Determinantes de la Competitividad de las Exportaciones de Vino Chileno

Résumé 0

"This article shows that the systematic risk of an asset depends on two factors: it is proportional to the standard deviation of its rate of return and to its correlation with the optimal portfolio into which the asset is included. The theory is stated as a relation between mean and standard deviation, not between mean and variance. The Beta factor is explained as a measure of systematic risk in portfolio theory, independent of any asset valuation model. Risk, measured by Beta, is the contribution of the asset to the risk of the efficient portfolio into which it is included. This definition is verified by demonstrating that the standard deviation of the portfolio, that is, the portfolio´s risk, can be calculated as the weighted sum of the individual, marginal risks of the assets, by coincidence with the conditions of Euler´s theorem. The CAPM proposal is explained and criticized, with emphasis in the assumption about a unique market portfolio. The alternative concept of a straight line frontier with many different optimal portfolios, proposed by Sharpe in his seminal article, is discussed. The concepts developed in this article should be helpful for future studies of risk and its effect on the valuation of financial assets, given the lack of empirical evidence found for the CAPM model after 40 years of research."