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Chuong 09 - 9.1-nEW
Chuong 09 - 9.1-nEW
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ng bin
Danh mc X
Danh mc Y
Danh mc W
0
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10
12
Tnh ton
Gi nh c 4 ti sn ri ro c ma trn TSSL mong i & phng sai nh sau:
Theo nh 2: xc nh ng bin hiu qu --> xc nh 2 DM hiu qu x & y
Ma trn phng sai - hip phng sai (s dng d liu chng 8)
0.10
0.01
0.03
0.01
0.30
0.06
0.03
0.06
0.40
0.05
-0.04
0.02
Hng s c1=
zx
0.2133
0.1977
0.1419
0.2488
TSSLTB DM (X)
Phng sai (X)
lch chun(X)
Cov(x,y)
0.02
X (%)
0.2660
0.2466
0.1770
0.3104
1.0000
0.0999
0.0997
0.3158
0.2182
Xc nh ng ng dng
trong
Mc hu dng Umax =
Ngi ri ro
Data Table
U = E(R)-.Var
--> E(R) = Umax +
: dc --> mc thn trng ca NT --> hng s
.Var : Chi ph cho RR
0.0339 =MAX (G38:G58)
0.7
lch chun
TSSL E(R )
1.1672 0.987493834
1.1002 0.881156027
1.0334 0.781466013
0.9670 0.688423794
0.9009 0.602029368
0.8353 0.522282737
0.7702 0.4491839
0.7059 0.382732857
0.6426 0.322929608
0.5805 0.269774153
0.5201 0.223266493
0.4621 0.183406626
0.4076 0.150194553
0.3580
0.3158
0.2842
0.2670
0.2671
0.2844
0.3161
0.3584
0.123630275
0.103713791
0.090445101
0.083824205
0.083851103
0.090525795
0.103848281
0.123818561
ng sai nh sau:
nh 2 DM hiu qu x & y
liu chng 8)
TSSL TB (R)
6%
8%
10%
15%
0.05
-0.04
0.02
0.50
c2=
R-c1
0.04
0.06
0.08
0.13
0.065
zy
-0.1757
0.0648
0.0815
0.1895
Y (%)
-1.0971
0.4048
=E13:E16/SUM(E13:E16)
-->CTRL+SHIFT+ENTER
0.5088
1.1834
1.0000
0.1950
0.8116
0.9009
=MMULT(TRANSPOSE(C13:C1
=MMULT(MMULT(B23:E23,A6
=MMULT(MMULT(B20:E20,A6:D9),F13:F16)
% VT X
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
DATA TABLE
cho ng bin hiu qu
th
lch chun
TSSL
0.7059
0.1665
1.1672
0.2330
1.1002
0.2235
1.0334
0.2140
0.9670
0.2045
0.9009
0.1950
0.8353
0.1855
0.7702
0.1760
0.7059
0.1665
U = E(R) - .Var
-0.1824
-0.7206
-0.6238
-0.5336
-0.4501
-0.3732
-0.3029
-0.2393
-0.1824
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
0.6426
0.5805
0.5201
0.4621
0.4076
0.3580
0.3158
0.2842
0.2670
0.2671
0.2844
0.3161
0.3584
CPA
CPB
CPC
CPD
0.1570
0.1475
0.1380
0.1284
0.1189
0.1094
0.0999
0.0904
0.0809
0.0714
0.0619
0.0524
0.0429
31.62%
54.77%
63.25%
70.71%
-0.1321
-0.0884
-0.0514
-0.0211
0.0027
0.0197
0.0301
0.0339
0.0310
0.0215
0.0053
-0.0175
-0.0470
6%
8%
10%
15%
X (G38:G58)
1.2
TSSL TB
0.8
ng bi
ng
0.6
0.4
0.2
0
0.2000
0.4000
0.6000
do0.8000
lech chuan
1.0000
1.2000
0.2
0
0.2000
0.4000
0.6000
do0.8000
