DuongBien11

Chart11111

-Danh mc kh thi: bt k DM no m tng vn T vo DM = 1-Vng kh thi: vng tp hp cc TSSL k vng (TSSLBQ) v phng sai ca DM kh thi. Vng kh thi: l vng nm bn trong v bn phi ca qu trng v-DM kh thi nm trn ng bin ca vng kh thi, nu ng vi 1 TSSL mong i cho trc, th DM ny phi c phng sai thp nht.-Nu DM X l 1 DM hiu qu, nu DM ny ti a ha TSSL t 1 phng sai ( lch chun) cho trc nu DM X hiu qu, th s ko c DM Y no c E(rY) > E(rX) v y xc nh 2 DM hiu qu x & yE(r2) -cR-c=E(r3) -cMa trn phng sai - hip phng sai (s dng d liu chng 8)TSSL TB (R)R-c1R-c2E(r4) -c0.100.010.030.056%0.04-0.0050.010.300.06-0.048%0.060.0150.030.060.400.0210%0.080.0350.05-0.040.020.5015%0.130.085Hng s c1=0.02c2=0.065zxX (%)zyY (%)0.21330.2660-0.1757-1.0971=E13:E16/SUM(E13:E16) -->CTRL+SHIFT+ENTER0.19770.24660.06480.40480.14190.17700.08150.50880.24880.31040.18951.18341.00001.0000TSSLTB DM (X)0.09990.0999TSSLTB DM (Y)0.1950=MMULT(TRANSPOSE(C13:C16), F6:F9)Phng sai (X)0.0997Phng sai Y)0.8116=MMULT(MMULT(B23:E23,A6:D9),F13:F16) lch chun(X)0.3158 lch chun (Y)0.9009Cov(x,y)0.2182=MMULT(MMULT(B20:E20,A6:D9),F13:F16)DATA TABLETnh ton cho mt danh mc kt hp X &Ycho ng bin hiu qu%vn u t vo DM X0.30 thTSSL TB ca DM kt hp16.65%% VT X lch chunTSSLU = E(R) - .VarP.Sai ca DM kt hp49.83%0.70590.1665-0.1824 mc thn trng ca NT --> hng s phi RR.Var : Chi ph cho RRMc hu dng Umax =0.0339=MAX (G38:G58)Ngi ri ro 0.7Data Table lch chunTSSL E(R )1.16720.98749383441.10020.88115602671.03340.78146601320.96700.68842379370.90090.60202936840.83530.52228273710.77020.44918390.70590.3827328570.64260.3229296080.58050.26977415320.52010.22326649250.46210.18340662590.40760.15019455340.35800.12363027510.31580.10371379080.28420.09044510060.26700.08382420460.26710.08385110260.28440.09052579480.31610.1038482810.35840.1238185614

1.Trang 307 - 3110.23296261660.22346144890.21396028110.20445911340.19495794570.18545677790.17595561020.16645444250.15695327470.1474521070.13795093930.12844977150.11894860380.10944743610.09994626830.09044510060.08094393290.07144276510.06194159740.05244042970.0429392619

duong bien hieu quado lech chuantssl

1.Trang 307 - 311 (2)0.23296261660.060.080.10.150.22346144890.21396028110.20445911340.19495794570.18545677790.17595561020.16645444250.15695327470.1474521070.13795093930.12844977150.11894860380.10944743610.09994626830.09044510060.08094393290.07144276510.06194159740.05244042970.0429392619

CML0.23296261660.98749383440.22346144890.88115602670.21396028110.78146601320.20445911340.68842379370.19495794570.60202936840.18545677790.52228273710.17595561020.44918390.16645444250.3827328570.15695327470.3229296080.1474521070.26977415320.13795093930.22326649250.12844977150.18340662590.11894860380.15019455340.10944743610.12363027510.09994626830.10371379080.09044510060.09044510060.08094393290.08382420460.07144276510.08385110260.06194159740.09052579480.05244042970.1038482810.04293926190.1238185614

ng bin hiu qung ng dngdo lech chuanTSSL TB

2.Trang 315-CML0.23296261660.98749383440.22346144890.88115602670.21396028110.78146601320.20445911340.68842379370.19495794570.60202936840.18545677790.52228273710.17595561020.44918390.16645444250.3827328570.15695327470.3229296080.1474521070.26977415320.13795093930.22326649250.12844977150.18340662590.11894860380.15019455340.10944743610.12363027510.09994626830.10371379080.09044510060.09044510060.08094393290.08382420460.07144276510.08385110260.06194159740.09052579480.05244042970.1038482810.04293926190.1238185614

