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Resposta:
O gerente financeiro optou pelo ativo com maior risco, esperando obter maior retorno.
R
300.00
400.00
500.00
450.00
200.00
R Prob. (R-m)
Prob. Re R Prob. Re 1 8.0% 15% -4.8%
25% 75.00 600.00 26% 156.00 2 10.0% 20% -2.8%
25% 100.00 700.00 23% 161.00 3 11.0% 30% -1.8%
18% 90.00 200.00 19% 38.00 4 18.0% 35% 5.2%
22% 99.00 100.00 15% 15.00 m= 12.8% 100%
10% 20.00 150.00 17% 25.50
100% 384.00 100% 395.50
(R-m)2 (R-m)2*Prob R Prob. (R-m) (R-m)2 (R-m)2*Prob R
0.23% 0.03% 1 5.0% 40% -5.2% 0.27% 0.11% 1 25.0%
0.08% 0.02% 2 10.0% 30% -0.2% 0.00% 0.00% 2 12.0%
0.03% 0.01% 3 15.0% 20% 4.8% 0.23% 0.05% 3 0.0%
0.27% 0.09% 4 22.0% 10% 11.8% 1.39% 0.14% 4 -10.0%
Soma= 0.15% m= 10.2% 100% Soma= 0.29% m= 7.6%
DP= 3.93% DP= 5.42%
Prob. Re (R-m) (R-m)2 (R-m)2*Prob
20% 5.0% 17.4% 3.03% 0.61%
30% 3.6% 4.4% 0.19% 0.06%
40% 0.0% -7.6% 0.58% 0.23% R
10% -1.0% -17.6% 3.10% 0.31% Prob. Merc KMN
100% 7.6% Soma= 1.20% 1 30% 24.0% 18.0%
DP= 10.97% 2 50% 16.0% 12.0%
3 20% 6.0% -3.0%
100% 16.4% 10.8%
Re
Merc KMN (R-m) (R-m)2 (R-m)2*Prob R Re
7.2% 5.4% 7.2% 0.52% 0.16% Prob. Ação P Ação Q Ação P
8.0% 6.0% 1.2% 0.01% 0.01% 1 33.3% 12.6% -7.1% 4.2%
1.2% -0.6% -13.8% 1.90% 0.38% 2 33.3% 15.4% 9.8% 5.1%
16.4% 10.8% Soma= 0.54% 3 33.3% 19.8% 27.5% 6.6%
b) a) DP= 7.37% 100.0% 15.9% 10.1% 15.9%
c)
b) Ação P Ação Q
Part. 60% 40%
Re 15.9% 10.1%
Recart 9.6% 4.0% 13.6%
R alfa Prob.
1 -10.0% 15%
Re DP da Ação P DP da Ação Q 2 15.0% 65%
Ação Q (R-m) (R-m)2 (R-m)2*Prob (R-m) (R-m)2 (R-m)2*Prob 3 30.0% 20%
-2.4% -3.3% 0.11% 0.04% -17.2% 2.95% 0.98% m= 14.3% 100%
3.3% -0.5% 0.00% 0.00% -0.3% 0.00% 0.00%
9.2% 3.9% 0.15% 0.05% 17.4% 3.04% 1.01%
10.1% Soma= 0.09% Soma= 2.00%
DP= 2.96% DP= 14.13%
Re (R-m) (R-m)2 (R-m)2*Prob R beta Prob. Re (R-m) (R-m)2 (R-m)2*Prob
-1.50% -24.3% 5.88% 0.88% 1 15.0% 15% 2.25% -9.5% 0.90% 0.14%
9.75% 0.7% 0.01% 0.00% 2 25.0% 65% 16.25% 0.5% 0.00% 0.00%
6.00% 15.8% 2.48% 0.50% 3 30.0% 20% 6.00% 5.5% 0.30% 0.06%
14.3% Soma= 1.38% m= 24.5% 100% 24.5% Soma= 0.20%
DP= 11.76% DP= 4.44%
EXERCÍCIOS CAP. 12
C o v R A , R B
A B C o rr ( R A , R B ) C D P ( C arteira ) V ar ( C arteira )
A B
0,875= Cov(Ra,Rb)/(0,13*0,18) Var= DP^2
Cov(Ra,Rb)= 0,875*(0,13*0,18) Var(A)= 1.69%
Cov(Ra,Rb)= 2.0475% Var(B)= 3.24%
Ativo X Ativo W
Prob R (R-m) R (R-m) (Rx-m)*(Rw-m)*Prob
1 25% 8.0% -2.3% -5.0% -5.1% 0.029%
2 35% 10.0% -0.3% -2.0% -2.1% 0.002%
3 40% 12.0% 1.7% 5.0% 5.0% 0.034%
100% 10.3% 0.1% Cov(x,w) 0.065%
C o v R A , R B
A B C orr ( R A , R B ) C D P ( C arteira ) V ar ( C a