lech chuan
1.0000
1.2000
1.2
1
0.8
DUONG BIE
0.6
DUONG DA
0.4
0.2
0
0.2000
0.4000
0.6000
0.8000
1.0000
1.2000
1.4000
R-c=
R-c2
-0.005
0.015
0.035
0.085
E(r1) -c
E(r2) -c
E(r3) -c
E(r4) -c
16/SUM(E13:E16)
+SHIFT+ENTER
(TRANSPOSE(C13:C16), F6:F9)
ULT(MMULT(B23:E23,A6:D9),F13:F16)
duong bien hieu qua
0.2500
tssl
0.2000
0.1500
0.1000
0.0500
0.0000
0.2000
0.4000
0.6000
0.8000
do lech chuan
25%
20%
15%
1.0000
1.2000
1.4
25%
0.1570
0.1475
0.1380
0.1284
0.1189
0.1094
0.0999
20%
15%
10%
5% thiu ca danh mc
<-- var ti
0%
20.00%
ng bin hiu qu
ng ng dng
1.0000
1.2000
1.4000
40.00%
60.00%
80.00%
100.00%
120.00
1.0000
1.2000
1.4000
1.4000
n hieu qua
1.0000
1.2000
1.4000
Colum
nF
6%
8%
Colum
nF
6%
8%
10%
15%
100.00%
120.00%
140.00%
Tnh ton
Gi nh c 4 ti sn ri ro c ma trn TSSL mong i & phng sai nh sau:
Theo nh 2: xc nh ng bin hiu qu --> xc nh 2 DM hiu qu x & y
Ma trn phng sai - hip phng sai (s dng d liu chng 8)
0.10
0.01
0.03
0.01
0.30
0.06
0.03
0.06
0.40
0.05
-0.04
0.02
1
2
3
4
Hng s c1=
zx
0.2133
0.1977
0.1419
0.2488
0.8017
TSSLTB DM (X)
Phng sai (X)
lch chun(X)
Cov(x,y)
Corr(x,y)
0.02
X (%)
0.2660
0.2466
0.1770
0.3104
1
0.0999
0.0997
0.2182
0.1
25%
20%
TSSL
15%
10%
5%
0%
0.00%
50.00%
DLC
Xc nh ng ng dng
trong
Mc hu dng U
Ngi ri ro
Data Table
U = E(R)-.Var
--> E(R) = U +
: dc --> mc thn trng ca NT --> hng s
.Var : Chi ph cho RR
0.0339 =MAX (G38:G58)
0.7
lch chun
TSSL E(R )
116.72%
98.75%
110.02%
88.12%
103.34%
78.15%
96.70%
68.84%
90.09%
60.20%
83.53%
52.23%
77.02%
44.92%
70.59%
38.27%
64.26%
32.29%
58.05%
26.98%
52.01%
22.33%
46.21%
40.76%
35.80%
31.58%
28.42%
26.70%
26.71%
28.44%
31.61%
35.84%
18.34%
15.02%
12.36%
10.37%
9.04%
8.38%
8.39%
9.05%
10.38%
12.38%
ng sai nh sau:
nh 2 DM hiu qu x & y
liu chng 8)
TSSL TB (R)
6%
8%
10%
15%
0.05
-0.04
0.02
0.50
Hng s c2=
R-c1
0.04
0.06
0.08
0.13
0.065
zy
-0.1757
0.0648
0.0815
0.1895
Y (%)
-1.0971
0.4048
0.5088
1.1834
0.1601
TSSLTB DM (Y)
Phng sai (Y)
lch chun (Y)
0.1950
0.8116
=MMULT(MMULT(TRANSPOSE(C13;C16),A6:D9),F13:F16)
% VT
-0.4
-0.3
-0.2
-0.1
0
0.1
DATA TABLE
cho ng bin hiu qu
th
lch chun
TSSL
70.59%
16.65%
116.72%
23.30%
110.02%
22.35%
103.34%
21.40%
96.70%
20.45%
90.09%
19.50%
83.53%
18.55%
U = E(R)-.Var
-0.1824
-0.7206
-0.6238
-0.5336
-0.4501
-0.3732
-0.3029
25%
20%
TSSL
15%
10%
5%
0%
0.00%
CPA
CPB
CPC
CPD
0.2
77.02%
0.3
70.59%
0.4
64.26%
0.5
58.05%
0.6
52.01%
0.7
46.21%
0.8
40.76%
0.9
35.80%
1
31.58%
1.1
28.42%
1.2
26.70%
1.3
26.71%
1.4
28.44%
50.00%
100.00%
150.00%
1.5
