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Year x x^2 x-Mx (x-Mx)^2

1 5.6 31.36 1.78 3.16 Sum


2 2.7 7.29 -1.12 1.26 Mo Mode
3 7.3 53.29 3.48 12.1 Md Median
4 3.5 12.25 -0.32 0.1 E Mean
5 0.01 0 -3.81 14.53 V=r^2 Variance
r Standard deviation
r3 Skewness
r4 Kurtosis
CV

Min Minimum
Max Maximum
Count
19.11
#N/A
3.5
3.82
7.79
2.79
-0.18
-0.39
0.73

0.01
7.3
5
i x y x^2 y^2 xy
1 5 25 25 625 125 Mo
2 6 30 36 900 180 Md
3 9 35 81 1225 315 E
4 12 45 144 2025 540 V
5 18 65 324 4225 1170 σ

Cov(x,y)
r
a
b

R2
σ3
σ4

A
B
E(Ax+By)
V(Ax+By)
X Y
Mode #N/A #N/A
Median 9 35
Mean 10 40
Variance 22 200
Standard deviation 5.24 15.81

Covariance 66
Correlation 0.99
Slope 3
Intercept 10

R square 0.99
Skewness 0.95 1.19
Kurtosis 0.25 1.05

0.8
0.4
24
88.32
P(x/y)
x 20 50 30 0 0 0
y 3 1 1 1 0 0 0 y
80 0.9 0.05 0.15 0.7 0 0 0 80
50 0.6 0.15 0.25 0.2 0 0 0 50
30 1.5 0.8 0.6 0.1 0 0 0 30
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0

M(vny) M(x/y)
x 20 50 30 35 45 55
y 1 0.33 0.33 0.33 0 0 0 y
80 0.3 0.02 0.05 0.23 0 0 0 80
50 0.2 0.05 0.08 0.07 0 0 0 50
30 0.5 0.27 0.2 0.03 0 0 0 30
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

xy*P 6(x/y)
x 5 15 25 35 45 55
y 846.67 59.17 212.5 575 0 0 0 y
80 533.33 6.67 60 466.67 0 0 0 80
50 158.33 12.5 62.5 83.33 0 0 0 50
30 155 40 90 25 0 0 0 30
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

Cov 682.5
Coefficient 5.49 y
a 6.88 80
b -0.54 50
30
A 0.8
B 0.4
E(Ax+By) 28.64 27.5
V(Ax+By) 458.92
P(y/x)
x 20 50 30
3 0.84 0.98 1.18 0 0 0 y
1 0.06 0.17 0.78 0 0 0 80
1 0.25 0.42 0.33 0 0 0 50
1 0.53 0.4 0.07 0 0 0 30
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

xi-Mx -13.33 16.67 -3.33 1.67 11.67 21.67 M(y/x)


x 20 50 30 35 45 55
33.33 6.67 16.67 10 0 0 0 4.93 y
32.78 1.11 8.33 23.33 0 0 0 56 80
35.83 5 20.83 10 0 0 0 40 50
32.67 10.67 20 2 0 0 0 15 30
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0

6(x/y)
x 20 50 30 35 45 55
428.37 y
64.51 9.07 49.43 6 0 0 0 80
157.64 62.67 83.62 11.34 0 0 0 50
206.22 85.57 120.18 0.47 0 0 0 30
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

6r^2 6e^2 Var 6 ng(x/y)^2


153.99 1.56 155.56 12.47 0.01 6r^2
19.35 0.09 19.44 4.41 6e^2
31.53 1.25 32.78 5.73 Var
103.11 0.22 103.33 10.17 6
0 0 0 0 ng(y/x)^2
0 0 0 0
0 0 0 0
x 20 50 30
6 1 1 1 1 1 1
2.27 0 0 0.02 1
0.68 0.01 0.01 0.01 0
0.57 0.04 0.01 0 0
0 0 0 0
0 0 0 0
0 0 0 0

