Dữ liệu về TSSL trong 10 năm của 6 loại Cổ phiếu

A B G H
1996 -0.3505 -0.1154 -0.4246 -0.2107
1997 0.7083 0.2472 0.3719 0.2227
1998 0.7329 0.3665 0.2550 0.5815
1999 -0.2034 -0.4271 -0.0490 -0.0938
2000 0.1663 -0.0452 -0.0573 0.2751
2001 -0.2659 0.0158 0.0898 0.0793
2002 0.0124 0.4751 0.3350 -0.1894
2003 -0.0264 -0.2042 -0.0275 -0.7427
2004 1.0642 -0.1493 0.6968 -0.2615
2005 0.1942 0.3680 0.3110 1.8682
cot tham chieu
E(ri) 0.2032 0.0531 0.1501 0.1529
var 0.22883538 0.08782088 0.09637284 0.49280612
DLC(ri) 0.47836741 0.29634587 0.31043976 0.70200151
BETA 1.48203822 1.0839764 1.31067303 1.29911225
1.48203822 1.0839764 1.31067303 1.29911225
tính ma trận ps-hps(S)
pp1 theo công thức
c1 dùng hàm covariance.s
A B G H
A 0.22883538 0.04168959 0.1197216 0.05473471
B 0.04168959 0.08782088 0.0394229 0.11426443
G 0.1197216 0.0394229 0.09637284 0.04921199
H 0.05473471 0.11426443 0.04921199 0.49280612
M 0.0231492 0.00989619 0.02160379 0.02139183
U 0.00650847 0.04508888 0.01648978 0.0303972

1 1 1 1
A 1 ck A B G H
B 1 tt 9.16% -20.88% -30.29% 0.42%
G 1 tt 9.16% -20.88% -30.29% 0.42%
H 1 Erp 0.11535594
M 1 Var(rp) 0.00227661 DM GVP
U 1
 c1: dùng hàm solver
hàm mục tiêu: psai -> min
biến số ra qđ: tỷ trọng đt vào các ck
đk ràng buộc: tổng tỷ trọng bằng 1
c2:

XÂY DỰNG ĐƯỜNG BIÊN HIỆU QUẢ CÓ BÁN KHỐNG

DM HQ X
C1:
ck A B G H M
tt 10.72% -27.73% -29.80% 1.69% 98.70%
Erp 0.122
Var(rp) 0.002
SHARPE 2.384350233
C2:
ck A B G H M
tt 10.719% -27.731% -29.796% 1.686% 98.702%

DM HQ Y C2: 3%
ck A B G H M
tt 11.176% -29.739% -29.652% 2.056% 97.991%

XÂY DỰNG ĐƯỜNG BIÊN HIỆU QUẢ CÓ BÁN KHỐNG

DM X DMY
TỶ TRỌNG 40% 60%
E(RI) 0.122 0.1243113
VAR(RI) 0.002419495 0.00251547
COV(X,Y) 0.002461359
ERZ 0.123499697
VAR(Z) 0.00247414

VẼ ĐƯỜNG BIÊN: DATA/DATA TABLE

TT X TT Y ĐLC Z E(RZ)
60% 0.04974073 0.1234997
-50% 0.1253258
-47.00% 0.12526493
-44.00% 0.12520406
-41.00% 0.12514319
-38.00% 0.12508232
-35.00% 0.12502145
-32.00% 0.12496058
-29.00% 0.12489971
-26.00% 0.12483884
-23.00% 0.12477797
-20.00% 0.1247171
-17.00% 0.12465623
-14.00% 0.12459536
-11.00% 0.12453449
-8.00% 0.12447362
-5.00% 0.12441275
-2.00% 0.12435188
1.00% 0.12429101
4.00% 0.12423014
7.00% 0.12416927
10.00% 0.1241084
13.00% 0.12404753
16.00% 0.12398666
19.00% 0.12392579
22.00% 0.12386492
25.00% 0.12380405
28.00% 0.12374318
31.00% 0.12368231
34.00% 0.12362144
37.00% 0.12356057
40.00% 0.1234997
43.00% 0.12343883
46.00% 0.12337796
49.00% 0.12331709
52.00% 0.12325622
55.00% 0.12319535
58.00% 0.12313448
61.00% 0.12307361
 64.00% 0.12301274
67.00% 0.12295187
70.00% 0.122891
73.00% 0.12283013
76.00% 0.12276925
79.00% 0.12270838
82.00% 0.12264751
85.00% 0.12258664
88.00% 0.12252577
91.00% 0.1224649
94.00% 0.12240403
97.00% 0.12234316
100.00% 0.12228229
103.00% 0.12222142
106.00% 0.12216055
109.00% 0.12209968
112.00% 0.12203881
115.00% 0.12197794
118.00% 0.12191707
121.00% 0.1218562
124.00% 0.12179533
127.00% 0.12173446
130.00% 0.12167359
133.00% 0.12161272
136.00% 0.12155185
139.00% 0.12149098
142.00% 0.12143011
C2 dùng hàm covariance.s kết hợp với 2 hàm dò tìm offset
cột tham chiếu là cột năm
0
A
0 A 0.22883538
1 B 0.04168959
2 G 0.1197216
3 H 0.05473471
4 M 0.0231492
 5 U 0.00650847
C3 dùng : At*a/(n-1)--->C+S+E

