Estado de

Rendimient Rendimient
o de la
o de la
accin
A
(%)
accin
B (%)
la economa
Recesin
Normal
Auge

6.3
10.5
15.6

Rend. A
Estado
Depresion
6.3%
10.5%
Recesion
15.6%
Auge

Rd. Prom
Estado

Rend. B
-3.7%
6.4%
25.3%

0.108 0.0933333
Ren A

Depresion
Recesion
Auge

Estado
Depresion
Recesion
Auge

-3.7
6.4
25.3

(X-u)

(x-u)2
6.3%
-4.5%
0.202500%
10.5%
-0.3%
0.000900%
15.6%
4.8%
0.230400%
0.433800%
Varianza
0.001446
Desv A
3.80%
Desv B
12.019%

RA

(Ru-ra)
6.3%
10.5%
15.6%

Rend A
Rend B
Des a
Des B
A
B

RB
-4.5%
-0.3%
4.8%

(Ru-Rb)
-3.7%
-13.0%
6.4%
-2.9%
25.3%
16.0%

0.108
0.09333333
3.80% Var ( Porta)
12.019% Riesgo P
60% Rendimien P
40%

0.586500%
0.008800%
0.766400%
1.361700%
Cov
0.004539
Correlacion 0.9931337

0.00501058
7.08%
10.21%

0.45703818003094700%

Estado de la Probabilidad
economa de ocurrencia
Recesin
Normal
Auge

0.25
0.6
0.15

Rendimient
o de
Highbull (%)

Rendimient
o de
Slowbear
(%)

-2
9.2
15.4

5
6.2
7.4

Estado
Recesion
Normal
Auge

Probabilidad
Ren A
0.25
-2.0%
0.6
9.2%
0.15
15.4%
Ren. A

-0.005
0.0552
0.0231
0.0733

Estado
Recesion
Normal
Auge

Probabilidad
Ren A
0.25
5.0%
0.6
6.2%
0.15
7.4%
Ren. B

0.0125
0.0372
0.0111
0.0608

Estado
Recesion
Normal
Auge

Rend a

(x-U)

(x-u)2
-9.3% 0.87048900%
1.9% 0.03496900%
8.1% 0.65124900%
Varianza
Desv A

(x-U)

(x-u)2
-1.1% 0.01166400%
0.1% 0.00014400%
1.3% 0.01742400%
Varianza
Desv B

Ren b
-2.0%
9.2%
15.4%

-9.3%
1.9%
8.1%

5.0%
6.2%
7.4%

-1.1% 0.10076400%
0.1% 0.00224400%
1.3% 0.10652400%
Covarianza
Correlacion

0.00217622
0.00020981
0.00097687
0.00336291
5.80%

0.00002916
8.6400E-007
2.6136E-005
0.00005616
0.75%
0.00025191
1.3464E-005
0.00015979
0.00042516
0.9783207

0.043458143724738200%