DUONG BIEN HIEU QUADUONG DANG DUNG

2.Trang 315-CML (2)Tnh ton ng bin hiu quGi nh c 4 ti sn ri ro c ma trn TSSL mong i & phng sai nh sau:E(r1) -cTheo nh 2: xc nh ng bin hiu qu --> xc nh 2 DM hiu qu x & yE(r2) -cR-c=E(r3) -cMa trn phng sai - hip phng sai (s dng d liu chng 8)TSSL TB (R)R-c1R-c2E(r4) -c0.100.010.030.056%0.04-0.0050.010.300.06-0.048%0.060.0150.030.060.400.0210%0.080.0350.05-0.040.020.5015%0.130.085Hng s c1=0.02Hng s c2=0.065zxX (%)zyY (%)10.21330.2660-0.1757-1.097120.19770.24660.06480.404830.14190.17700.08150.508840.24880.31040.18951.18340.801710.16011TSSLTB DM (X)0.0999TSSLTB DM (Y)0.1950Phng sai (X)0.0997Phng sai (Y)0.8116 lch chun(X) lch chun (Y)Cov(x,y)0.2182=MMULT(MMULT(TRANSPOSE(C13;C16),A6:D9),F13:F16)Corr(x,y)DATA TABLETnh ton cho mt danh mc kt hp X &Ycho ng bin hiu qu%vn u t vo DM X0.30 thTSSL TB ca DM kt hp16.65%% VT lch chunTSSLU = E(R)-.Var lch chun ca DM kt hp70.59%70.59%16.65%-0.1824 mc thn trng ca NT --> hng s phi RR.Var : Chi ph cho RRMc hu dng U0.0339=MAX (G38:G58)Ngi ri ro 0.7Data Table lch chunTSSL E(R )116.72%98.75%110.02%88.12%103.34%78.15%96.70%68.84%90.09%60.20%83.53%52.23%77.02%44.92%70.59%38.27%64.26%32.29%58.05%26.98%52.01%22.33%46.21%18.34%40.76%15.02%35.80%12.36%31.58%10.37%28.42%9.04%26.70%8.38%26.71%8.39%28.44%9.05%31.61%10.38%35.84%12.38%

2.Trang 315-CML (2)0.23296261660.22346144890.21396028110.20445911340.19495794570.18545677790.17595561020.16645444250.15695327470.1474521070.13795093930.12844977150.11894860380.10944743610.09994626830.09044510060.08094393290.07144276510.06194159740.05244042970.0429392619

duong bien hieu quado lech chuantssl

Sheet10.23296261660.98749383440.22346144890.88115602670.21396028110.78146601320.20445911340.68842379370.19495794570.60202936840.18545677790.52228273710.17595561020.44918390.16645444250.3827328570.15695327470.3229296080.1474521070.26977415320.13795093930.22326649250.12844977150.18340662590.11894860380.15019455340.10944743610.12363027510.09994626830.10371379080.09044510060.09044510060.08094393290.08382420460.07144276510.08385110260.06194159740.09052579480.05244042970.1038482810.04293926190.1238185614

ng bin hiu qung ng dngdo lech chuanTSSL TB

0.23296261660.060.080.10.150.22346144890.21396028110.20445911340.19495794570.18545677790.17595561020.16645444250.15695327470.1474521070.13795093930.12844977150.11894860380.10944743610.09994626830.09044510060.08094393290.07144276510.06194159740.05244042970.0429392619

ng bin hiu qucp Acp Bcp Ccp Ddo lech chuantssl tb

0.23296261660.060.080.10.150.22346144890.21396028110.20445911340.19495794570.18545677790.17595561020.16645444250.15695327470.1474521070.13795093930.12844977150.11894860380.10944743610.09994626830.09044510060.08094393290.07144276510.06194159740.05244042970.0429392619

