{"id":31448,"date":"2023-12-07T10:39:17","date_gmt":"2023-12-07T10:39:17","guid":{"rendered":"https:\/\/masterskills.org\/blog\/phuong-sai-danh-muc-dau-tu-portfolio-variance-la-gi-phuong-trinh-cua-phuong-sai-dmdt.html"},"modified":"2023-12-23T08:10:57","modified_gmt":"2023-12-23T01:10:57","slug":"phuong-sai-danh-muc-dau-tu-portfolio-variance-la-gi-phuong-trinh-cua-phuong-sai-dmdt","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/phuong-sai-danh-muc-dau-tu-portfolio-variance-la-gi-phuong-trinh-cua-phuong-sai-dmdt.html","title":{"rendered":"Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 (Portfolio Variance) l\u00e0 g\u00ec? Ph\u01b0\u01a1ng tr\u00ecnh cu\u0309a ph\u01b0\u01a1ng sai DM\u0110T"},"content":{"rendered":"
\n
\n
<\/div>\n
\n

Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Lynda.com<\/i><\/p>\n<\/div>\n<\/div>\n

Ph\u01b0\u01a1ng sai\u00a0danh m\u1ee5c \u0111\u1ea7u t\u01b0<\/font><\/h2>\n

Kha\u0301i ni\u1ec7<\/span>m<\/b><\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Portfolio Variance.<\/b><\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0<\/b> l\u00e0 th\u01b0\u1edbc \u0111o r\u1ee7i ro v\u1ec1 m\u1ee9c l\u1ee3i nhu\u1eadn t\u1ed5ng h\u1ee3p th\u1ef1c t\u1ebf c\u1ee7a m\u1ed9t nh\u00f3m ch\u1ee9ng kho\u00e1n t\u1ea1o n\u00ean m\u1ed9<\/span>t danh m\u1ee5c \u0111\u1ea7u t\u01b0 dao \u0111\u1ed9ng theo th\u1eddi gian.
<\/b><\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 (DM\u0110T) n\u00e0y \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a t\u1eebng ch\u01b0\u0301ng khoa\u0301n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u0169ng nh\u01b0 m\u1ed1i t\u01b0\u01a1ng quan c\u1ee7a t\u1eebng c\u1eb7p ch\u01b0\u0301ng khoa\u0301n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 na\u0300y.<\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 t\u01b0\u01a1ng \u0111\u01b0\u01a1ng v\u1edbi b\u00ecnh ph\u01b0\u01a1ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0.<\/p>\n

Hi\u1ec3u v\u00ea\u0300 ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0<\/font><\/h3>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 <\/b>xem x\u00e9t c\u00e1c hi\u1ec7p ph\u01b0\u01a1ng sai hay h\u1ec7 s\u00f4\u0301 t\u01b0\u01a1ng quan cu\u0309a c\u00e1c ch\u1ee9ng kho\u00e1n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0. N\u00f3i chung, m\u1ed1i t\u01b0\u01a1ng quan th\u1ea5p h\u01a1n gi\u1eefa c\u00e1c ch\u1ee9ng kho\u00e1n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 d\u1eabn \u0111\u1ebfn ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 th\u1ea5p h\u01a1n.<\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng c\u00e1ch nh\u00e2n tr\u1ecdng s\u1ed1 b\u00ecnh ph\u01b0\u01a1ng c\u1ee7a m\u1ed7i ch\u1ee9ng kho\u00e1n v\u1edbi ph\u01b0\u01a1ng sai t\u01b0\u01a1ng \u1ee9ng c\u1ee7a n\u00f3 c\u1ed9ng<\/span> v\u01a1\u0301i hai l\u1ea7n trung b\u00ecnh tr\u1ecdng s\u1ed1 nh\u00e2n v\u1edbi hi\u1ec7p ph\u01b0\u01a1ng sai c\u1ee7a t\u1ea5t c\u1ea3 c\u00e1c c\u1eb7p ch\u1ee9ng kho\u00e1n ri\u00eang l\u1ebb.<\/p>\n

Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i cho r\u1eb1ng ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c gi\u1ea3m b\u1eb1ng c\u00e1ch ch\u1ecdn c\u00e1c lo\u1ea1i t\u00e0i s\u1ea3n c\u00f3 t\u01b0\u01a1ng quan th\u1ea5p ho\u1eb7c \u00e2m, ch\u1eb3ng h\u1ea1n nh\u01b0 c\u1ed5 phi\u1ebfu v\u00e0 tr\u00e1i phi\u1ebfu, trong \u0111\u00f3 ph\u01b0\u01a1ng sai (ho\u1eb7c \u0111\u1ed9 l\u1ec7ch chu\u1ea9n) c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 l\u00e0 tr\u1ee5c x c\u1ee7a \u0111\u01b0\u01a1\u0300ng bi\u00ean hi\u1ec7u qu\u1ea3.<\/p>\n

Ph\u01b0\u01a1ng tr\u00ecnh cu\u0309a ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0<\/font><\/h3>\n

Ti\u0301nh ch\u00e2\u0301t quan tr\u1ecdng nh\u1ea5t c\u1ee7a ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 <\/b>l\u00e0 n\u00f3 l\u00e0 s\u1ef1 k\u1ebft h\u1ee3p co\u0301 tr\u1ecdng s\u1ed1 c\u1ee7a ca\u0301c ph\u01b0\u01a1ng sai ri\u00eang le\u0309 cu\u0309a t\u01b0\u0300ng t\u00e0i s\u1ea3n \u0111\u01b0\u1ee3c \u0111i\u1ec1u ch\u1ec9nh b\u1edfi hi\u1ec7p ph\u01b0\u01a1ng sai c\u1ee7a no\u0301. \u0110i\u1ec1u n\u00e0y c\u00f3 ngh\u0129a l\u00e0 ph\u01b0\u01a1ng sai t\u1ed5ng danh m\u1ee5c \u0111\u1ea7u t\u01b0 th\u1ea5p h\u01a1n trung b\u00ecnh tr\u1ecdng s\u1ed1 ca\u0301c ph\u01b0\u01a1ng sai ri\u00eang l\u1ebb c\u1ee7a c\u00e1c ch\u01b0\u0301ng khoa\u0301n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0.<\/p>\n

Ph\u01b0\u01a1ng tr\u00ecnh cho ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 hai t\u00e0i s\u1ea3n nh\u01b0 sau:<\/p>\n

w1 la\u0300 t\u1ec9 tr\u1ecdng trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a ch\u1ee9ng kho\u00e1n \u0111\u1ea7u ti\u00ean<\/p>\n

w2 la\u0300 t\u1ec9 tr\u1ecdng trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a ch\u1ee9ng kho\u00e1n th\u1ee9 hai<\/p>\n

\u03c31<\/sub> la\u0300 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a ch\u1ee9ng kho\u00e1n \u0111\u1ea7u ti\u00ean<\/p>\n

\u03c32<\/sub> la\u0300 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a ch\u1ee9ng kho\u00e1n th\u1ee9 hai<\/p>\n

Cov (1,2) la\u0300 hi\u1ec7p ph\u01b0\u01a1ng sai c\u1ee7a hai ch\u01b0\u0301ng khoa\u0301n, c\u00f3 th\u1ec3 bi\u1ec3u th\u1ecb b\u1eb1ng: p<\/i>(1,2).\u03c31<\/sub>\u03c32<\/sub>, trong \u0111\u00f3 p<\/i>(1,2) l\u00e0 h\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan gi\u1eefa hai t\u00e0i s\u1ea3n.<\/p>\n

