Ngày ADS AGF AGM AGR AMD Một nhà đầu tư đang sở h

1 -3.62% -3.49% -3.74% -0.89% 6.69% Có thông tin:

2 3.76% 0.00% 5.34% -1.49% 4.18% - Tỷ suất sinh lời theo ngà
3 -1.45% 2.77% 0.00% 3.03% 0.00% - Giá trị danh mục đầu tư
4 -2.21% 3.52% -1.38% 0.00% -3.01% - Ngưỡng rủi ro (VaR, Va
5 1.50% 0.00% -1.87% -1.47% -1.38% {x là số cuối cùng của mã
6 0.00% -6.00% -0.48% 2.09% -0.70% Anh/chị hãy tư vấn quản
7 -2.96% -6.81% -2.87% -0.29% -2.46% {Lưu ý: Nội dung bài làm
8 3.05% 4.11% 3.45% 0.59% 2.17%
9 0.74% -1.32% 0.48% 1.17% 0.35%
10 -0.37% -6.89% 1.42% 0.86% 1.06%
11 -1.48% 4.53% 0.93% -1.43% 6.97% TSSL
12 0.37% 0.00% 2.31% -2.03% -0.33% Tỉ Trọng
13 0.00% -6.85% 0.45% 1.78% -1.63%
14 -1.49% -5.64% 1.80% -1.16% 1.00% Giá Trị Kì Vọng Của Danh Mụ
15 0.00% 6.75% -0.44% 0.00% -2.30%
16 0.38% -2.68% 0.00% -1.47% 1.01%
17 0.38% 0.00% -0.44% 1.19% 0.00% Ma Trận Phương Sai - Hiệp Ph
18 0.00% 6.50% 0.00% 1.47% -2.00%
19 0.38% 0.00% 0.00% 0.29% -6.46%
20 -0.37% 0.94% 0.00% -1.45% -6.91% ADS
21 -0.38% 0.00% 0.00% 1.47% 3.13% AGF
22 0.38% 0.00% 0.00% 0.58% 2.27% AGM
23 0.38% 0.00% 1.79% 0.86% 3.70% AGR
24 0.00% 1.16% 0.00% 0.29% 0.36% AMD
25 -0.37% 2.30% 0.88% -0.28% -4.63%
26 0.00% 0.45% -0.87% 0.29% 6.72%
27 0.00% 0.22% 0.00% -0.28% 6.99% Var
28 0.00% 0.00% 0.44% 0.29% 6.54% SD
29 0.00% 0.45% -0.44% 0.00% -6.75% VaR
30 -0.38% 0.00% 0.00% 0.00% -3.95%
31 0.00% -5.56% 0.00% -0.28% -5.82%
32 0.00% -1.18% -0.44% -0.29% -5.45%
33 0.75% 6.90% 0.00% -1.15% -0.38%
34 0.00% 0.00% -0.44% 0.87% -5.79%
35 0.37% 6.90% -2.65% 0.57% -5.74%
36 -0.37% 6.88% -4.55% -1.43% -3.48%
37 -0.37% 6.82% 6.67% 1.45% 4.50%
38 0.38% 5.84% 2.68% -0.29% 2.16%
39 -0.37% -6.72% -3.04% 1.15% 0.00%
40 0.38% -5.73% 2.24% 0.85% 4.22%
41 -0.37% -0.98% -2.63% 2.25% 1.21%
42 0.00% 5.94% 0.45% -1.65% -2.80%
43 0.00% 0.00% -2.24% -0.28% 0.41%
44 -0.38% -0.93% -6.42% 0.00% -1.64%
45 0.00% -3.77% 4.41% 0.28% 0.00%
46 0.00% 0.00% 0.00% 0.28% 0.83%
47 0.38% 6.67% -1.41% -1.11% 0.41%
48 0.38% -6.99% 1.43% 6.76% 0.00%
49 0.00% 5.53% -3.76% 6.86% -1.65%
50 -0.75% 0.00% 3.90% 4.20% -2.09%
51 0.75% 0.00% -0.94% -6.16% -2.56%
52 0.00% 0.00% -0.47% 0.76% -1.32%
53 -0.75% -0.37% 0.00% 5.26% -2.67%
54 -0.38% -1.69% 0.48% -0.95% 0.46%
55 0.38% -6.31% 1.42% -1.44% 0.91%
56 0.38% 4.08% -0.93% -0.49% 0.00%
57 0.38% -1.96% 0.47% 0.49% -0.45%
58 0.37% 4.00% -2.35% -1.95% 1.81%
59 -0.75% 5.77% 0.96% -0.50% 0.00%
60 0.38% -2.00% 0.00% -2.50% -1.33%
61 0.00% 0.00% 0.95% 1.28% 0.00%
62 0.37% -6.86% 0.00% -0.25% 0.00%
63 -0.37% -0.40% 0.00% 0.25% 0.00%
64 -0.37% -0.20% -0.94% 0.00% 0.45%
65 0.00% 6.81% -0.95% -0.25% -0.45%
66 0.00% 6.94% 0.48% 0.00% -0.45%
67 -0.38% 6.84% 0.00% 6.85% 0.90%
68 0.75% 6.90% -0.48% -2.61% -0.90%
69 0.00% 4.45% 0.00% 0.24% -0.90%
70 0.37% -6.91% 0.96% -2.43% -2.28%
