{"id":31475,"date":"2023-12-07T10:40:28","date_gmt":"2023-12-07T10:40:28","guid":{"rendered":"https:\/\/masterskills.org\/blog\/li-thuyet-danh-muc-dau-tu-hien-dai-modern-portfolio-theory-mpt-la-gi.html"},"modified":"2023-12-23T08:11:00","modified_gmt":"2023-12-23T01:11:00","slug":"li-thuyet-danh-muc-dau-tu-hien-dai-modern-portfolio-theory-mpt-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/li-thuyet-danh-muc-dau-tu-hien-dai-modern-portfolio-theory-mpt-la-gi.html","title":{"rendered":"Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i (Modern Portfolio Theory – MPT) la\u0300 gi\u0300?"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Medium.com<\/i><\/p>\n<\/div>\n<\/div>\n

Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i\u00a0<\/font><\/h2>\n

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

Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Modern Portfolio Theory, <\/b>vi\u1ebft t\u1eaft l\u00e0\u00a0MPT.<\/b><\/p>\n

Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i (MPT)<\/b> l\u00e0 m\u1ed9t li\u0301 thuy\u1ebft cho phe\u0301p c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 kh\u00f4ng th\u00edch r\u1ee7i ro c\u00f3 th\u1ec3 x\u00e2y d\u1ef1ng danh m\u1ee5c \u0111\u1ea7u t\u01b0 m\u00f4\u0323t ca\u0301ch t\u1ed1i \u01b0u h\u00f3a hay t\u1ed1i \u0111a h\u00f3a l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng tr\u00ean m\u00f4\u0323t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng nh\u1ea5t \u0111\u1ecbnh, v\u01a1\u0301i r\u1ee7i ro l\u00e0 m\u1ed9t ph\u1ea7n c\u00e2\u0300n \u0111a\u0301nh \u0111\u00f4\u0309i \u0111\u00ea\u0309 co\u0301 l\u01a1\u0323i nhu\u00e2\u0323n cao h\u01a1n.\u00a0<\/p>\n

Theo li\u0301 thuy\u1ebft, c\u00f3 th\u1ec3 x\u00e2y d\u1ef1ng m\u1ed9t “\u0111\u01b0\u01a1\u0300ng bi\u00ean hi\u1ec7u qu\u1ea3” cho danh m\u1ee5c \u0111\u1ea7u t\u01b0 t\u1ed1i \u01b0u \u0111\u00ea\u0309 mang l\u1ea1i l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng t\u1ed1i \u0111a c\u00f3 th\u1ec3 cho m\u1ed9t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro nh\u1ea5t \u0111\u1ecbnh. Li\u0301 thuy\u1ebft n\u00e0y \u0111\u00e3 \u0111\u01b0\u1ee3c Harry Markowitz gi\u01a1\u0301i thi\u00ea\u0323u trong b\u00e0i b\u00e1o “L\u1ef1a ch\u1ecdn danh m\u1ee5c \u0111\u1ea7u t\u01b0”, \u0111\u01b0\u1ee3c xu\u1ea5t b\u1ea3n n\u0103m 1952 b\u1edfi t\u1ea1p ch\u00ed Journal of Finance<\/i>. Sau \u0111\u00f3, \u00f4ng \u0111\u00e3 \u0111\u01b0\u1ee3c trao gi\u1ea3i th\u01b0\u1edfng Nobel cho vi\u00ea\u0323c ph\u00e1t tri\u1ec3n li\u0301 thuy\u00ea\u0301t MPT.<\/p>\n

Hi\u1ec3u v\u00ea\u0300 li\u0301 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<\/b> l\u1eadp lu\u1eadn r\u1eb1ng c\u00e1c \u0111\u1eb7c \u0111i\u1ec3m r\u1ee7i ro v\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed9t kho\u1ea3n \u0111\u1ea7u t\u01b0 kh\u00f4ng n\u00ean \u0111\u01b0\u1ee3c xem xe\u0301t m\u1ed9t ca\u0301ch ri\u00eang le\u0309, m\u00e0 n\u00ean \u0111\u01b0\u1ee3c \u0111\u00e1nh gi\u00e1 b\u1eb1ng c\u00e1ch \u0111\u1eb7t c\u00e2u ho\u0309i vi\u1ec7c \u0111\u1ea7u t\u01b0 \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn r\u1ee7i ro v\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 t\u1ed5ng th\u1ec3 nh\u01b0 th\u00ea\u0301 na\u0300o.<\/p>\n