x 20 50 30
4.93 1.78 0.85 2.3 0 0 80
24 0.2 0.24 1.87 0 80
10 0.38 0.25 0.33 0 0 0
15 1.2 0.36 0.1 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

x 20 50 30
264.27 64.61 41.07 158.6 0 0 0
174.96 15.3 18.79 140.87 0 0 0
44.69 17.44 12.08 15.17 0 0 0
44.62 31.87 10.2 2.56 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 0 0 0 0 0

x 20 50 30
88.09 21.54 13.69 52.87 0 0 0
11.14 3.31 5.54 2.3 0 0 0
99.23 24.84 19.23 55.16 0 0 0
9.96 4.98 4.38 7.43 0 0 0
0.11
Defaulting 0.4
Non-Defaulting
0.6
Công thức

Credit Xs X/Y
High Medium Low X High
0.79 0.38 0.83 Y 0.79
Defaulting 1 0.04 0.15 0.81 Defaulting 1 0.04
Non defautling 1 0.75 0.23 0.02 Non defautling 1 0.75

Xs Y/X
X High
Y 1
Defaulting 1.42 0.05
Non defautling
1.58 0.95
Medium Low
0.38 0.83
0.15 0.81
0.23 0.02

Medium Low X High Medium Low


1 1 Y 0.68 0.77 0.99
0.39 0.98 Defaulting 1.3 0.03 0.3 0.96
0.61 0.02 Non defautling
1.13 0.64 0.46 0.02
i x y (x-Ex) (y-Ey) (x-Ex)(y-Ey)
(x-Ex)^2 (y-Ey)^2
1 0.1 -0.1 0.05 -0.09 0 0 0.01
2 -0.05 0.05 -0.1 0.06 -0.01 0.01 0
3 0.15 0 0.1 0.01 0 0.01 0
4 0.05 -0.1 0 -0.09 0 0 0.01
5 0 0.1 -0.05 0.11 -0.01 0 0.01
X Y
Sum 0.25 -0.05 x y
Mo Mode #N/A -0.1
Md Median 0.05 0 Mean 0.05 Mean
E Mean 0.05 -0.01 Standard Error0.04 Standard Error
V Variance 0.01 0.01 Median 0.05 Median
σ Standard deviation 0.08 0.09 Mode #N/A Mode
Standard Deviation
0.08 Standard Deviation
Count 5 Sample Variance
0.01 Sample Variance
CovP(x,y)Covariance 0 Kurtosis -1.2 Kurtosis
r Correlation -0.53 Skewness 0 Skewness
a Slope -0.6 Range 0.2 Range
b Intercept 0.02 Minimum -0.05 Minimum
σ(x,y) Covariance 0 Maximum 0.15 Maximum
Sum 0.25 Sum
R2 R square 0.28 Count 5 Count
σ3 Skewness 0 0.05
σ4 Kurtosis -1.2 -2.32

A 0.6
B 0.4
E(Ax+By) 0.03
V(Ax+By) 0
-0.01
0.04
0
-0.1
0.09
0.01
-2.32
0.05
0.2
-0.1
0.1
-0.05
5
Trả về xác suất của những lần thử thành công của phân phối nhị phân.
BINOMDIST() thường được dùng trong các bài toán có số lượng cố định các phép thử, khi

valeur k 0 3
Samples n 4 20
Probability p 0.4 0.05
cumulator 0 0
Binomdist 0.13 0.06
P accumulee 0.19
Tinh thong thuong 0.13 0.06

= 1 (TRUE) : BINOMDIST() trả về hàm tính xác suất tích lũy, là xác suất có số lần thành cô
= 0 (FALSE) : BINOMDIST() trả về hàm tính xác suất điểm (hay là hàm khối lượng xác suấ

valeur k 0 1
Samples n 5 5
Probability p 0.2 0.2
cumulator 0 0
Binomdist 0.33 0.41
P accumulee 0.74
Tinh thong thuong 0.33 0.41
nhị phân.
ợng cố định các phép thử, khi kết quả của các phép thử chỉ là thành công hay thất bại, khi các phép thử là độc lập, v

6 3 4 4 4 4
8 4 4 4 4 4
0.9 0.4 0.4 0.4 0.4 0.4
0 0 0 0 0 0
0.15 0.15 0.03 0.03 0.03 0.03
0.34 0.49 0.52 0.54 0.57 0.59
0.15 0.15 0.03 0.03 0.03 0.03

là xác suất có số lần thành công number_s lớn nhất.


ay là hàm khối lượng xác suất), là xác suất mà số lần thành công là number_s.