Khi s\u1ed1 l\u01b0\u1ee3ng t\u00e0i s\u1ea3n trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 t\u0103ng l\u00ean, c\u00e1c bi\u00ea\u0301n trong c\u00f4ng th\u1ee9c cho ph\u01b0\u01a1ng sai t\u0103ng theo c\u1ea5p s\u1ed1 nh\u00e2n. V\u00ed d\u1ee5: danh m\u1ee5c \u0111\u1ea7u t\u01b0 3 t\u00e0i s\u1ea3n c\u00f3 6 bi\u00ea\u0301n trong t\u00ednh to\u00e1n, trong khi danh m\u1ee5c \u0111\u1ea7u t\u01b0 5 t\u00e0i s\u1ea3n c\u00f3 15 bi\u00ea\u0301n.<\/p>\n

V\u00ed d\u1ee5 v\u00ea\u0300 ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 co\u0301 hai t\u00e0i s\u1ea3n<\/font><\/h3>\n

V\u00ed d\u1ee5, gi\u1ea3 s\u1eed c\u00f3 m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 bao g\u1ed3m hai c\u1ed5 phi\u1ebfu. C\u1ed5 phi\u1ebfu A tr\u1ecb gi\u00e1 50.000 \u0111\u00f4 la v\u00e0 c\u00f3 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 20%. C\u1ed5 phi\u1ebfu B tr\u1ecb gi\u00e1 100.000 \u0111\u00f4 la v\u00e0 c\u00f3 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 10%. H\u1ec7<\/span> s\u00f4\u0301 t\u01b0\u01a1ng quan gi\u1eefa hai c\u1ed5 phi\u1ebfu l\u00e0 0,85. Do v\u1ead<\/span>y, ti\u0309 tro\u0323ng danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a C\u1ed5 A l\u00e0 33,3% v\u00e0 66,7% cho c\u1ed5 phi\u00ea\u0301u\u00a0 B. Ph\u01b0\u01a1ng sai \u0111\u01b0\u1ee3c t\u00ednh nh\u01b0 sau:<\/p>\n

Ph\u01b0\u01a1ng sai DM\u0110T = (33,3%^2 x 20%^2) + (66,7%^2 x 10%^2) + (2 x 33,3% x 20% x 66,7% x 10% x 0,85) = 1,64%<\/p>\n

Ph\u01b0\u01a1ng sai kh\u00f4ng ph\u1ea3i l\u00e0 m\u1ed9t gia\u0301 tri\u0323 d\u1ec5 gi\u1ea3i th\u00edch v\u00ec v\u1eady h\u1ea7u h\u1ebft c\u00e1c nh\u00e0 ph\u00e2n t\u00edch s\u01b0\u0309 du\u0323ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n, ca\u0301ch ti\u0301nh toa\u0301n ch\u1ec9 \u0111\u01a1n gi\u1ea3n l\u00e0 c\u0103n b\u1eadc hai c\u1ee7a ph\u01b0\u01a1ng sai. Trong v\u00ed d\u1ee5 n\u00e0y, c\u0103n b\u1eadc hai c\u1ee7a 1,64% l\u00e0 12,82%. V\u1ead<\/span>y \u0111\u1ed9<\/span> l\u1ec7<\/span>ch chu\u00e2\u0309n cu\u0309a danh mu\u0323c \u0111\u00e2\u0300u t\u01b0 la\u0300 12,82%.<\/p>\n

Ph\u01b0\u01a1ng sai DM\u0110T v\u00e0 L\u00ed thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i<\/font><\/h3>\n

Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i (MPT)<\/b> l\u00e0 m\u1ed9t khu\u00f4n kh\u1ed5 \u0111\u1ec3 x\u00e2y d\u1ef1ng m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0. MPT gia\u0309 \u0111i\u0323nh r\u1eb1ng c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 lu\u00f4n \u0111\u01b0a ra ca\u0301c quy\u00ea\u0301t \u0111i\u0323nh h\u1ee3p li\u0301 va\u0300 mu\u1ed1n t\u1ed1i \u0111a h\u00f3a l\u1ee3i nhu\u1eadn trong khi gi\u1ea3m thi\u1ec3u r\u1ee7i ro. C\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 t\u00ecm ki\u1ebfm c\u00e1i \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 \u0111\u01b0\u01a1\u0300ng bi\u00ean hi\u1ec7u qu\u1ea3, hay m\u1ee9c r\u1ee7i ro ho\u1eb7<\/span>c bi\u1ebfn \u0111\u1ed9ng th\u1ea5p nh\u1ea5t m\u00e0 t\u1ea1i \u0111\u00f3 c\u00f3 th\u1ec3 \u0111\u1ea1t \u0111\u01b0\u1ee3c l\u01a1\u0323i nhu\u1ead<\/span>n m\u1ee5c ti\u00eau.<\/p>\n

R\u1ee7i ro \u0111\u01b0\u1ee3c gia\u0309m thi\u00ea\u0301u b\u1eb1ng c\u00e1ch \u0111\u1ea7u t\u01b0 v\u00e0o c\u00e1c t\u00e0i s\u1ea3n kh\u00f4ng t\u01b0\u01a1ng quan. L\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u01a1n le\u0309 kh\u00f4ng quan tr\u1ecdng b\u0103\u0300ng \u0111\u00f3ng g\u00f3p chung c\u1ee7a n\u00f3 v\u00e0o danh m\u1ee5c \u0111\u1ea7u t\u01b0 v\u1ec1 m\u1eb7t r\u1ee7i ro, l\u1ee3i nhu\u1eadn v\u00e0 \u0111a d\u1ea1ng h\u00f3a.<\/p>\n

M\u1ee9c \u0111\u1ed9 r\u1ee7i ro trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 th\u01b0\u1eddng \u0111\u01b0\u1ee3c \u0111o b\u1eb1ng \u0111\u1ed9 l\u1ec7ch chu\u1ea9n, \u0111\u01b0\u1ee3c t\u00ednh l\u00e0 c\u0103n b\u1eadc hai c\u1ee7a ph\u01b0\u01a1ng sai. N\u1ebfu c\u00e1c \u0111i\u1ec3m d\u1eef li\u1ec7u c\u00e1ch xa gi\u00e1 tr\u1ecb trung b\u00ecnh, ph\u01b0\u01a1ng sai s\u1ebd cao v\u00e0 m\u1ee9c \u0111\u1ed9 r\u1ee7i ro chung trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u0169ng cao. \u0110\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 th\u01b0\u1edbc \u0111o r\u1ee7i ro chi\u0301nh \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng b\u1edfi c\u00e1c nh\u00e0 qu\u1ea3n li\u0301 danh m\u1ee5c \u0111\u1ea7u t\u01b0, c\u1ed1 v\u1ea5n t\u00e0i ch\u00ednh v\u00e0 ca\u0301c nh\u00e0 \u0111\u1ea7u t\u01b0 t\u1ed5 ch\u1ee9c. Ng\u01b0\u1eddi qu\u1ea3n li\u0301 t\u00e0i s\u1ea3n \u0111\u00e2\u0300u t\u01b0 th\u01b0\u1eddng xuy\u00ean \u0111\u00ea\u0309 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n trong ca\u0301c b\u00e1o c\u00e1o hi\u1ec7u su\u1ea5t c\u1ee7a h\u1ecd.<\/p>\n

(Theo Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 (ti\u00ea\u0301ng Anh: Portfolio Variance) l\u00e0 th\u01b0\u1edbc \u0111o r\u1ee7i ro v\u1ec1 m\u1ee9c l\u1ee3i nhu\u1eadn t\u1ed5ng h\u1ee3p th\u1ef1c t\u1ebf c\u1ee7a m\u1ed9t nh\u00f3m ch\u1ee9ng kho\u00e1n t\u1ea1o n\u00ean m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 dao \u0111\u1ed9ng theo th\u1eddi gian.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31448"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=31448"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31448\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31448"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31448"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31448"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}