MPT<\/b> cho th\u1ea5y r\u1eb1ng m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 x\u00e2y d\u1ef1ng m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 g\u1ed3m nhi\u1ec1u t\u00e0i s\u1ea3n s\u1ebd t\u1ed1i \u0111a h\u00f3a l\u1ee3i nhu\u1eadn cho m\u1ed9t m\u1ee9c \u0111\u1ed9 r\u1ee7i ro nh\u1ea5t \u0111\u1ecbnh. T\u01b0\u01a1ng t\u1ef1 nh\u01b0 v\u1eady, v\u1edbi m\u1ee9c l\u1ee3i nhu\u1eadn mong mu\u1ed1n mong mu\u1ed1n, m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 x\u00e2y d\u1ef1ng m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 v\u1edbi r\u1ee7i ro th\u1ea5p nh\u1ea5t c\u00f3 th\u1ec3. D\u1ef1a tr\u00ean c\u00e1c bi\u1ec7n ph\u00e1p th\u1ed1ng k\u00ea nh\u01b0 ph\u01b0\u01a1ng sai v\u00e0 h\u00ea s\u00f4\u0301 t\u01b0\u01a1ng quan, l\u1ee3i t\u1ee9c \u0111\u1ea7u t\u01b0 c\u1ee7a m\u1ed9t c\u00e1 nh\u00e2n kh\u00f4ng quan tr\u1ecdng b\u0103\u0300ng hi\u1ec7u qua\u0309 cu\u0309a m\u1ed9t khoa\u0309n \u0111\u1ea7u t\u01b0 khi so sa\u0301nh v\u01a1\u0301i to\u00e0n b\u1ed9 danh m\u1ee5c \u0111\u1ea7u t\u01b0.<\/p>\n

R\u1ee7i ro danh m\u1ee5c \u0111\u1ea7u t\u01b0 v\u00e0 l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng<\/font><\/h3>\n

MPT<\/b> \u0111\u01b0a ra gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 kh\u00f4ng th\u00edch r\u1ee7i ro, hay l\u00e0 h\u1ecd th\u00edch m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u00edt r\u1ee7i ro h\u01a1n v\u1edbi m\u1ed9t m\u1ee9c l\u1ee3i nhu\u1eadn nh\u1ea5t \u0111\u1ecbnh. \u0110i\u1ec1u n\u00e0y ng\u1ee5 \u00fd r\u1eb1ng m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1ebd ch\u1ea5p nh\u1eadn r\u1ee7i ro nhi\u1ec1u h\u01a1n ch\u1ec9 khi h\u1ecd mong \u0111\u1ee3i l\u01a1\u0323i nhu\u00e2\u0323n cao h\u01a1n t\u01b0\u0300 vi\u1ec7c \u0111\u00e2\u0300u t\u01b0 ta\u0300i sa\u0309n \u0111o\u0301.<\/p>\n

L\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng t\u1ed5ng tr\u1ecdng s\u1ed1 ca\u0301c l\u1ee3i nhu\u1eadn c\u1ee7a t\u00e0i s\u1ea3n c\u00e1 nh\u00e2n. N\u1ebfu danh m\u1ee5c \u0111\u1ea7u t\u01b0 ch\u1ee9a b\u1ed1n t\u00e0i s\u1ea3n c\u00f3 tr\u1ecdng s\u1ed1 t\u01b0\u01a1ng \u0111\u01b0\u01a1ng v\u1edbi l\u1ee3i nhu\u1eadn d\u1ef1 ki\u1ebfn l\u00e0 4%, 6%, 10% v\u00e0 14%, l\u1ee3i nhu\u1eadn k\u00ec<\/span> v\u1ecdng c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 s\u1ebd l\u00e0:<\/p>\n