31.61%
1.6 DLC
35.84%
31.62%
54.77%
63.25%
70.71%
17.60%
16.65%
15.70%
14.75%
13.80%
12.84%
11.89%
Column F
10.94%
A
9.99%
B
9.04%
C
8.09%
D
7.14%
6.19%
5.24%
4.29%
6%
8%
10%
15%
-0.2393
-0.1824
-0.1321
-0.0884
-0.0514
-0.0211
0.0027
0.0197
0.0301
0.0339
0.0310
0.0215
0.0053
-0.0175
-0.0470
(R) = U + .Var
trng ca NT --> hng s phi RR
X (G38:G58)
120.00%
100.00%
TSSL TB
80.00%
ng bi
ng
60.00%
40.00%
20.00%
0.00%
20.00%
40.00%
60.00%
80.00%
do lech
chuan
100.00%
120.00%
40.00%
20.00%
0.00%
20.00%
40.00%
60.00%
80.00%
do lech
chuan
100.00%
120.00%
R-c=
R-c2
-0.005
0.015
0.035
0.085
E(r1) -c
E(r2) -c
E(r3) -c
E(r4) -c
tssl
20.00%
15.00%
10.00%
5.00%
0.00%
20.00%
40.00%
60.00%
do lech chuan
0.0600
0.1760
0.1665
0.1570
0.1475
0.1380
0.1284
0.1189
0.1094
0.0999
25%
20%
tssl tb
ng bin hiu qu
cp A
15%
cp B
cp C
10%
cp D
5%
0%
20.00%
40.00%
60.00%
80.00%
do lech chuan
ng bin hiu qu
ng ng dng
100.00%
120.00%
140.00%
100.00%
120.00%
140.00%
100.00%
120.00%
140.00%
n hieu qua
ng bin hiu qu
40.00%
12.045
10.045
8.045
ng bin hiu qu
Danh mc th trng
6.045
ng CML
TSSL phi ri ro
4.045
2.045
0.045
0
10
12
NG TH TRNG VN (CM
0.40
0.03
0.02
0.00
0.00
-0.06
0.03
0.10
0
zX
X (%)
0.1018
0.5655
0.1161
1.1045
0.0539
0.2995
0.0615
0.5850
1.0000
6.93%
3.67%
19.16%
3.85%
0.0539
0.0313
0.2995
0.2058
TSSL TB DM X
Var (X)
lch chun DM X
Cov (X, M)
Chuyn o X%
Chuyn o M%
rf =
0.3
7.16%
20.37%
DLC
TSSL
0.2037
35.66%
33.92%
32.22%
0.0716
8.24%
8.14%
8.05%
0.0615
0.0604
-2.1
-1.8
-1.5
-1.2
-0.9
-0.6
-0.3
0
0.3
0.6
0.9
1.2
1.5
1.8
2.1
2.4
2.7
3
3.3
3.6
3.9
4.2
4.5
30.57%
28.98%
27.44%
25.99%
24.62%
23.35%
22.21%
21.21%
20.37%
19.72%
19.27%
19.03%
19.02%
19.23%
19.67%
20.30%
21.12%
22.11%
23.24%
24.49%
25.85%
27.30%
28.83%
7.95%
7.85%
7.75%
7.65%
7.55%
7.46%
7.36%
7.26%
7.16%
7.06%
6.96%
6.87%
6.77%
6.67%
6.57%
6.47%
6.38%
6.28%
6.18%
6.08%
5.98%
5.88%
5.79%
TSSL TB DM
9.50%
8.50%
33.93%
31.81%
29.69%
27.57%
25.45%
23.33%
21.21%
19.09%
16.97%
14.85%
12.73%
10.60%
8.48%
6.36%
4.24%
2.12%
0.00%
8.62%
8.39%
8.16%
7.94%
7.71%
7.49%
7.26%
7.03%
6.81%
6.58%
6.36%
6.13%
5.90%
5.68%
5.45%
5.23%
5.00%
TSSL TB DM
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
10.50%
9.50%
8.50%
7.50%
6.50%
5.50%
4.50%
0.00%
NG VN (CML)
TSSL TB (R )
0.06
0.05
0.07
0.08
R - c1
0.06
0.05
0.07
0.08
TSSL TB DM M
Var (M)
lch chun DM M
zi
Mi =
zi
i=1
Xt kt hp li gia M & T
a: t trng VT vo TS ph
0.05
zM
0.0157
0.1034
0.0303
0.3529
R - Rf
0.01
0.00
0.02
0.03
Gi nh tn ti TS phi RR