ABCDDLCTSSL

1111

ng bin hiu quDanh mc th trngng CMLTSSL phi ri ro

NG TH TRNG VN (CML)Gi nh tn ti TS phi RR c TSSL l Rf.M: DM hiu qu tun theo phng trnh:Ma trn phng sai - hip phng saiTSSL TB (R )R - c1R - RfR-Rf= Sz0.400.030.020.000.060.060.010.030.200.00-0.060.050.050.000.020.000.300.030.070.070.020.00-0.060.030.100.080.080.03Xt kt hp li gia M & TS phi RRc1=0rf =0.05a: t trng VT vo TS phi RRzXX (%)zMM %0.10180.05390.01570.0313E(rp) = arf + (1 a)E(rM)0.56550.29950.10340.20580.11610.06150.03030.06041.10450.58500.35290.70251.00001.0000TSSL TB DM X6.93%TSSL TB DM M7.26%Var (X)3.67%Var (M)4.50% lch chun DM X19.16% lch chun DM M21.21%Cov (X, M)3.85%Chuyn o X%0.05390.29950.06150.5850= TRANSPOSE(C13:C16)Chuyn o M%0.03130.20580.06040.7025= TRANSPOSE(F13:F16)Xy dng ng bin hiu quT trng vo DM X0.3TSSL7.16% lch chun20.37%DATA TABLE% VT DM XDLCTSSL0.20370.0716-335.66%8.24%-2.733.92%8.14%-2.432.22%8.05%-2.130.57%7.95%-1.828.98%7.85%-1.527.44%7.75%-1.225.99%7.65%-0.924.62%7.55%-0.623.35%7.46%-0.322.21%7.36%021.21%7.26%0.320.37%7.16%0.619.72%7.06%0.919.27%6.96%1.219.03%6.87%1.519.02%6.77%1.819.23%6.67%2.119.67%6.57%2.420.30%6.47%2.721.12%6.38%322.11%6.28%3.323.24%6.18%3.624.49%6.08%3.925.85%5.98%4.227.30%5.88%4.528.83%5.79%DATA Table for CMLDM kt hp gia DM M v TS phi RRRf0.05=E11R (M)7.26%=F18T trng TS phi RR0.5TSSL DM kt hp6.13%=B68*B66+(1-B68)*B67DLC DM kt hp10.60%LC DM kt hpTSSL DM kt hp10.60%6.13%-142.42%9.52%-0.940.30%9.29%-0.838.18%9.07%-0.736.06%8.84%-0.633.93%8.62%-0.531.81%8.39%-0.429.69%8.16%-0.327.57%7.94%-0.225.45%7.71%-0.123.33%7.49%021.21%7.26%0.119.09%7.03%0.216.97%6.81%0.314.85%6.58%0.412.73%6.36%0.510.60%6.13%0.68.48%5.90%0.76.36%5.68%0.84.24%5.45%0.92.12%5.23%10.00%5.00%

0.0824269590.09519404960.07259702480.050.08144396560.09293434710.08046097220.09067464460.07947797870.08841494220.07849498530.08615523970.07751199190.08389553720.07652899850.08163583470.07554600510.07937613220.07456301160.07711642980.07358001820.07485672730.07259702480.07259702480.07161403140.07033732230.0706310380.06807761980.06964804450.06581791740.06866505110.06355821490.06768205770.06129851240.06669906430.05903880990.06571607090.05677910740.06473307750.0545194050.0637500840.05225970250.06276709060.050.06178409720.06080110380.05981811040.05883511690.0578521235