(4% x 25%) + (6% x 25%) + (10% x 25%) + (14% x 25%) = 8,5%<\/p>\n

\u0110\u1ec3 t\u00ednh to\u00e1n r\u1ee7i ro c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 co\u0301 4 t\u00e0i s\u1ea3n tr\u00ean, m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 c\u1ea7n m\u1ed9t trong b\u1ed1n ph\u01b0\u01a1ng sai c\u1ee7a 4 t\u00e0i s\u1ea3n v\u00e0 6 h\u00ea\u0323s\u00f4\u0301 t\u01b0\u01a1ng quan, do c\u00f3 6 k\u1ebft h\u1ee3p gi\u1eefa 2 t\u00e0i s\u1ea3n c\u00f3 th\u1ec3 c\u00f3 v\u1edbi 4 t\u00e0i s\u1ea3n \u0111a\u0303 cho. Do c\u00e1c h\u1ec7 s\u00f4\u0301 t\u01b0\u01a1ng quan t\u00e0i s\u1ea3n, t\u1ed5ng r\u1ee7i ro danh m\u1ee5c \u0111\u1ea7u t\u01b0 hay \u0111\u1ed9 l\u1ec7ch chu\u1ea9n se\u0303 th\u1ea5p h\u01a1n so v\u1edbi vi\u1ec7c chi\u0309 t\u00ednh b\u1eb1ng t\u1ed5ng bi\u0300nh qu\u00e2n c\u00f3 tr\u1ecdng s\u1ed1 l\u01a1\u0323i nhu\u1eadn cu\u0309a 4 ta\u0300i sa\u0309n.<\/p>\n

\u0110\u01b0\u01a1\u0300ng bi\u00ean hi\u1ec7u qu\u1ea3<\/font><\/h3>\n

M\u00f4\u0301i t\u01b0\u01a1ng quan gi\u01b0\u0303a c\u00e1c t\u00e0i s\u1ea3n \u0111\u1ec1u c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c bi\u00ea\u0309u di\u00ea\u0303n tr\u00ean bi\u1ec3u \u0111\u1ed3, v\u1edbi r\u1ee7i ro c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 tr\u00ean tr\u1ee5c X v\u00e0 l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng tr\u00ean tr\u1ee5c Y. Ca\u0301ch ve\u0303 n\u00e0y cho bi\u00ea\u0301t danh m\u1ee5c \u0111\u1ea7u t\u01b0 na\u0300o \u0111\u00e1ng \u0111\u00e2\u0300u t\u01b0 hay co\u0301 l\u01a1\u0323i nhu\u00e2n ki\u0300 vo\u0323ng cao nh\u1ea5t.\u00a0<\/p>\n

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Minh h\u1ecda m\u1ed9t \u0111\u01b0\u1eddng bi\u00ean hi\u1ec7u qu\u1ea3. Ngu\u1ed3n: researchgate<\/p>\n<\/div>\n<\/div>\n

V\u00ed d\u1ee5: gi\u1ea3 s\u1eed danh m\u1ee5c \u0111\u1ea7u t\u01b0 A c\u00f3 ti\u0309 su\u1ea5t sinh l\u1ee3i d\u1ef1 ki\u1ebfn l\u00e0 8,5% v\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 8%, danh m\u1ee5c B c\u00f3 ti\u0309 l\u1ec7 l\u01a1\u0323i nhu\u1eadn d\u1ef1 ki\u1ebfn l\u00e0 8,5% v\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 9,5%. Danh m\u1ee5c \u0111\u1ea7u t\u01b0 A \u0111\u01b0\u1ee3c xem l\u00e0 “hi\u1ec7u qu\u1ea3” h\u01a1n v\u00ec n\u00f3 c\u00f3 c\u00f9ng l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng nh\u01b0ng r\u1ee7i ro th\u1ea5p h\u01a1n. \u0110\u01b0\u01a1\u0300ng k\u1ebft n\u1ed1i t\u1ea5t c\u1ea3 c\u00e1c danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7u qu\u1ea3 nh\u1ea5t \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 \u0111\u01b0\u01a1\u0300ng bi\u00ean hi\u1ec7u qu\u1ea3. \u0110\u1ea7u t\u01b0 v\u00e0o b\u1ea5t k\u00ec<\/span> danh m\u1ee5c \u0111\u1ea7u t\u01b0 na\u0300o kh\u00f4ng n\u0103\u0300m tr\u00ean \u0111\u01b0\u1eddng cong n\u00e0y l\u00e0 kh\u00f4ng hi\u1ec7u qua\u0309.<\/p>\n

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

\n Li\u0301 thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n (ti\u1ebfng Anh: Modern Portfolio Theory, vi\u1ebft t\u1eaft: MPT) l\u00e0 m\u1ed9t li\u0301 thuy\u1ebft cho phe\u0301p c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 e nga\u0323i r\u1ee7i ro c\u00f3 th\u1ec3 t\u1ed1i \u01b0u h\u00f3a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u1ec3 t\u1ed1i \u0111a h\u00f3a l\u1ee3i nhu\u1eadn ki\u0300 v\u1ecdng.\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\/31475"}],"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=31475"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31475\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31475"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31475"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31475"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}