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2. Thông tin khách hàng

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Tình trạng hôn nhân
Giá trị tài sản ròng
Giá trị đầu tư chứng
khoán dự kiến

3. Danh mục đầu tư khách hàng

Cổ phiếu Mã cổ phiếu Tên công ty
Cổ phiếu 1
Cổ phiếu 2
Cổ phiếu 3
Cổ phiếu 4
Cổ phiếu 5
 Mức độ đóng góp Email

Mức sinh lời mục tiêu 1.50%

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 Bước 1: Load giá cổ phiếu trên thị trường (giá đóng cửa đã điều chỉnh)
REE SAM STB KDC PVD DRC TRI IMP HAP
Adjusted Adjusted Adjusted Adjusted Adjusted Adjusted Adjusted Adjusted Adjusted
Date
Close price Close price Close price Close price Close price Close price Close price Close price Close price

1/2/2007 128 148 71.5 149 162 90.5 37.5 100 35

2/1/2007 210 230 96 231 278 149 40.4 138 67.5
3/1/2007 283 234 111 216 290 235 49 143 85.5
4/2/2007 266 195 145 197 245 206 57 132 93
5/2/2007 235 194 139 181 200 190 49 102 61.5
6/1/2007 167 174 156 282 260 133 50 107 79
7/2/2007 144 157 63.5 276 158 126 49.5 130 76.5
8/1/2007 133 133 57 270 162 119 43 142 84.5
9/4/2007 137 150 55 302.4 150 132 43.8 169 87
10/1/2007 161 164 70.5 320.4 178 140 52.5 166 74.5
11/1/2007 153 161 69.5 255.6 167 137 49 228 90
12/3/2007 145 147 70 246 155 126 45.5 231 86
1/2/2008 135 136 64.5 228 153 123 47 193 78
2/1/2008 132 94.5 64.5 212.4 150 120 46.8 192 78.5
3/3/2008 82.5 59 49 165.6 113 77.5 33.5 151 61.5
4/1/2008 55.5 39.7 37.4 132 106 56.5 27.8 121 44.7
5/5/2008 47.2 35 32.9 146.4 119 52 27.2 131 37.9

Dữ liệu giá cổ phiếu theo tuần, trong giai đoạn từ 01/01/2018 - 31/12/2018
cafef.vn
điều chỉnh)
VNM Vnindex
Adjusted Adjusted
Close price Close price

125 741.27
183 1,049.32
198 1,123.07
180 1,055.10
176 935.48
188 1,077.36
175 994.17
177 923.14
164 929.85
191 1,084.39
184 1065.08997
173 972.349976
165 927.02002
145 844.109985
112 663.299988
110 520.98999
136 521.280029
 Bước 2: Tính tỷ suất sinh lời của từng cổ phiếu
REE SAM STB KDC PVD DRC TRI
Date Return Return Return Return Return Return Return
1/2/2007
2/1/2007 0.6406 0.5541 0.3427 0.5503 0.7160 0.6464 0.0773
3/1/2007 0.3476 0.0174 0.1563 -0.0649 0.0432 0.5772 0.2129
4/2/2007 -0.0601 -0.1667 0.3063 -0.0880 -0.1552 -0.1234 0.1633
5/2/2007 -0.1165 -0.0051 -0.0414 -0.0812 -0.1837 -0.0777 -0.1404
6/1/2007 -0.2894 -0.1031 0.1223 0.5580 0.3000 -0.3000 0.0204
7/2/2007 -0.1377 -0.0977 -0.5929 -0.0213 -0.3923 -0.0526 -0.0100
8/1/2007 -0.0764 -0.1529 -0.1024 -0.0217 0.0253 -0.0556 -0.1313
9/4/2007 0.0301 0.1278 -0.0351 0.1200 -0.0741 0.1092 0.0186
10/1/2007 0.1752 0.0933 0.2818 0.0595 0.1867 0.0606 0.1986
11/1/2007 -0.0497 -0.0183 -0.0142 -0.2022 -0.0618 -0.0214 -0.0667
12/3/2007 -0.0523 -0.0870 0.0072 -0.0376 -0.0719 -0.0803 -0.0714
1/2/2008 -0.0690 -0.0748 -0.0786 -0.0732 -0.0129 -0.0238 0.0330
2/1/2008 -0.0222 -0.3051 0.0000 -0.0684 -0.0196 -0.0244 -0.0043
3/3/2008 -0.3750 -0.3757 -0.2403 -0.2203 -0.2467 -0.3542 -0.2842
4/1/2008 -0.3273 -0.3271 -0.2367 -0.2029 -0.0619 -0.2710 -0.1701
5/5/2008 -0.1495 -0.1184 -0.1203 0.1091 0.1226 -0.0796 -0.0216

