M HNH LA CHN

DANH MC U T

NG DNG TRONG XY DNG

DANH MC U T TI U
Trong xa hoi, tai san co rat nhieu loai khac
nhau vi lng gia tr cc ky ln nen nha au t
khong the au t vao tat ca cac tai san xa hoi. Do
o, oi hoi nha au t phai xay dng cho mnh
mot danh muc au t hp ly phu hp vi ieu
kien ca nhan, giam thieu c rui ro, tang mc
sinh li.

Ty suat sinh li ky vong cua danh muc p

c xac nh nh sau:
n

X p = X i Wi
i=1

Wi: Ty trong au t vao tai san i.

Wi = 1

Xi :

Ky vong toan hoc cua tai san i

Cong thc c ban xac nh phng

sai, o lech chuan cua danh muc
n

WiW j COV (i, j ) WiW j rij i j

2
p

i 1 j 1
n

i 1 j 1

W W COV (i, j)
i 1 j 1

rij: He so tng quan gia tai san i va tai san j.

MA TRN HIP PHNG SAI CA DANH MC

COV

COV(AB) COV(AC) COV(AD) COV(AE) COV(AF)

COV(BA)

COV(BF)

COV(CA)

COV(CF)

COV(DA)

COV(DF)

COV(EA)

COV(EF)

COV(FA) COV(FB) COV(FC) COV(FD) COV(FE) COV(FF)

Phng sai ca danh mc c th vit di

dng ma trn nh sau:

W1W2 ...Wn
2
p

11 12... 1n W1
21 22... 2 n W2
................. ...
n1 n 2 ... nn Wn

Nh th c th dng hm
SUMPRODUCT v MMULT xc nh
phng sai danh mc.

V d

Bang thong ke lai suat cua cac cong ty nh sau:

Lai suat cua cong ty
K
1
2
3
4
5
6
7
8
9
10
11
12

AA
12%
13%
17%
20%
-2%
-8%
28%
18%
20%
17%
13%
21%

BB
-3%
10%
-4%
-9%
27%
32%
6%
9%
7%
12%
13%
17%

CC
22%
23%
15%
11%
13%
13%
15%
15%
19%
16%
14%
18%

DD
14%
15%
19%
9%
12%
17%
10%
20%
-3%
-4%
29%
12%

Bang thong ke lai suat cua cac cong ty nh sau:

Lai suat cua cong ty
K
1
2
3
4
5
6
7
8
9
10
11
12
KLSKV

AA
12%
13%
17%
20%
-2%
-8%
28%
18%
20%
17%
13%
21%

BB
-3%
10%
-4%
-9%
27%
32%
6%
9%
7%
12%
13%
17%

CC
22%
23%
15%
11%
13%
13%
15%
15%
19%
16%
14%
18%

DD
14%
15%
19%
9%
12%
17%
10%
20%
-3%
-4%
29%
12%

14.08%

9.75%

16.17%

12.50%

Dng hm covar tnh ma trn hip phng sai

Ma trn hip phng sai
A
A
B
C
D

A
B
C
D

B
0.91410%
-0.75979%
0.06486%
-0.22125%

C
-0.75979%
1.32188%
-0.06792%
0.09042%

D
0.06486%
-0.06792%
0.12306%
-0.05000%

-0.22125%
0.09042%
-0.05000%
0.77583%
H s tng
HM CORREL
quan
AB
-0.691199057
=COVAR(B4:B15;$B$4:$B$15)
BC
-0.168395529
=COVAR(B4:B15;$C$4:$C$15)
CD
-0.161821109
=COVAR(B4:B15;$D$4:$D$15)
AD
-0.262725887
=COVAR(B4:B15;$E$4:$E$15)
BD
0.089283063
AC
0.193391587

KLSKV

14,08%

9,75%

16,17%

12,50%

Dng hm covar tnh ma trn hip phng sai

Ma trn hip phng sai
A
A
B
C
D
T trng
LSKV
PS DM
LC

0,91410% -0,75979% 0,06486% -0,22125%

-0,75979%
1,32188% -0,06792% 0,09042%
0,06486% -0,06792%
0,12306% -0,05000%
-0,22125% 0,09042% -0,05000%
0,77583%
10%

20%

30%

40%

100%

13,21% =SUMPRODUCT(B16:E16;B25:E25)
0,15% =SUMPRODUCT(MMULT(B25:E25;B20:E23);B25:E25)
3,84%

C
D
E
F
14,08%
9,75%
16,17%
12,50%
A
B
C
D
A
0,9141% -0,7598%
0,0649% -0,2213%
B
-0,7598% 1,3219% -0,0679%
0,0904%
C
0,0649% -0,0679% 0,1231% -0,0500%
D
-0,2213%
0,0904% -0,0500% 0,7758%
T trng
20,20%
17,27%
48,65%
13,88%
TNG T TRNG
100%
LSKV
14,13% SUMPRODUCT(B26:E26;B17:E17)
PS DM
0,05% =SUMPRODUCT(B26:E26;MMULT(B26:E26;B21:E24))
LC
2,33%
Chy chng trnh solver: Tool/Solver
B
KLSKV

Cc iu kin:
Phng sai ti thiu.
Thay i t trng (tm t trng u t ti u).
Tng t trng phi bng 1.
Trng hp khng bn khng th:
0 t trng j 1
V.V

SOLVER
PARAMETERS
CA EXCEL
2013

Sau khi chy ra

kt qu xong,
SOLVER hi li.
Nu ng
chn OK.

KLSKV

A
B
C
D
T trng

14,08%
9,75%
16,17%
12,50%
Dng hm covar tnh ma trn hip phng sai
Ma trn hip phng sai
A
B
C
D
0,9141% -0,7598% 0,0649% -0,2213%
-0,7598% 1,3219% -0,0679% 0,0904%
0,0649% -0,0679% 0,1231% -0,0500%
-0,2213% 0,0904% -0,0500% 0,7758%
10,65%

8,61%

70,04%

10,70%

TNG T TRNG
100%
LSKV
15,00% SUMPRODUCT(B26:E26;B17:E17)
PS DM
0,07% =SUMPRODUCT(B26:E26;MMULT(B26:E26;B21:E24))
LC
2,57%
Chy chng trnh solver: Vi iu kin TSSL >= 15%

SOLVER
PARAMETERS
CA EXCEL 2013,
Thm iu kin
TSSL danh mc
>=15%.