, es decir el precio de las %cciones de % es demasiado caro, por ende debe vender
, es decir el precio de las %cciones de % es demasiado caro, por ende debe vender l , es decir el precio de las %cciones está subvaluado, debe comrar las acciones.
(n están'a$ 'e <H% *a tasa li-$e 'e $iesgo es 'e ?H y el $en'imiento es# alo$ si t"ie$a "na co$$elaci(n 'e %4? con el #o$ta1olio 'el me$ca'o y "na You're Reading a Preview Unlock full access with a free trial.
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.
olatilidad. ayor riesgo sitemático y este no se lo puede diverrsicar.
K$<Re<)K$2Re2) K$2Re2)K$Re) K$<Re<)K$Re) /.4613 8/.4613 8/.4613 8/./613 /./613 8/./613 8/./613 You're/./613 Reading a Preview 8/./613 /.4613 8/.4613 8/.4613 Unlock full access with a free trial.
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s correlacionadas negativamente puede lograr una mayor reducción del riesgo correlacionados negativamente puede reducir cartera de varianza a /.
0 este #$ecio 'e la acci(n A se$á 'e 6 '(la$es si la econom/a se enc"ent$a %20 %6 y %20 $es#ectiamente% A'emás0 esta acci(n no #aga 'ii'en'os y tie n con el #o$ta1olio 'el me$ca'o 'e %2? y "na co$$elaci(n con la acci(n A '
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&9"+ #$e'ice el Sign up to vote on this title
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to a mantene$
s portafolios.
ctiamente0 &c"ál
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e$a'o 'e <H% Si
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el $en'imiento
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n ent$e el Sign up to vote on this title
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-ili'a'es 'e
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o 'el #o$ta1olio iaci(nestán'a$ You're Reading a Preview Unlock full access with a free trial.
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