TSSL trung bình -0.0332 -0.0650 -0.0153 0.0197 0.0071 -0.0044 -0.0110
Phương sai 0.0634298 0.046995 0.0550649 0.0532949 0.0630485 0.073111 0.0182738
Độ lệch chuẩn 0.2518527 0.2167832 0.2346591 0.2308568 0.2510947 0.2703905 0.1351804

TSSL kỳ vọng -3.32% -6.50% -1.53% 1.97% 0.71% -0.44% -1.10%

Phương sai 0.0634298 0.046995 0.0550649 0.0532949 0.0630485 0.073111 0.0182738
Độ lệch chuẩn 0.2518527 0.2167832 0.2346591 0.2308568 0.2510947 0.2703905 0.1351804
g cổ phiếu
IMP HAP VNM Vnindex
Return Return Return Return

0.3800 0.9286 0.4640 0.4156

0.0362 0.2667 0.0820 0.0703
-0.0769 0.0877 -0.0909 -0.0605
-0.2273 -0.3387 -0.0222 -0.1134
0.0490 0.2846 0.0682 0.1517
0.2150 -0.0316 -0.0691 -0.0772
0.0923 0.1046 0.0114 -0.0714
0.1901 0.0296 -0.0734 0.0073
-0.0178 -0.1437 0.1646 0.1662
0.3735 0.2081 -0.0366 -0.0178
0.0132 -0.0444 -0.0598 -0.0871
-0.1645 -0.0930 -0.0462 -0.0466
-0.0052 0.0064 -0.1212 -0.0894
-0.2135 -0.2166 -0.2276 -0.2142
-0.1987 -0.2732 -0.0179 -0.2145
0.0826 -0.1521 0.2364 0.0006

0.0330 0.0389 0.0163 -0.0113

0.035874 0.0896386 0.0265525 0.0242562
0.1894043 0.2993971 0.1629495 0.1557441

3.30% 3.89% 1.63% -1.13%

0.035874 0.0896386 0.0265525 0.0242562
0.1894043 0.2993971 0.1629495 0.1557441
 Bước 3: Xây dựng matrix correlation and matrix covariance
REE SAM STB KDC PVD DRC TRI IMP HAP
2/1/2007 0.6406 0.5541 0.3427 0.5503 0.7160 0.6464 0.0773 0.3800 0.9286
3/1/2007 0.3476 0.0174 0.1563 -0.0649 0.0432 0.5772 0.2129 0.0362 0.2667
4/2/2007 -0.0601 -0.1667 0.3063 -0.0880 -0.1552 -0.1234 0.1633 -0.0769 0.0877
5/2/2007 -0.1165 -0.0051 -0.0414 -0.0812 -0.1837 -0.0777 -0.1404 -0.2273 -0.3387
6/1/2007 -0.2894 -0.1031 0.1223 0.5580 0.3000 -0.3000 0.0204 0.0490 0.2846
7/2/2007 -0.1377 -0.0977 -0.5929 -0.0213 -0.3923 -0.0526 -0.0100 0.2150 -0.0316
8/1/2007 -0.0764 -0.1529 -0.1024 -0.0217 0.0253 -0.0556 -0.1313 0.0923 0.1046
9/4/2007 0.0301 0.1278 -0.0351 0.1200 -0.0741 0.1092 0.0186 0.1901 0.0296
10/1/2007 0.1752 0.0933 0.2818 0.0595 0.1867 0.0606 0.1986 -0.0178 -0.1437
11/1/2007 -0.0497 -0.0183 -0.0142 -0.2022 -0.0618 -0.0214 -0.0667 0.3735 0.2081
12/3/2007 -0.0523 -0.0870 0.0072 -0.0376 -0.0719 -0.0803 -0.0714 0.0132 -0.0444
1/2/2008 -0.0690 -0.0748 -0.0786 -0.0732 -0.0129 -0.0238 0.0330 -0.1645 -0.0930
2/1/2008 -0.0222 -0.3051 0.0000 -0.0684 -0.0196 -0.0244 -0.0043 -0.0052 0.0064
3/3/2008 -0.3750 -0.3757 -0.2403 -0.2203 -0.2467 -0.3542 -0.2842 -0.2135 -0.2166
4/1/2008 -0.3273 -0.3271 -0.2367 -0.2029 -0.0619 -0.2710 -0.1701 -0.1987 -0.2732
5/5/2008 -0.1495 -0.1184 -0.1203 0.1091 0.1226 -0.0796 -0.0216 0.0826 -0.1521