A B
Var= DP^2
Var(A)= 1.69%
Cov(Ra,Rb)= 0.7891% Var(B)= 2.56%
Título I Título II
Prob. R (R-m) R (R-m)
1 20% -10.0% -20.8% 5.0% -2.5%
2 25% 10.0% -0.8% 5.0% -2.5%
3 15% 15.0% 4.3% 8.0% 0.5%
4 40% 20.0% 9.3% 10.0% 2.6%
m= 100% 10.8% 7.5% Cov (I,II)
MATRIZ DE COVARIÂNCIAS
Títulos
I II
I 1.2319% 0.2041%
II 0.2041% 0.0535%
COMPOSIÇÃO DA CARTEIRA
Títulos TOTAL
I II
Participação 50.00% 50.00% 100.00%
(R-m)2*Prob Título II R Prob. (R-m) (R-m)2 (R-m)2*Prob
0.86% 1 5.0% 20% -2.5% 0.06% 0.01%
0.00% 2 5.0% 25% -2.5% 0.06% 0.02%
0.03% 3 8.0% 15% 0.5% 0.00% 0.00%
0.34% 4 10.0% 40% 2.6% 0.07% 0.03%
1.23% m= 7.5% 100% Var= 0.05%
11.10% DP= 2.31%
(Rx-m)*(Rw-m)*Prob
0.102%
0.005%
0.004%
0.094%
0.204%
a) Cov(K,L)
C ov R A , R B
A B C orr ( R A , R B )
A B
0,60= Cov(K,L)/(0,07*0,4)
Cov(K,L)= 0,6*(0,07*0,4)
Cov(K,L)= 1.68%
b) ReCart
K L
Part. 45% 55%
Re 14.0% 24.0%
Recart 6.3% 13.2% 19.5%
C o v R A , R B C D P (
A B C o rr ( R A , R B )
A B
-0,5= Cov(Ra,Rb)/(0,10*0,40)
Cov(Ra,Rb)= -0,5*(0,1*0,4) Var(Elvis
Cov(Ra,Rb)= -2.0000% Var(Presley
Títulos Rf Presley
Qtde 1,500 2,500 4,000
Preço da ação 6.00 5.00
Valor total 9,000 12,500 21,500
Part. (%) 41.86% 58.14% 100.00%
Retorno 5.00% 25.00%
Contribuição 2.09% 14.53% 16.63% b) Retorno da Carteira
MATRIZ DE
C D P ( C arteira ) Var ( C arteira ) COVARIÂNCIAS
ATIVOS
Var= DP^2 F
Var(Elvis)= 0,10^2= 1.00% F 0.022447
Var(Presley)= 0,40^2= 16.00% G -0.018825
COMPOSIÇÃO DA
RISCO (VARIÂNCIA DA CARTEIRA) CARTEIRA
ATIVOS ATIVOS
Elvis Presley F
0.1752% -0.4867% Risco da Part. (%) 70.00%
-0.4867% 5.4083% Carteira Re 11.00%
-0.3115% 4.9216% 4.610% Contribuição 7.70%
21.471%
a) Risco da Carteira
a Carteira
a Carteira
MATRIZ DE RISCO (VARIÂNCIA DA CARTEIRA)
ATIVOS ATIVOS
G F G
-0.018825 F 1.10% -0.40% Risco da
0.002942 G -0.40% 0.03% Carteira
Contrib. 0.70% 0.06% 0.34%
DP(d)= 5.79%
ATIVOS TOTAL a) Risco da Carteira
G
30.00% 100.00%
18.00%
5.40% 13.10% a) Retorno da Carteira
Ativo A Ativo B
R R
1 8.00% 10.00%
2 9.00% 11.00%
3 14.00% 12.00%
4 6.00% 18.00%
m= 9.25% 12.75%
Retorno esperado
Ativo C Ativo D
R R
1 8.90% -4.80%
2 15.50% 9.40%
(R-m)2*Prob 3 22.60% 35.30%
0.02% m= 15.67% 13.30%
0.01%
0.00%
0.07%
0.10%
3.11%
Ativo C Ativo D
R (R-m) R (R-m)
1 8.90% -6.77% -4.80% -18.10%
2 15.50% -0.17% 9.40% -3.90%
3 22.60% 6.93% 35.30% 22.00%
m= 15.67% 13.30% Cov(c,d)
C o v R A , R B
A B C o rr ( R A , R B )
A B
C o v R A , R B
A B C o rr ( R A , R B )
A B
(Rc-m)*(Rd-m)*Prob
0.41% A tivo A A tivo B
0.00% 25 14
0.51%
26 16
0.92%
28 18
27 17
A , RB 24 16
B 26 13
33 19
28 18
27 17
A , RB 24 16
B 26 13
33 19