{"id":31470,"date":"2023-12-07T10:40:12","date_gmt":"2023-12-07T10:40:12","guid":{"rendered":"https:\/\/masterskills.org\/blog\/phan-tich-trung-binh-phuong-sai-mean-variance-analysis-la-gi-vi-du.html"},"modified":"2023-12-23T08:10:58","modified_gmt":"2023-12-23T01:10:58","slug":"phan-tich-trung-binh-phuong-sai-mean-variance-analysis-la-gi-vi-du","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/phan-tich-trung-binh-phuong-sai-mean-variance-analysis-la-gi-vi-du.html","title":{"rendered":"Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai (Mean-Variance Analysis) l\u00e0 g\u00ec? Vi\u0301 du\u0323"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Towardsdatascience.com<\/i><\/p>\n<\/div>\n<\/div>\n

Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai<\/font><\/h2>\n

Kha\u0301i ni\u00ea\u0323m<\/b><\/p>\n

Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Mean-Variance Analysis.<\/b><\/p>\n

C\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1eed d\u1ee5ng ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai <\/b>\u0111\u1ec3 \u0111\u01b0a ra ca\u0301c quy\u1ebft \u0111\u1ecbnh \u0111\u1ea7u t\u01b0 v\u00e0o m\u1ed9t c\u00f4ng c\u1ee5 t\u00e0i ch\u00ednh, d\u1ef1a tr\u00ean m\u1ee9c \u0111\u1ed9 r\u1ee7i ro m\u00e0 h\u1ecd s\u1eb5n s\u00e0ng ch\u1ea5p nh\u1eadn \u0111\u1ec3 \u0111\u1ed5i l\u1ea5y c\u00e1c m\u1ee9c l\u01a1\u0323i nhu\u1eadn<\/span> kh\u00e1c nhau. Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai cho ph\u00e9p c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 t\u00ecm th\u1ea5y l\u01a1\u0323i nhu\u1eadn<\/span> l\u1edbn nh\u1ea5t \u1edf m\u1ed9t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro nh\u1ea5t \u0111\u1ecbnh ho\u1eb7c r\u1ee7i ro th\u00e2\u0301p nh\u1ea5t \u1edf m\u1ed9t m\u1ee9c l\u1ee3i nhu\u1eadn nh\u1ea5t \u0111\u1ecbnh.<\/p>\n

T\u00ecm hi\u1ec3u Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai<\/font><\/h3>\n

Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai <\/b>l\u00e0 m\u1ed9t ph\u1ea7n c\u1ee7a li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i, gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1ebd \u0111\u01b0a ra quy\u1ebft \u0111\u1ecbnh h\u1ee3p li\u0301 v\u1ec1 \u0111\u1ea7u t\u01b0 n\u1ebfu h\u1ecd c\u00f3 th\u00f4ng tin \u0111\u1ea7y \u0111\u1ee7. M\u1ed9t gi\u1ea3 \u0111\u1ecbnh kha\u0301c l\u00e0 c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 mu\u1ed1n r\u1ee7i ro th\u1ea5p v\u00e0 l\u01a1\u0323i nhu\u1eadn<\/span> cao.\u00a0<\/p>\n

Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai co\u0301 hai ph\u1ea7n ch\u00ednh: ph\u01b0\u01a1ng sai v\u00e0 l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng. Ph\u01b0\u01a1ng sai l\u00e0 m\u1ed9t gia\u0301 tri\u0323 bi\u1ec3u th\u1ecb m\u1ee9c \u0111\u1ed9 kh\u00e1c nhau ho\u1eb7c tr\u1ea3i \u0111\u1ec1u c\u1ee7a c\u00e1c quan sa\u0301t trong m\u1ed9t t\u1eadp h\u1ee3p.\u00a0<\/p>\n

V\u00ed d\u1ee5, ph\u01b0\u01a1ng sai c\u00f3 th\u1ec3 cho bi\u1ebft m\u1ee9c \u0111\u1ed9 lan truy\u1ec1n c\u1ee7a l\u1ee3i nhu\u1eadn m\u1ed9t ch\u01b0\u0301ng khoa\u0301n c\u1ee5 th\u1ec3 tr\u00ean c\u01a1 s\u1edf h\u00e0ng ng\u00e0y ho\u1eb7c h\u00e0ng tu\u1ea7n. L\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng l\u00e0 m\u1ed9t x\u00e1c su\u1ea5t th\u1ec3 hi\u1ec7n l\u1ee3i nhu\u1eadn \u01b0\u1edbc t\u00ednh c\u1ee7a kho\u1ea3n \u0111\u1ea7u t\u01b0 v\u00e0o ch\u1ee9ng kho\u00e1n. N\u1ebfu hai ch\u1ee9ng kho\u00e1n kh\u00e1c nhau c\u00f3 c\u00f9ng l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng, nh\u01b0ng m\u1ed9t ch\u1ee9ng kho\u00e1n c\u00f3 ph\u01b0\u01a1ng sai th\u1ea5p h\u01a1n, th\u00ec ch\u1ee9ng kho\u00e1n c\u00f3 ph\u01b0\u01a1ng sai th\u1ea5p h\u01a1n l\u00e0 l\u1ef1a ch\u1ecdn t\u1ed1t h\u01a1n. T\u01b0\u01a1ng t\u1ef1, n\u1ebfu hai ch\u1ee9ng kho\u00e1n kh\u00e1c nhau c\u00f3 c\u00f9ng ph\u01b0\u01a1ng sai, th\u00ec ch\u1ee9ng kho\u00e1n c\u00f3 l\u1ee3i nhu\u1eadn cao h\u01a1n l\u00e0 l\u1ef1a ch\u1ecdn t\u1ed1t h\u01a1n.<\/p>\n