Vào Data và kích vào Data Analysis, sau đó tìm Covariance )hoặc correlation). Kích vào Covariance, sau đó highlight tất cả các
Nhìn thấy kết quả được chỉ ra trên bảng excel
Ma trận hệ số tương quan có thể được tính tương tự như trên
ce Matrix correlation
VNM REE SAM STB KDC PVD
0.4640 REE 1
0.0820 SAM 0.8489527 1
-0.0909 STB 0.6157328 0.5190394 1
-0.0222 KDC 0.4169838 0.6362884 0.4326136 1
0.0682 PVD 0.639459 0.6808345 0.6747956 0.7967676 1
-0.0691 DRC 0.9612743 0.7921183 0.4727137 0.3455471 0.5463565
0.0114 TRI 0.656879 0.49988 0.6285646 0.3558582 0.3841388
-0.0734 IMP 0.5330414 0.6223137 0.1250308 0.4526249 0.4096251
0.1646 HAP 0.7283712 0.7073116 0.522533 0.6808876 0.7405582
-0.0366 VNM 0.6899191 0.7631809 0.4885794 0.701485 0.8666954
-0.0598
-0.0462
-0.1212 Matrix covariance
-0.2276 REE SAM STB KDC PVD
-0.0179 REE 0.0594654
0.2364 SAM 0.0434537 0.0440578
STB 0.0341152 0.0247534 0.0516233
sau đó highlight tất cả các cột (B đến K) KDC 0.022729 0.0298534 0.0219711 0.0499639
PVD 0.0379113 0.0347437 0.0372751 0.0432995 0.059108
DRC 0.0613701 0.043529 0.0281189 0.0202215 0.0347757
TRI 0.0209661 0.0137334 0.0186927 0.0104113 0.0122239
IMP 0.0238379 0.023955 0.0052097 0.0185542 0.0182636
HAP 0.0514895 0.0430383 0.0344168 0.0441202 0.0521934
VNM 0.0265442 0.0252742 0.0175145 0.0247392 0.0332452
trix correlation
DRC TRI IMP HAP VNM

1
0.608381 1
0.5238676 0.2875884 1
0.6929005 0.4269557 0.7259602 1
0.6386815 0.4379908 0.4769166 0.6228616 1

trix covariance
DRC TRI IMP HAP VNM

0.0685416
0.0208474 0.0171316
0.0251521 0.0069031 0.0336319
0.0525873 0.0162 0.0385942 0.0840362
0.0263815 0.0090449 0.0137993 0.0284881 0.024893
 Bước 4: Xây dựng công thức tính toán mức sinh lời và rủi ro của DMĐT

MSL kỳ Phương sai

Cổ phiếu Tỷ trọng (W) vọng (ER) ER * W (V) (W^2)*V
REE 0.0% -3.32% 0.0000% 6.34% 0.00000%
SAM 0.0% -6.50% 0.0000% 4.70% 0.00000%
STB 0.0% -1.53% 0.0000% 5.51% 0.00000%
KDC 0.0% 1.97% 0.0000% 5.33% 0.00000%
PVD 0.0% 0.71% 0.0000% 6.30% 0.00000%
DRC 0.0% -0.44% 0.0000% 7.31% 0.00000%
TRI 20.4% -1.10% -0.2243% 1.83% 0.07614%
IMP 43.4% 3.30% 1.4332% 3.59% 0.67643%
HAP 0.0% 3.89% 0.0000% 8.96% 0.00000%
VNM 36.2% 1.63% 0.5911% 2.66% 0.34728%
100% 1.8000% 1.09984%

n
E(R P )   W i Ri
i

REE SAM STB KDC PVD DRC

REE 0.0594654199147063
SAM 0.0434537273880895 0.0440578
STB 0.0341151729693496 0.0247534 0.0516233
KDC 0.0227289686083064 0.0298534 0.0219711 0.0499639
PVD 0.0379112517254612 0.0347437 0.0372751 0.0432995 0.059108
DRC 0.0613700754222735 0.043529 0.0281189 0.0202215 0.0347757 0.0685416
TRI 0.0209660753624567 0.0137334 0.0186927 0.0104113 0.0122239 0.0208474
IMP 0.0238379411577587 0.023955 0.0052097 0.0185542 0.0182636 0.0251521
HAP 0.0514894548072582 0.0430383 0.0344168 0.0441202 0.0521934 0.0525873
VNM 0.0265441673262588 0.0252742 0.0175145 0.0247392 0.0332452 0.0263815