M: DM hiu qu tun theo
R-Rf= Sz
M%
0.0313
0.2058
0.0604
0.7025
1.0000
7.26%
4.50%
21.21%
0.5850 = TRANSPOSE(C13:C16)
0.7025 = TRANSPOSE(F13:F16)
p=
2 2
2 2
a rf + (1a) M
TSSL TB DM
10.50%
9.50%
8.50%
TSSL TB DM
10.50%
9.50%
8.50%
ng bin hi
ng CML
DM th trng M
7.50%
TS phi RR
6.50%
5.50%
4.50%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
DLC
DM
30.00%
35.00%
40.00%
45.00%
50.00
arf + (1 a)E(rM)
2 2
2 2
a rf + (1a) M + 2a(1a)Cov(rf , y)= (1a) M
40.00%
ng bin hiu qu
ng CML
DM th trng M
TS phi RR
45.00%
50.00%
NG TH
TRNG VN (CM
10.00%
8.00%
TSSL
0.40
0.03
0.02
0.00
0.02 rf =
0.00%
X (%)
0.00%
0.0505
0.2854
0.0613
0.6027
1.0000
6.98%
3.74%
19.33%
3.94%
zX
0.0674
0.3806
0.0818
0.8038
TSSL TB DM X
Var (X)
lch chun DM X
Cov (X, M)
0.3
7.18%
20.49%
0.3
DLC
TSSL
20.49%
33.05%
31.63%
30.24%
28.89%
27.59%
26.34%
25.15%
0.00
-0.06
0.03
0.10
7.18%
8.09%
8.01%
7.93%
7.84%
7.76%
7.68%
7.59%
100.00% 200
DLC
24.03%
22.99%
22.05%
21.21%
20.49%
19.89%
19.44%
19.15%
19.01%
19.03%
19.22%
19.56%
20.05%
20.68%
21.44%
22.31%
23.29%
24.35%
25.49%
7.51%
7.43%
7.34%
7.26%
7.18%
7.09%
7.01%
6.93%
6.84%
6.76%
6.68%
6.59%
6.51%
6.42%
6.34%
6.26%
6.17%
6.09%
6.01%
TSSL TB DM
-0.90
-0.60
-0.30
0.00
0.30
0.60
0.90
1.20
1.50
1.80
2.10
2.40
2.70
3.00
3.30
3.60
3.90
4.20
4.50
10.50%
9.50%
8.50%
7.50%
25.45%
23.33%
21.21%
19.09%
16.97%
14.85%
12.73%
10.60%
8.48%
6.36%
4.24%
2.12%
0.00%
7.71%
7.49%
7.26%
7.03%
6.81%
6.58%
6.36%
6.13%
5.90%
5.68%
5.45%
5.23%
5.00%
TSSL TB DM
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
10.50%
9.50%
8.50%
7.50%
6.50%
5.50%
4.50%
0.00%
NG VN (CML)
0%
Gi nh tn ti TS phi RR
M: DM hiu qu tun theo
TSSL TB (R ) R - c1
VE DUONG
0.06 BIEN 0.04
CML
0.05
0.03
0.05
DMTT M0.07
0.08
0.06
TS PHI RR
0.05
zM
100.00% 200.00%
0.0157
DLC
0.1034
0.0303
0.3529
TSSL TB DM M
Var (M)
lch chun DM M
M%
0.0313
0.2058
0.0604
0.7025
1.0000
7.26%
4.50%
21.21%
R - Rf
0.01
0.00
0.02
0.03
R-Rf= Sz
Mi =
zi
N
zi
i=1
Xt kt hp li gia M & T
a: t trng VT vo TS ph
E(rp) = arf + (1 a)E(r
p = a 2 2rf + (1a)2 2M
TSSL TB DM
10.50%
9.50%
8.50%
ng bin hi
ng CML
7.50%
DM th trng M
TS phi RR
TSSL TB DM
10.50%
9.50%
8.50%
ng bin hi
ng CML
DM th trng M
7.50%
TS phi RR
6.50%
5.50%
4.50%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
DLC
DM
30.00%
35.00%
40.00%
45.00%
50.00
arf + (1 a)E(rM)
2 2
2 2
a
+
(1a)
rf M + 2a(1a)Cov(rf , y)= (1a) M
ng bin hiu qu
ng CML
DM th trng M
TS phi RR
40.00%
ng bin hiu qu
ng CML
DM th trng M
TS phi RR
45.00%
50.00%