12

10

0
0

10

12

12

10

8
ng bin
Danh mc X
Danh mc Y
Danh mc W

-Danh mc kh thi: bt k DM no m tng vn T vo DM = 1

-Vng kh thi: vng tp hp cc TSSL k vng (TSSLBQ) v
phng sai ca DM kh thi. Vng kh thi: l vng nm bn trong
v bn phi ca qu trng v
-DM kh thi nm trn ng bin ca vng kh thi, nu ng vi 1
TSSL mong i cho trc, th DM ny phi c phng sai thp
nht.
-Nu DM X l 1 DM hiu qu, nu DM ny ti a ha TSSL t 1
phng sai ( lch chun) cho trc nu DM X hiu qu, th s
ko c DM Y no c E(rY) > E(rX) v y<= x

0
0

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

Tnh ton cho mt danh mc kt hp X &Y

%vn u t vo DM X
0.30
TSSL TB ca DM kt hp
16.65%
P.Sai ca DM kt hp
49.83%
LC ca DM kt hp
70.59%
0.1

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

Tnh ton ng bin hiu qu

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

0.0999 TSSLTB DM (Y)

Phng sai Y)
lch chun (Y)

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%

(R) = Umax + .Var

trng ca NT --> hng s phi RR

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

<--Tiu ca data table

0.2330
0.0900
0.2235
0.0989
0.2140
0.2045
0.0800
0.1950
0.1855
0.0600
0.1760
0.1665

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

DUONG BIEN HIEU QUA

DUONG DANG DUNG

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

Tnh ton cho mt danh mc kt hp X &Y

%vn u t vo DM X
0.30
TSSL TB ca DM kt hp
16.65%
lch chun ca DM kt hp
70.59%

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%

Tnh ton ng bin hiu qu

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

duong bien hieu qua

25.00%

tssl

20.00%
15.00%
10.00%
5.00%

<--Tiu ca data table

0.2330
0.0900
0.2235
0.0989
0.2140
0.2045
0.0800
0.1950
0.1855

0.00%
20.00%

40.00%

60.00%

80.00% 100.00% 120.00% 140.00%

do lech chuan

0.0600

0.1760
0.1665
0.1570
0.1475
0.1380
0.1284
0.1189
0.1094
0.0999

<-- var ti thiu ca danh mc

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

.00% 120.00% 140.00%

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

Ma trn phng sai - hip phng sai

0.03
0.02
0.20
0.00
0.00
0.30
-0.06
0.03
c1=

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%

Xy dng ng bin hiu qu

T trng vo DM X
TSSL
lch chun
DATA TABLE
% VT DM X
-3
-2.7
-2.4

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

DATA Table for CML

DM kt hp gia DM M v TS phi RR
Rf
0.05 =E11
R (M)
7.26% =F18
T trng TS phi RR
0.5
TSSL DM kt hp
6.13% =B68*B66+(1-B68)*B67
DLC DM kt hp
10.60%
LC DM kt hp TSSL DM kt hp
10.60%
6.13%
-1
42.42%
9.52%
-0.9
40.30%
9.29%
-0.8
38.18%
9.07%
-0.7
36.06%
8.84%
10.50%

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)

E(rp) = arf + (1 a)E(r

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

h tn ti TS phi RR c TSSL l Rf.

hiu qu tun theo phng trnh:

hp li gia M & TS phi RR

ng VT vo TS phi RR

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

Ma trn phng sai - hip phng sai 6.00%

0.03
0.02
0.20
0.00 4.00%
0.00
0.30
-0.06
0.03 2.00%
c1=

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)

Bc 1: Xy dng ng bin hiu qu

T trng vo DM X
TSSL TB DM ket hop
lch chun
DATA TABLE
% VT DM X
-3.00
-2.70
-2.40
-2.10
-1.80
-1.50
-1.20

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%

Bc 2: lp d liu DATA Table for CML

DM kt hp gia DM M v TS phi RR
Rf
0.05 =E11
R (M)
7.26% =F18
T trng TS phi RR
0.5
TSSL DM kt hp
6.13%
DLC DM kt hp
10.60% =(1-B68)*F20
LC DM kt hp TSSL DM kt hp
%VDT TS PHI RR
10.60%
6.13%
-1
42.42%
9.52%
-0.9
40.30%
9.29%
-0.8
38.18%
9.07%
-0.7
36.06%
8.84%
-0.6
33.93%
8.62%
-0.5
31.81%
8.39%
-0.4
29.69%
8.16%
-0.3
27.57%
7.94%

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

h tn ti TS phi RR c TSSL l Rf.

hiu qu tun theo phng trnh:

hp li gia M & TS phi RR

ng VT vo TS phi RR

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%