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Material Essay

1761 words - 8 pages

Clase 2: Portafolios de activos
Profesor: Guillermo Yáñez Teoría de Finanzas
MBA

Valoración de acciones ordinarias: ¡Nuestro primer modelo!
2
La ganancia para los tenedores de acciones se puede generar por dos corrientes:
Dividendos.
Ganancia de capital.

¿Cómo se calcula el valor del patrimonio?
3
r = DIV1 + P1 - P0
P0 O lo que es lo mismo: P0 = DIV1 + P1
1 + r Para el caso de un modelo de dos (2) períodos, considérese lo siguiente: Dada la ecuación anterior: P1 = DIV2 + P2
1 + r

¿Cómo se calcula el valor del patrimonio?
4

¿Cómo estimar en forma simple la tasa de capitalización?
5 ...view middle of the document...

5
( 1 ( )) (1 )( 2 ( )) 0.6(150000 122000) 0.4(80000 122000) 1176000.2470
1176000247 $34192.86
p W E W p W E Wσ
σ
= − + − −
= − + −
=
= =

Invertir en activo riesgoso VS libre de riesgo
Teoría de Finanzas Prof.: Guillermo Yáñez 10
W = $ 100000
P = 0,6
1-P = 0,4
Beneficio1 = $ 50000
Beneficio2 = -$ 20000
E(Beneficio) = $ 22000 (por activo riesgoso) E(Beneficio) = beneficio = $ 5000 (por activo libre de riesgo) Premio por riesgo ofrecido = $ 17000 (¿Ud. lo acepta?)
Prospecto riesgoso
Prospecto libre de riesgo
Beneficio = $ 5000

En retorno
Teoría de Finanzas Prof.: Guillermo Yáñez 11
premiorρ = +
Compensación por diferir consumo presente por consumo futuro
Compensación por riesgo
En el ejemplo, comparemos 22% con 5%

Nuestro plan para los próximos minutos
O Retorno y varianza. O Portafolios con activo libre de riesgo y
riesgosos. O ¿Habrá un portafolio óptimo para un
inversionista averso al riesgo?
Teoría de Finanzas Prof.: Guillermo Yáñez 12

Un portafolio entre un activo riesgoso y uno libre de riesgo
Teoría de Finanzas Prof.: Guillermo Yáñez 13
Supongamos que: E(rp)=15% y rf = 7%. Luego, el retorno del portafolio (rc) es:

La varianza del portafolio:
Teoría de Finanzas Prof.: Guillermo Yáñez 14
2
( ) ( (1 ) ) ( )
rc rp
V rc V yrp y Rf y V rp
yσ σ
= + −
=
=
En el ejemplo supongamos que: 22%rpσ =
Luego, ( ) ( ( ) )
( ) ( ( ) )c p
E rc rf y E rp rf
E rc rf E rp rfσ σ
= + −
= + −

Como tenemos la ecuación:
Teoría de Finanzas Prof.: Guillermo Yáñez 15
( ) ( ( ) )
( ) 0.07 (0.15 0.07) 0.22
c
p
c
E rc rf E rp rf
E rc
σ σ
σ
= + −
= + −

El ratio de Sharpe:
Teoría de Finanzas Prof.: Guillermo Yáñez 16
( ) ( ( ) )
( ( ) )( )
c
p
c p
E rc rf E rp rf
E rp rfE rc rf
σ σ
σ σ
= + −
− = +
El precio del riesgo En el ejemplo, S=0,08/0,22

Concepto: Ratio de Sharpe
Teoría de Finanzas Prof.: Guillermo Yáñez
17
Vínculo: http://www.bolsantiago.cl/index.aspx

Calculemos el ratio de Sharpe
Teoría de Finanzas Prof.: Guillermo Yáñez
18

Ejemplo de una posición apalancada (con posición corta en rf)
Teoría de Finanzas Prof.: Guillermo Yáñez 19
Supongamos que tenemos un presupuesto de $...

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