71 2.24% 5.85% 0.00% 1.75% -0.47%
72 0.00% -5.67% 0.00% -2.45% -3.29%
73 2.92% -6.96% 0.00% 0.00% 0.00%
74 -0.71% -6.97% -0.95% -0.50% 1.46%
75 -0.36% 5.67% 0.00% -0.51% -0.96%
76 0.36% -6.92% 1.92% -1.02% -0.48%
77 0.71% -6.88% -0.47% -2.56% 0.00%
78 1.42% 1.80% -6.82% -0.26% -1.46%
79 0.35% 0.20% 6.82% -2.64% -3.94%
80 1.74% -2.15% 2.38% -2.17% 0.51%
81 0.00% 0.00% -3.26% 1.66% -2.55%
82 -0.34% -4.00% 0.00% -3.00% -2.09%
83 4.47% 0.00% 0.96% 3.65% -2.14%
84 0.00% 0.83% -1.43% -0.81% 1.09%
85 -1.32% 0.21% -1.45% 1.09% -0.54%
86 0.67% -6.80% 5.88% 0.00% 1.63%
87 0.00% -6.86% -6.48% -0.81% 1.60%
88 -8.28% 6.65% 3.96% -1.09% -0.53%
89 -0.72% 0.22% 0.00% 4.13% -0.53%
90 1.82% -0.22% -0.48% -1.85% -0.53%
91 -1.07% -2.00% -4.31% 0.00% -1.60%
92 0.00% 0.00% 5.50% 0.54% -1.09%
93 0.00% 0.00% -0.47% -1.34% -1.10%
94 0.00% -6.82% -3.81% -0.82% 0.00%
 95 0.72% 6.10% -5.94% -0.27% 0.00%
96 -0.72% 0.00% 6.84% -0.55% -0.56%
97 -0.72% -5.75% -1.48% -0.83% -0.56%
98 0.36% 4.39% -6.50% 0.00% -1.12%
99 -0.36% -1.87% 0.53% -0.56% -5.68%
100 -0.36% 0.00% 6.91% -0.84% 0.00%
101 0.73% -0.48% 1.99% 1.41% 0.00%
102 -0.72% -4.31% -2.44% 0.00% 0.60%
103 -0.73% 0.00% 0.00% 0.56% 0.60%
104 -0.74% 0.00% -4.00% -0.28% -1.19%
105 0.74% -7.00% 0.00% 1.11% 0.00%
106 -1.10% 0.00% -5.21% 6.87% 6.63%
107 0.74% 6.18% 0.55% -2.57% 6.78%
108 0.00% 6.33% 6.99% 0.79% 0.53%
109 0.00% -6.90% -5.01% 0.00% -5.26%
110 -3.32% -5.37% 0.65% 1.57% -5.00%
111 3.44% 4.05% 0.43% 0.52% 4.09%
112 0.00% 0.00% 0.00% 0.00% 0.00%
113 -1.11% -13.25% -4.26% -2.56% -1.69%
114 -0.37% 0.00% 0.00% -0.26% -0.57%
115 -0.75% 0.00% 1.11% 1.58% 1.72%
116 -0.75% 0.00% -6.59% 0.78% -0.56%
117 0.76% 0.00% 1.18% 0.26% -1.14%
118 0.00% 0.00% 4.07% 2.83% 0.57%
119 0.00% 0.00% -3.91% 1.00% 0.00%
120 -0.38% 0.00% 2.91% -0.99% 4.57%
121 0.00% 0.00% 0.56% 2.50% -1.64%
122 -0.38% 0.00% 0.22% 0.24% -1.67%
123 0.00% 0.00% 0.22% 0.00% 0.56%
124 0.38% 0.00% -0.45% 0.73% -0.56%
125 0.38% 0.00% -1.69% -1.21% 0.00%
126 0.38% 0.00% 1.71% 0.73% 2.26%
127 -0.38% 0.00% 0.22% 3.88% -1.66%
128 0.00% 0.00% -1.91% 0.47% -1.12%
129 -0.38% 0.00% 1.71% -2.33% 3.98%
130 0.00% 0.00% -0.22% -1.90% -1.64%
131 0.00% 0.00% 0.00% -0.97% 2.22%
132 0.38% 0.00% 3.60% 1.72% -2.17%
133 0.00% 0.00% 2.17% 0.24% 0.00%
134 -0.38% 0.00% 0.00% 2.64% 0.00%
135 -1.52% 0.00% -2.13% 0.94% -1.67%
136 1.54% 0.00% 1.63% 1.16% 0.56%
137 -0.38% 0.00% 0.00% -2.52% 0.00%
138 -1.14% 0.00% -1.07% -2.12% -1.12%
139 0.00% 0.00% 0.00% 1.68% -1.70%
140 -0.38% 0.00% 1.62% 0.47% -2.89%
141 0.00% -1.20% 0.00% -2.59% -0.60%
142 -0.77% -6.97% 0.00% 1.21% -0.60%
143 0.39% -6.84% 0.00% -2.15% -1.81%
144 0.00% 4.90% 0.53% 2.44% 0.61%
145 0.00% 0.00% 0.00% -0.24% 0.61%
146 0.39% 0.00% 0.00% 0.00% 0.00%
147 -3.86% 0.00% 0.00% -0.72% 0.61%