2 3 4 5
5 5 5 5
0.2 0.2 0.2 0.2
0 0 0 0
0.2 0.05 0.01 0
0.94 0.99 1 1
0.2 0.05 0.01 0
các phép thử là độc lập, và khi xác xuất thành công là không đổi qua các cuộc thử nghiệm.
Cho n,p, k
valeur k 2 2
Samples n 5 5
Probability p 0.05 0.05
cumulator 0 0
P(X=i) 0.02 0.02
P accumulee 0.02 0.04
E 0.25
Var 0.24

Cho p,n, tính k


n 3
p 0.8
np+p-1<=k 2.2
np+p>=k 3.2

Nếu n>=30, p<=0.1 --> xấp xỉ Poisson


Tính theo phân phối Poison
e 2.72 2.72
k 3 3
n 20 20
p 0.05 0.05
P=e^-np*(np)^k/k! 0.06 0.06

n>= 30, np>=10 tính theo phân bố chuẩn


n samples 20.000 2.000
p 0.050 0.120
q 0.950 0.880
k 3.000 1.122
б 0.950 0.211
z 3.105 4.744
Phân phối tích lũy chuẩn
0.999 : P(Z<k)--> bảng
1.000
3B
P(z>k) hoặc P (z<-k)-2.105 -3.744
P(k<Z<k): Xs chặn 25.211
chiều 8.489
Sum S 40000 40000
Cost of placement -600 -600
Term 3 3
Rate of interest annual 1% 1%
P hoàn vốn= P tại đó Gp=-Co+prs+t(1-t)rs=0
0.75 0.75
P1 0 0
GP1 600 600
s1=favor=p s2=disfav=1-p
t1 60 50
t2 80 50
t3 100 50

Purchasing Leasing - Purchasing


p 1-p p
t1 -H4+(D5p+E5(1-p))/(1+H7) t1 -H5/((1+H7)^J5)+(D5
Tri so P 9.09 Tri so P
So tu do -114.55 so tu do
t2 141.25 78.89 t2 32.16
Tri so P 71.45 Tri so P
So tu do -35.66 So tu do
PP* 0.5 PL*
p* 0.74 Pmin
Purchasing price 160
Leasing 64 Time payment 0.5
Re-purchasing 120
Discount rate 10%

Leasing - Purchasing Leasing- Leasing Leasing-reject


1-p p 1-p p 1-p
-H5/((1+H7)^J5)+(D5p+E5(1-p))/(1+H7)
9.09
-15.57
-30.2 35.34 -27.02 0 0
44.43
-15.57
-0.35
-0.35
Tính call option
S=current price 1000
X=exercicse 900
uS 1090.46
dS 825.67
Cu 190.46
Cd 0
u 1.09
d 0.92
r 0.01
R 1.01
p 0.51
1-p 0.49
C 95.92

n 1
k 1
C 498.81
S=current price 1000
X=exercicse 100
uS 110
dS 90
Cu 10
Cd 0
u 1.09
d 0.92
r 0.01
R 1.01
p 0.51
1-p 0.49

u d p 1-p
1.1 0.9 0.85 0.15

S1 1000
253.01
S2 1100 900
316.11 13.54
S3 1210 990 917.04 771.2
396.68 7.07 17.04 0
S4 1296.68 1089 1089 891 1008.74 825.34
396.68 8.9 8.9 0 8.9 0
r R
0.07 1.07

