COV A B C D TSSL TSSL-C

A 0.4 0.03 0.02 0 8% 4% 10%

B 0.03 0.2 0 -0.06 9% 5% 3%
C 0.02 0 0.3 0.03 10% 6% -8%
D 0 -0.06 0.03 0.1 11% 7% 5%
const = 4%
Xi WX E(r) – c = Sz hay z = S-1
ZX
0.1234 0.0546 4.41% 1.47047
0.9105 0.5404 32.56% 0.170132
0.1654 0.0968 5.92% 0.81103
1.5967 0.9952 57.10% -0.145371
100.00%
Yi WY
0.0546314 3.24%
0.5403531 32.03%
0.096842 5.74%
0.9951592 58.99%
100.00%

E(Y) 10.20% E(X) 10.16%

VAR(Y) 3.68% VAR(X) 3.63%
DLC(Y) 19.18% DLC(X) 19.06%

COV(XY) 0.036498
CORR(XY) 0.998485

W(XY) 30.00% 70.00%

E(rp) 10.17% ĐỒ THỊ ĐƯỜNG BIÊN HQ CỦA DM CÁC TÀI
DLC(p) 19.09% SẢN A,B,C,D
W DLC TSSL
1,200%
19.09% 10.17%
-150.00% 1,000%
-140.00%
-130.00% 800%
-120.00%
600%
-110.00%
-100.00% 400%
-90.00%
-80.00% 200%
-70.00%
000%
-60.00% 000% 200% 400% 600% 800% 1,000% 1,200%
-50.00%
-40.00%
-30.00%
-20.00%
-10.00%
0.00%
 10.00%
20.00%
30.00%
40.00%
50.00%
Chart Title
60.00%
1,200%
70.00%
80.00%
1,000%
90.00%
100.00%
800%
110.00%
120.00%
600%
130.00%
140.00% 400%
150.00%
160.00% 200%
170.00%
180.00% 000%
000% 200% 400% 600% 800% 1,000% 1,200%
190.00%
200.00%
210.00%
220.00%
230.00%
240.00%
250.00%
260.00%
270.00%
280.00%
290.00%
300.00%
310.00%
320.00%
330.00%
340.00%
350.00%
360.00%
370.00%
380.00%
390.00%
400.00%
410.00%
420.00%
430.00%
440.00%
450.00%
460.00%
470.00%
480.00%
 3% -8% 5% 8% 5.00%
20% 2% 3% 9% 6.00%
2% 30% 20% 10% 7.00%
3% 20% 90% 11% 8.00%
Const=c 3.00%
E(r) – c = Sz hay z = S-1[E(r)-c]
WX ZY
62.18% 0.929818 62.19%
8.15% 0.120239 8.04%
29.67% 0.529575 35.42%
0.00% -0.084459 -5.65%
Tổng 100.00% 1.495172 100.00%
TSSL 8.67% 5.62%
DLC 20.22% 19.39%
Theta= 28.06% 13.51%
X Y
W 30.00% 70.00%
COV(XY) 3.80%
TSSL XY 6.54%
VAR (XY) 3.80%
DLC (XY) 19.50%

DLCXY TSSLXY
19.50% 6.54%
-140.00%
-130.00%
-120.00%
CÁC TÀI -110.00%
-100.00%
-90.00%
-80.00%
-70.00%
-60.00%
-50.00%
-40.00%
-30.00%
-20.00%
-10.00%
0.00%
10.00%
1,000% 1,200% 20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
 90.00%
100.00%
110.00%
120.00%
130.00%
140.00%
150.00%
160.00%
170.00%
180.00%
190.00%
200.00%
210.00%
220.00%
230.00%
240.00%
250.00%
260.00%
% 1,000% 1,200%
270.00%
280.00%
290.00%
300.00%
310.00%
320.00%
COV A B C D TSSL TSSL-C
A 40.00% 3.00% 2.00% 0.00% 6.00% 2.00%
B 3.00% 20.00% 0.00% -6.00% 5.00% 1.00%
C 2.00% 0.00% 30.00% 3.00% 7.00% 3.00%
D 0.00% -6.00% 3.00% 10.00% 8.00% 4.00%
const = 0.04 E(r) – c = Sz hay z = S-1[E(r)-c]
zx WX
0.1017 {=MMULT(MINVERSE(B2:E5),F2:F5)} 5.39%
0.5662 29.98%
0.1161 6.14%
1.1049 58.49%
100.00%
zy WY
0.0329204 4.22%
0.1960856 25.14%
0.0474641 6.09%
0.5034121 64.55%
100.00%

E(Y) 7.10% E(X) 6.93%

VAR(Y) 3.98% VAR(X) 3.67%
DLC(Y) 19.94% DLC(X) 19.16%

COV(XY) 0.03759
CORR(XY) 0.984161

W(XY) 0.5 0.5

E(rp) 7.02%
DLC(p) 19.47%
W DLC TSSL ĐỒ THỊ ĐƯỜNG BIÊN HQ CỦA DM CÁC
19.47% 7.02% 1,200%
-150.00%
-140.00% 1,000%
-130.00%
-120.00% 800%
-110.00%
-100.00% 600%

-90.00%
400%
-80.00%
-70.00%
200%
-60.00%
-50.00% 000%
000% 200% 400% 600%
-40.00%
-30.00%
-20.00%
-10.00%
0.00%
10.00%
 20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
100.00%
110.00%
120.00%
130.00%
140.00%
150.00%
160.00%
170.00%
180.00%
190.00%
200.00%
210.00%
220.00%
230.00%
ỜNG BIÊN HQ CỦA DM CÁC TÀI SẢN A,B,C,D

400% 600% 800% 1,000% 1,200%