ng bin hiu qung CMLDM th trng MTS phi RRDLC DMTSSL TB DM

NG TH TRNG VN (CML)Gi nh tn ti TS phi RR c TSSL l Rf.M: DM hiu qu tun theo phng trnh:Ma trn phng sai - hip phng saiTSSL TB (R )R - c1R - RfR-Rf= Sz0.400.030.020.000.060.040.010.030.200.00-0.060.050.030.000.020.000.300.030.070.050.020.00-0.060.030.100.080.060.03Xt kt hp li gia M & TS phi RRc1=0.02rf =0.05a: t trng VT vo TS phi RRzXX (%)zMM %0.06740.05050.01570.0313E(rp) = arf + (1 a)E(rM)0.38060.28540.10340.20580.08180.06130.03030.06040.80380.60270.35290.70251.00001.0000TSSL TB DM X6.98%TSSL TB DM M7.26%Var (X)3.74%Var (M)4.50% lch chun DM X19.33% lch chun DM M21.21%Cov (X, M)3.94%Bc 1: Xy dng ng bin hiu quT trng vo DM X0.3TSSL TB DM ket hop7.18% lch chun20.49%DATA TABLE0.3% VT DM XDLCTSSL20.49%7.18%-3.0033.05%8.09%-2.7031.63%8.01%-2.4030.24%7.93%-2.1028.89%7.84%-1.8027.59%7.76%-1.5026.34%7.68%-1.2025.15%7.59%-0.9024.03%7.51%-0.6022.99%7.43%-0.3022.05%7.34%0.0021.21%7.26%0.3020.49%7.18%0.6019.89%7.09%0.9019.44%7.01%1.2019.15%6.93%1.5019.01%6.84%1.8019.03%6.76%2.1019.22%6.68%2.4019.56%6.59%2.7020.05%6.51%3.0020.68%6.42%3.3021.44%6.34%3.6022.31%6.26%3.9023.29%6.17%4.2024.35%6.09%4.5025.49%6.01%Bc 2: lp d liu DATA Table for CMLDM kt hp gia DM M v TS phi RRRf0.05=E11R (M)7.26%=F18T trng TS phi RR0.5TSSL DM kt hp6.13%DLC DM kt hp10.60%=(1-B68)*F20LC DM kt hpTSSL DM kt hp%VDT TS PHI RR10.60%6.13%-142.42%9.52%-0.940.30%9.29%-0.838.18%9.07%-0.736.06%8.84%-0.633.93%8.62%-0.531.81%8.39%-0.429.69%8.16%-0.327.57%7.94%-0.225.45%7.71%-0.123.33%7.49%021.21%7.26%0.119.09%7.03%0.216.97%6.81%0.314.85%6.58%0.412.73%6.36%0.510.60%6.13%0.68.48%5.90%0.76.36%5.68%0.84.24%5.45%0.92.12%5.23%10.00%5.00%

0.08094590030.09519404960.07259702480.050.08011101280.09293434710.07927612520.09067464460.07844123770.08841494220.07760635010.08615523970.07677146260.08389553720.0759365750.08163583470.07510168750.07937613220.07426679990.07711642980.07343191240.07485672730.07259702480.07259702480.07176213730.07033732230.07092724970.06807761980.07009236220.06581791740.06925747460.06355821490.06842258710.06129851240.06758769950.05903880990.0667528120.05677910740.06591792440.0545194050.06508303680.05225970250.06424814930.050.06341326170.06257837420.06174348660.06090859910.0600737115

ng bin hiu qung CMLDM th trng MTS phi RRDLC DMTSSL TB DM

0.08094590030.09519404960.07259702480.050.08011101280.09293434710.07927612520.09067464460.07844123770.08841494220.07760635010.08615523970.07677146260.08389553720.0759365750.08163583470.07510168750.07937613220.07426679990.07711642980.07343191240.07485672730.07259702480.07259702480.07176213730.07033732230.07092724970.06807761980.07009236220.06581791740.06925747460.06355821490.06842258710.06129851240.06758769950.05903880990.0667528120.05677910740.06591792440.0545194050.06508303680.05225970250.06424814930.050.06341326170.06257837420.06174348660.06090859910.0600737115

VE DUONG BIENCMLDMTT MTS PHI RRDLCTSSL

MBD000EA71A.unknown

MBD0018A6C0.unknown

MBD001A26B1.unknown

MBD000EA71B.unknown