148 -1.20% -3.33% -0.53% -0.24% 0.00%
149 -0.81% 3.45% 1.28% 4.10% -0.60%
150 -0.82% 6.67% -0.42% -0.46% -2.42%
151 -1.65% -1.88% -0.84% 2.33% -0.62%
152 -1.68% 4.78% -1.60% 6.82% 0.00%
153 1.71% -2.74% 1.08% 3.83% -0.62%
154 -0.84% -3.13% 0.11% 0.00% -0.63%
155 0.42% 6.77% 0.43% -1.02% -1.27%
156 0.42% 5.74% 0.00% -0.62% 6.41%
157 0.00% 2.86% 0.00% 4.17% -3.01%
158 -0.84% 6.94% -3.19% 3.00% 0.00%
159 0.42% 6.75% 3.19% 0.78% -2.48%
160 -0.84% -6.33% 0.11% -4.43% 0.64%
161 -0.85% -6.75% 6.91% 0.81% 1.27%
162 -1.72% -6.96% 4.48% -4.20% -3.13%
163 -4.80% -6.89% -0.95% 2.92% 0.00%
164 5.05% -6.75% -1.92% -0.41% -0.65%
165 -1.31% 6.90% -6.67% -0.20% -0.65%
166 0.44% 0.00% 3.99% 0.00% 1.31%
167 -0.44% 5.81% 3.03% 0.00% -0.65%
168 0.00% -6.71% 6.86% -2.45% 0.00%
169 -0.44% 1.31% 0.92% 0.00% 1.30%
170 -0.89% -6.77% -0.45% 1.05% 0.00%
171 0.00% 6.92% -2.28% -2.90% 0.00%
172 -0.45% -0.97% -6.54% -1.92% -1.28%
173 -1.80% -1.96% -1.50% -1.52% 0.65%
174 0.00% 3.33% 5.58% 1.32% 0.00%
175 -0.46% -6.45% -3.85% -2.18% -0.65%
176 -0.46% -6.90% 5.00% -3.56% 0.00%
177 -1.85% 0.00% -0.95% -1.85% -1.30%
178 -0.94% 0.37% -1.92% -0.94% 1.32%
179 0.00% -5.54% 2.94% 4.99% -0.65%
180 -0.95% 6.64% -3.81% 0.23% 0.00%
181 0.48% 6.23% 3.47% 2.71% -0.65%
182 -0.48% 2.41% 0.48% -1.10% 0.66%
183 -0.48% 6.73% -1.90% -1.56% -0.65%
184 -1.45% -5.68% -0.97% -0.90% -0.66%
185 -1.47% 0.33% -0.49% -0.23% -0.66%
186 6.97% 3.33% 1.97% 0.23% -1.33%
187 -2.33% -1.61% -0.48% -0.91% -1.35%
188 -1.90% -4.92% -0.49% 0.00% -1.37%
189 0.00% -6.90% 0.49% -0.46% -2.78%
Một nhà đầu tư đang sở hữu danh mục đầu tư cổ phiếu, bao gồm: ADS, AGF, AGM, AGR và AMD
Có thông tin:
- Tỷ suất sinh lời theo ngày trong năm vừa qua của từng cổ phiếu theo các cột B đến F
- Giá trị danh mục đầu tư là 10 tỷ, phân bổ đều cho từng cổ phiếu
- Ngưỡng rủi ro (VaR, Value at Risk) theo mong muốn của nhà đầu tư là -200 triệu đồng trong 1 ngày với độ tin cậy 9x%
{x là số cuối cùng của mã số sinh viên}
Anh/chị hãy tư vấn quản trị rủi ro danh mục đầu tư nói trên theo mô hình VaR
{Lưu ý: Nội dung bài làm phải bao gồm tính toán số liệu, sau đó bình luận/nhận định}

ADS AGF AGM AGR AMD

-0.1446826% -0.2166578% 0.0171940% 0.1518827% -0.3144880%
20% 20% 20% 20% 20%

Giá Trị Kì Vọng Của Danh Mục Đầu Tư

E(R) = -0.1014%

Ma Trận Phương Sai - Hiệp Phương Sai

ADS AGF AGM AGR AMD
0 1 2 3 4
0 0.00019878 0.00003890 0.00004009 -0.00000412 0.00001308
1 0.00003890 0.00188550 -0.00002512 0.00011709 0.00006919
2 0.00004009 -0.00002512 0.00074763 -0.00000259 0.00007182
3 -0.00000412 0.00011709 -0.00000259 0.00042004 0.00001310
4 0.00001308 0.00006919 0.00007182 0.00001310 0.00061113

0.00005735 0.000417112 0.00016636609 0.0001087048 0.00015566

0.0001810388
1.3455%
-0.2631970201
ngày với độ tin cậy 9x%