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94688308 THIẾT LẬP MO HINH DANH MỤC ĐẦU TƯ HIỆU QUẢ THEO LÝ THUYẾT MARKOWITZ
94688308 THIẾT LẬP MO HINH DANH MỤC ĐẦU TƯ HIỆU QUẢ THEO LÝ THUYẾT MARKOWITZ
MARKOWITZ
Phn tch DMT theo M hnh ca Markowitz: theo 3 bc
1. T PT c bn v k thut, chn ra mt s CP a vo DMT, trong ch chn
nhng hng mc u t c h s tng quan v li sut l m.
2. Tnh cc c trng ca cc CP nh
+ li sut, ri ro
+ phng sai, lch chun, hip phng sai (Covariance), h s tng quan
(Correlation Cofficient) cc mc u t km tng quan hoc tng quan nghch vi
nhau th c chn a vo m hnh v mc ch xy dng DMT l gim thiu ri ro.
3. Xc nh t l phn b ca tng hng mc trong DMT sao cho DMT c hiu qu
nht. Tc l vi mt mc ri ro nh ( lch chun, h s tng quan) th DMT s
c li sut ln nht. Hoc vi mt mc li sut cho trc DMT s c ri ro thp nht.
Nhng DMT hiu qu s nm trn ng bin hiu qu (Efficient Frontier).
I. Mc thit lp m hnh DMT CP
nh gi vic p dng l thuyt danh mc u t hiu qu trn th trng
chng khon Vit Nam. L thuyt ca Markowitz cho rng vic a dng
ha danh mc u t s gim thiu ri ro phi h thng i vi cc nh u
t. Danh mc u t ca chng ta s gm 5 c phiu: AGF, GIL, GMD,
NKD, REE.
II. X l d liu.
D liu ca danh mc s bt u t ngy 15/12/2004 n ngy 16/7/2007 t sut
sinh li ca tng c phiu s c tnh theo thng bt u t ngy u tin ca thng ny
n ngy u tin ca thng tip theo. C th:
i vi nhng thng khng c giao dch hng quyn, chia tch c phiu
v hng c tc th t sut sinh li c tnh: r
Pt P0
P0
Pt Dt P0
P0
2000 100
100 ng
1000
a * Pt P0 Pt
Vi a l t l c phiu c hng. V d, mt cng
P0
P0
Sau khi hiu chnh v tnh ton ta c bng t sut sinh li theo thng ca tng
chng khon trong giai on t 15/12/2004-16/7/2007.
Bng 1: T SUT SINH LI THEO THNG CA TNG CHNG KHON
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
AGF
0.03
-0.02
-0.03
0.03
-0.01
-0.02
-0.04
-0.02
0.02
0.16
0.13
0.06
-0.03
-0.02
0.22
0.13
0.39
-0.06
0.00
-0.05
0.07
0.08
-0.01
0.29
0.11
0.22
GIL
0.05
0.09
-0.04
0.05
-0.03
-0.05
-0.02
-0.02
0.02
0.13
0.26
-0.13
-0.06
0.06
0.14
0.11
0.27
-0.12
-0.07
-0.14
0.27
0.10
-0.05
0.04
-0.04
0.32
GMD
0.06
-0.02
0.01
0.03
0.00
-0.01
-0.02
-0.01
0.01
0.06
0.02
0.18
0.08
0.01
1.17
0.13
-0.19
-0.11
-0.01
-0.09
0.17
0.17
0.02
0.52
-0.01
0.32
NKD
0.14
0.02
-0.01
0.06
0.10
0.01
0.04
0.06
0.09
0.26
2.50
0.00
0.00
0.03
0.11
0.03
0.50
-0.16
-0.03
-0.18
0.16
0.06
0.03
0.19
0.36
0.42
REE
0.00
0.01
-0.02
0.18
-0.03
-0.02
0.03
-0.01
0.09
0.28
-0.01
-0.03
-0.01
0.06
0.34
0.21
0.69
-0.11
-0.06
-0.18
0.22
0.12
-0.04
0.24
0.22
0.62
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
T sut sinh li
trung bnh
thng
lch chun
0.13
-0.10
-0.21
0.24
-0.24
-0.03
0.31
-0.07
-0.22
0.28
-0.03
-0.01
0.04
-0.07
-0.14
0.07
-0.10
-0.05
-0.04
-0.06
-0.27
0.30
0.08
0.05
0.32
-0.01
-0.19
-0.24
-0.12
-0.03
0.04
0.04
0.07
0.15
0.08
0.13
0.14
0.24
0.46
0.21
FrequencyChart
7 Outliers
.028
28
.021
21
.014
14
.007
.000
0
-0.45
-0.17
0.11
0.40
0.68
Thng k Kurtois ( nhn) = 2.79 v lch Skewness = 0.07 cho thy t sut
sinh li ca danh mc E c phn phi rt gn phn phi chun.
Da vo kt qu ca m hnh ta thy, nu nh u t la chn danh mc E h
s c t sut sinh li hng thng l khong 11.5% vi lch chun 13% trong giai on
t 15/12/2004 16/7/2007.
BNG KT QU
AGF
GIL
GMD
NKD
REE
Danh mc u
t E
T sut sinh li
lch chun
0.04
0.04
0.07
0.15
0.08
0.115
0.13
0.14
0.24
0.46
0.21
0.13
Xc sut t sut
sinh li >= 0
60.9%
60.8%
59.8%
65.2%
65.6%
69.5%
H s bin
thin
3.3
3.5
3.4
3.1
2.6
1.1