Trong\u00a0li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i,<\/b> m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1ebd ch\u1ecdn c\u00e1c ch\u1ee9ng kho\u00e1n kh\u00e1c nhau \u0111\u1ec3 \u0111\u1ea7u t\u01b0 v\u1edbi c\u00e1c m\u1ee9c \u0111\u1ed9 kh\u00e1c nhau v\u00e0 l\u1ee3i nhu\u1eadn k\u00ec<\/span> v\u1ecdng kha\u0301c nhau.<\/p>\n

Vi\u0301 du\u0323 Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai\u00a0<\/font><\/h3>\n

Vi\u1ec7c t\u00ednh to\u00e1n kho\u1ea3n \u0111\u1ea7u t\u01b0 n\u00e0o c\u00f3 ph\u01b0\u01a1ng sai l\u1edbn nh\u1ea5t v\u00e0 l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng cao nh\u00e2\u0301t la\u0300 kha\u0309 thi. Gi\u1ea3 s\u1eed c\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 sau trong danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u1ee7a nh\u00e0 \u0111\u1ea7u t\u01b0 X:\u00a0<\/p>\n

\u0110\u1ea7u t\u01b0 A: S\u1ed1 ti\u1ec1n = 100.000 \u0111\u00f4 la v\u00e0 l\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn 5%<\/p>\n

\u0110\u1ea7u t\u01b0 B: S\u1ed1 ti\u1ec1n = 300.000 \u0111\u00f4 la v\u00e0 l\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn 10%<\/p>\n

T\u1ed5ng gi\u00e1 tr\u1ecb cu\u0309a danh m\u1ee5c \u0111\u1ea7u t\u01b0 l\u00e0 400.000 \u0111\u00f4 la, tr\u1ecdng s\u1ed1 c\u1ee7a m\u1ed7i t\u00e0i s\u1ea3n l\u00e0:<\/p>\n

\u0110\u1ea7u t\u01b0 A = $ 100.000 \/ $ 400.000 = 25%<\/p>\n

\u0110\u1ea7u t\u01b0 B = $ 300.000 \/ $ 400.000 = 75%<\/p>\n

Do \u0111\u00f3, t\u1ed5ng l\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 l\u00e0 tr\u1ecdng s\u1ed1 c\u1ee7a t\u00e0i s\u1ea3n trong danh m\u1ee5c nh\u00e2n v\u1edbi l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng:<\/p>\n

L\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn cu\u0309a danh m\u1ee5c \u0111\u1ea7u t\u01b0 = (25% x 5%) + (75% x 10%) = 8,75%.\u00a0<\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0\u00a0t\u00ednh to\u00e1n ph\u1ee9c t\u1ea1p h\u01a1n, do n\u00f3 kh\u00f4ng \u0111\u01a1n gi\u1ea3n l\u00e0 trung b\u00ecnh tr\u1ecdng s\u1ed1 c\u1ee7a ph\u01b0\u01a1ng sai c\u1ee7a c\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0. H\u00ea\u0323 s\u00f4\u0301 t\u01b0\u01a1ng quan gi\u1eefa hai kho\u1ea3n \u0111\u1ea7u t\u01b0 l\u00e0 0,65. \u0110\u1ed9 l\u1ec7ch chu\u1ea9n, hay c\u0103n b\u1eadc hai c\u1ee7a ph\u01b0\u01a1ng sai, \u0111\u1ed1i v\u1edbi \u0110\u1ea7u t\u01b0 A l\u00e0 7% v\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n cho \u0110\u1ea7u t\u01b0 B l\u00e0 14%.<\/p>\n

Trong v\u00ed d\u1ee5 n\u00e0y, ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 l\u00e0:<\/p>\n

Ph\u01b0\u01a1ng sai danh m\u1ee5c \u0111\u1ea7u t\u01b0 = (25% ^ 2 x 7% ^ 2) + (75% ^ 2\u00a0x 14% ^ 2) + (2 x 25% x 75% x 7% x 14% x 0.65) = 0.0137<\/p>\n

\u0110\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 l\u00e0 c\u0103n b\u1eadc hai c\u1ee7a k\u00ea\u0301t qua\u0309 tr\u00ean b\u0103\u0300ng 11,71%.<\/p>\n

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

\n Ph\u00e2n t\u00edch trung b\u00ecnh – ph\u01b0\u01a1ng sai (ti\u00ea\u0301ng Anh: Mean-Variance Analysis) l\u00e0 qu\u00e1 tr\u00ecnh c\u00e2n nh\u1eafc r\u1ee7i ro so v\u1edbi l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng, ru\u0309i ro \u0111\u01b0\u1ee3c bi\u1ec3u th\u1ecb b\u1eb1ng ph\u01b0\u01a1ng sai.\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\/31470"}],"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=31470"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31470\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31470"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31470"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31470"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}