848.32 694.08
0 0
E б Cor ACor B Cor C Ratio Expected
Var
Return
б

Sum ### ### 1.9 0.7 1 1 9.80% 76.21 8.73

Fund A 6% 3% 1 10% 0.60% 0

Fund B 8% 5% 0.7 1 40% 3.20% 0


Fund C 12% 18% 0.2 -0.3 1 50% 6.00% 0.01

Expected return
E б Cor ACor B Cor C Ratio Expected
Var
Return
б
Sum ### ### 0.9 0.7 1 1 9.00% 24.19 4.92
Fund A
Fund B 8% 5% 0.7 1 75% 6.00% 0
Fund C 12% 18% 0.2 -0.3 1 25% 3.00% 0

Expected return
E б Cor ACor B Cor C Ratio Expected
Var
Return
б
Sum ### ### 0 0 0 1 4.00% 0 0.06
Fund C 12% 18% 0 0 0 33% 4.00% 0 6%
Risk free 0% 0% 0% 0% 0% 67% 0.00% 0% 0%
b)An efficient portfolio is a portfolio that is located on the
- offers a minimum risk for a given level of expecte
- offers a maximum of expected return for a given level of r
is located on the efficient frontier. The efficient frontier of the result of
level of expected return, or
a given level of risk.
er of the result of the combination of a given set of securities where we
urities where we only select the most relevant portfolios. In this contex
os. In this context we will choose our opti mal portfolio so that it:
so that it:
Stock
A B C
2 -1 1
Stock price
day A B C A B C
-251 100 110 230
-250 100.9 111.5 228.9 0.90% 1.36% -0.48%
-249 99.5 106.7 230.8 -1.39% -4.30% 0.83%
-248 100.4 105.8 233.1 0.90% -0.84% 1.00%
-247 102 105.2 232.5 1.59% -0.57% -0.26%
-246 105.3 103.2 232.6 3.24% -1.90% 0.04%
-245 106.7 101.8 233.6 1.33% -1.36% 0.43%
-244 107.8 101.6 231.9 1.03% -0.20% -0.73%
-243 109.9 103 232.7 1.95% 1.38% 0.34%
-242 110.6 101.2 231.1 0.64% -1.75% -0.69%
-241 107 99.6 230.1 -3.25% -1.58% -0.43%
-240 112 101.1 232.2 4.67% 1.51% 0.91%
-239 108 102.4 232 -3.57% 1.29% -0.09%
A B C Vt Gain porfolio
244 135 315 668
246.2 136.84 313.49 669.04 1.04
240.61 129.19 317.61 669.66 0.61
246.21 133.86 318.14 676.69 7.04
247.89 134.23 314.19 675.73 -0.96
251.89 132.43 315.14 686.49 10.76
247.24 133.17 316.35 677.67 -8.82
246.52 134.73 312.71 671 -6.67
248.75 136.86 316.09 676.73 5.73
245.55 132.64 312.83 671.3 -5.43
236.06 132.87 313.64 652.89 -18.41
255.4 137.03 317.87 691.65 38.76
235.29 136.74 314.73 648.56 -43.08
Tính theo phân phối Poison
e 2.72 2.72
Mean= gt kì vọng k 3 3
x=so lan thu 20 20
p 0.05 0.05
P=e^-np*(np)^k/k! 0.06 0.06
E 1
V 0

Tinh theo phan phoi nhi thuc B(n,p)


valeur k 2 2
Samples n 5 5
Probability p 0.05 0.05
cumulator 0 0
Binomdist 0.02 0.02
P accumulee 0.02 0.04
σ Covar V α 0.05 σ1^2 σ12
abc 2% 1 0.7 10 1-α 0.95 0 0
xyz 1% 0.7 1 5P 1.64 0 0
σ21 σ2^2
0 0 0
0 0

Var 0.13
α 0.05
1-α 0.95
P 1.64
E 10
σ 0.1
σ 0.3
Days 252
Weeks 5
1 ngay 0.02
Week 0.08