REE SAM STB KDC PVD DRC

weight 0% 0% 0% 0% 0% 0%
REE 0%
SAM 0% 0.000
STB 0% 0.000 0.000
KDC 0% 0.000 0.000 0.0000
PVD 0% 0.000 0.000 0.0000 0.0000
DRC 0% 0.000 0.000 0.0000 0.0000 0.0000
TRI 20% 0.000 0.000 0.0000 0.0000 0.0000 0.0000
IMP 43% 0.000 0.000 0.0000 0.0000 0.0000 0.0000
HAP 0% 0.000 0.000 0.0000 0.0000 0.0000 0.0000
VNM 36% 0.000 0.000 0.0000 0.0000 0.0000 0.0000

SUM 0.000 0.000 0.000 0.000 0.000 0.000

rủi ro của DMĐT

Portfolio Portfolio Std.

Variance Deviation

TỶ suất sinh lời DMĐT

Rủi ro của DMĐT là

0.0179 13.3759%

n n
   WiW j COV (i, j ) OR
2
P
i 1 j 1
n n n
   Wi  
2
P
2
i
2
 W W COV (i, j ) i j
i 1 i 1,i  j j 1

A B

TRI IMP HAP VNM

0.0171316
0.0069031 0.033631881
0.0162 0.038594163 0.0840362
0.0090449 0.013799288 0.0284881 0.024893

TRI IMP HAP VNM

20% 43% 0% 36%

0.0006
0.0000 0.0000
0.0007 0.0022 0.0000

0.001 0.002 0.000 0.689%

 Bước 5: Sử dụng Solver để lựa chọn danh mục đầu tư rủi ro tối ưu ch
Your client's portfolio Expected return (monthly) 1.50%
Variance 0.0164
Standard deviation 12.8175%

Portfolio proportion REE 0.0%

SAM 0.0%
STB 0.0%
KDC 0.0%
PVD 0.0%
DRC 0.0%
TRI 28.3%
IMP 38.3%
HAP 0.0%
VNM 33.4%

A
B
C
ầu tư rủi ro tối ưu cho NĐT
 Bước 6: Xây dựng đường tập hợp danh mục đầu tư (Markowitz port
Markowit'z Portfolito frontier
Expected return Minimum variance
Your client's portfolio 2% 0.0191
P1 1.90% 0.0185
P2 1.80% 0.0179
P3 1.70% 0.0174
P4 1.60% 0.0169
P5 1.50% 0.0164
P6 1.40% 0.0160
P7 1.30% 0.0156
P8 1.20% 0.0153
P9 1.10% 0.0150
P10 1.00% 0.0148
P11 0.90% 0.0145
P12 0.80% 0.0143
P13 0.70% 0.0142
P14 0.60% 0.0141
P15 0.50% 0.0140
P16 0.40% 0.0140
P17 0.30% 0.0140
P18 0.20% 0.0140
P19 0.10% 0.0141

Markowitz portfolio theory

3%

2%

1%

0%
11.5000% 12.0000% 12.5000% 13.0000% 13.5000%
h mục đầu tư (Markowitz portfolio frontier)

Minimum SD REE SAM STB KDC PVD DRC TRI IMP

13.8046% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 15.2% 46.8%
13.5850% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 17.8% 45.1%
13.3759% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 20.4% 43.4%
13.1780% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 23.0% 41.7%
12.9917% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 25.6% 40.0%
12.8175% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 28.3% 38.3%
12.6560% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 30.9% 36.6%
12.5075% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 33.5% 34.9%
12.3726% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 36.1% 33.2%
12.2517% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 38.7% 31.5%
12.1452% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 41.4% 29.8%
12.0536% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 44.0% 28.1%
11.9771% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 46.6% 26.4%
11.9161% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 49.2% 24.7%
11.8708% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 51.8% 23.0%
11.8413% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 54.5% 21.2%
11.8279% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 57.1% 19.5%
11.8304% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 59.7% 17.8%
11.8491% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 62.3% 16.1%
11.8836% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 64.9% 14.4%

owitz portfolio theory

12.5000% 13.0000% 13.5000% 14.0000%

HAP VNM
0.0% 38.0%
0.0% 37.1%
0.0% 36.2%
0.0% 35.3%
0.0% 34.3%
0.0% 33.4%
0.0% 32.5%
0.0% 31.6%
0.0% 30.7%
0.0% 29.8%
0.0% 28.9%
0.0% 28.0%
0.0% 27.0%
0.0% 26.1%
0.0% 25.2%
0.0% 24.3%
0.0% 23.4%
0.0% 22.5%
0.0% 21.6%
0.0% 20.7%