A
A 0.22883538
B 0.04168959
G 0.1197216
H 0.05473471
M 0.0231492
U 0.00650847

C4 DÙNG VBA
A B
A #NAME? #NAME?
B #NAME? #NAME?
G #NAME? #NAME?
H #NAME? #NAME?
M #NAME? #NAME?
U #NAME? #NAME?

PP Mo hinh chi so don

1.48203822 1.0839764 1.31067303

A B G
1.48204 A 0.22883538 0.06416737 0.07758697
1.08398 B 0.06416737 0.08782088 0.05674783
1.31067 G 0.07758697 0.05674783 0.09637284
1.29911 H 0.07690262 0.05624728 0.06801052
0.26225 M 0.01552396 0.01135437 0.01372896
0.49390 U 0.02923721 0.02138437 0.02585657

DUNG SIM
DUNG HE SO TUONG QUAN KHONG DOI

0.47836741 0.29634587
A B
0.47836741 A
0.29634587 B
0.31043976 G
0.70200151 H
0.09609908 M
0.20872588 U

MA TRẬN KHÁC

TÍNH TỶ TRỌNG ĐT VÀO CÁC CK SAO CHO RR DM LÀ NHỎ NHẤT

m của 6 loại Cổ phiếu
M U VN index
-0.0758 0.2331 -0.2647
0.0213 0.3569 0.3720
0.1276 0.0781 0.2384
0.0712 -0.2721 -0.0718
0.1372 -0.1346 0.0656
0.0215 0.2254 0.1844
0.2002 0.3657 0.3242
0.0913 0.0479 -0.0491
0.2243 0.0456 0.2141
0.2066 0.2640 0.2251

0.1025 0.1210 0.1238

0.00923503 0.04356649 0.03994248
0.09609908 0.20872588 0.19985615
0.26224559 0.49390283 1
0.26224559 0.49390283 1

M U
0.0231492 0.00650847
0.00989619 0.04508888
0.02160379 0.01648978
0.02139183 0.0303972
0.00923503 -0.001645
-0.001645 0.04356649

1 1
M U
101.13% 40.45%
101.13% 40.45% 100%
 U
46.42% 100%

U
46.420% 0.00029754

U Erp 0.124
48.169% Var(rp) 0.003
 Chart Title
0.14

0.12

0.1

0.08

0.06

0.04

0.02

0
0.04 0.05 0.06 0.07 0.08 0.09 0.1

tham chiếu là cột năm

1 2 3 4 5
B G H M U
0.04168959 0.1197216 0.05473471 0.0231492 0.00651
0.08782088 0.0394229 0.11426443 0.0098962 0.04509
0.0394229 0.09637284 0.04921199 0.0216038 0.01649
0.11426443 0.04921199 0.49280612 0.0213918 0.0304
0.00989619 0.02160379 0.02139183 0.009235 -0.0016
0.04508888 0.01648978 0.0303972 -0.001645 0.04357

B G H M U
0.04168959 0.1197216 0.05473471 0.0231492 0.00651
0.08782088 0.0394229 0.11426443 0.0098962 0.04509
0.0394229 0.09637284 0.04921199 0.0216038 0.01649
0.11426443 0.04921199 0.49280612 0.0213918 0.0304
0.00989619 0.02160379 0.02139183 0.009235 -0.0016
0.04508888 0.01648978 0.0303972 -0.001645 0.04357

G H M U
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME?

1.29911225 0.26224559 0.49390283

H M U
0.07690262 0.01552396 0.02923721
0.05624728 0.01135437 0.02138437
0.06801052 0.01372896 0.02585657
0.49280612 0.01360786 0.0256285
0.01360786 0.00923503 0.0051735
0.0256285 0.0051735 0.04356649
 0.31043976 0.70200151 0.09609908 0.2087259
G H M U

DM LÀ NHỎ NHẤT