WMT JPM JNPR KSU K KEY KMB

16-Jan 66.36 59.5 23.6 70.88 73.44 11.16 128.42

16-Feb 66.34 56.3 24.7 81.71 74.02 10.55 130.3
16-Mar 68.49 59.22 25.51 85.45 76.55 11.04 134.51
16-Apr 66.87 63.2 23.4 94.75 76.81 12.29 125.19
16-May 70.78 65.27 23.41 93.1 74.37 12.82 127.04
16-Jun 73.02 62.14 22.49 90.09 81.65 11.05 137.48
16-Jul 72.97 63.97 22.69 96.11 82.71 11.7 129.55
16-Aug 71.44 67.5 23.08 96.72 82.21 12.56 128.06
16-Sep 72.12 66.59 24.06 93.32 77.47 12.17 126.14
16-Oct 70.02 69.26 26.34 87.76 75.13 14.12 114.41
16-Nov 70.43 80.17 27.54 88.71 72 17.31 115.61
16-Dec 69.12 86.29 28.26 84.85 73.71 18.27 114.12
17-Jan 66.74 84.63 26.78 85.91 72.71 17.97 121.13
17-Feb 70.93 90.62 28 88.63 74.07 18.77 132.55
17-Mar 72.08 87.84 27.83 85.76 72.61 17.78 131.63
17-Apr 75.18 87 30.07 90.07 71 18.24 129.75
17-May 78.6 82.15 29.33 95.2 71.6 17.47 129.73
17-Jun 75.68 91.4 27.88 104.65 69.46 18.74 129.11
17-Jul 79.99 91.8 27.95 103.19 68 18.04 123.16
17-Aug 78.07 90.89 27.73 103.43 65.46 17.21 123.29
17-Sep 78.14 95.51 27.83 108.68 62.37 18.82 117.68
17-Oct 87.31 100.61 24.83 104.22 62.53 18.25 112.51
17-Nov 97.23 104.52 27.76 112.14 66.16 18.98 119.76
17-Dec 98.75 106.94 28.5 105.22 67.98 20.17 120.66
18-Jan 106.6 115.67 26.15 113.13 68.11 21.4 117
18-Feb 90.01 115.5 25.66 103.04 66.2 21.13 110.92
18-Mar 88.97 109.97 24.33 109.85 65.01 19.55 110.13
18-Apr 88.46 108.78 24.59 106.63 58.9 19.92 103.54
18-May 82.54 107.01 26.64 107.15 64.39 19.44 100.85
18-Jun 85.65 104.2 27.42 105.96 69.87 19.54 105.34
18-Jul 89.23 114.95 26.34 116.27 71.03 20.87 113.86
18-Aug 95.86 114.58 28.43 115.96 71.79 21.07 115.54
18-Sep 93.91 112.84 29.97 113.28 70.02 19.89 113.64
18-Oct 100.28 109.02 29.27 101.96 65.48 18.16 104.3
18-Nov 97.65 111.19 28.71 103.05 63.65 18.34 115.37
18-Dec 93.15 97.62 26.91 95.45 57.01 14.78 113.94
19-Jan 95.83 103.5 25.94 105.75 59.01 16.47 111.38
19-Feb 98.99 104.36 27.08 108.64 56.26 17.66 116.83
19-Mar 97.53 101.23 26.47 115.98 57.38 15.75 123.9
19-Apr 102.84 116.05 27.77 123.14 60.3 17.55 128.38
19-May 101.44 105.96 24.61 113.28 52.56 15.97 127.89
19-Jun 110.49 111.8 26.63 121.82 53.57 17.75 133.28
19-Jul 110.38 116 27.02 123.74 58.22 18.37 135.65
19-Aug 114.26 109.86 23.16 125.8 62.8 16.6 141.11
19-Sep 118.68 117.69 24.75 133.01 64.35 17.84 142.05
19-Oct 117.26 124.92 24.82 140.78 63.53 17.97 132.88
1.     Tính TSSL kỳ vọng, phương sai, độ lệch chuẩn của các chứng khoán trên
2.     Tính ma trận phương sai-hiệp phương sai theo 4 phương pháp(công thức AT*A/n, mô hình chỉ số đơn, mô hình tương quan không đổi,
3.     Tính danh mục phương sai nhỏ nhất của các chứng khoán trên
4.     Tính ma trận hệ số tương quan của các chứng khoán trên theo ít nhất 3 cách
KIM KMI S&P500

27.19 16.45 1940.24

26.75 18.09 1932.23
28.78 17.86 2059.74
28.12 17.76 2065.3
28.18 18.08 2096.96
31.38 18.72 2098.86
32.1 20.33 2173.6
30.05 21.85 2170.95
28.95 23.13 2168.27
26.61 20.43 2126.15
25.54 22.2 2198.81
25.16 20.71 2238.83
24.89 22.34 2278.87
24.25 21.31 2363.64
22.09 21.74 2362.72
20.29 20.63 2384.2
17.54 18.76 2411.8
18.35 19.16 2423.41
20.18 20.43 2470.3
19.62 19.33 2471.65
19.55 19.18 2519.36
18.16 18.11 2575.26
18.52 17.23 2647.58
18.15 18.07 2673.61
15.91 17.98 2823.81
14.96 16.2 2713.83
14.4 15.06 2640.87
14.51 15.82 2648.05
15.46 16.68 2705.27
16.99 17.67 2718.37
16.69 17.78 2816.29
17.11 17.7 2901.52
16.74 17.73 2913.98
16.09 17.02 2711.74
16.35 17.07 2760.17
14.65 15.38 2506.85
17.01 18.1 2704.1
17.59 19.16 2784.49
18.5 20.01 2834.4
17.39 19.87 2945.83
17.4 19.95 2752.06
18.48 20.88 2941.76
19.21 20.62 2980.38
18.38 20.27 2926.46
20.88 20.61 2976.74
21.56 19.98 3037.56
đơn, mô hình tương quan không đổi, mô hình Shrinkage), không dùng vba
 WMT JPM JNPR KSU K KEY KMB KIM
16-Jan 66.36 59.5 23.6 70.88 73.44 11.16 128.42 27.19
16-Feb 66.34 56.3 24.7 81.71 74.02 10.55 130.3 26.75
16-Mar 68.49 59.22 25.51 85.45 76.55 11.04 134.51 28.78
16-Apr 66.87 63.2 23.4 94.75 76.81 12.29 125.19 28.12
16-May 70.78 65.27 23.41 93.1 74.37 12.82 127.04 28.18
16-Jun 73.02 62.14 22.49 90.09 81.65 11.05 137.48 31.38
16-Jul 72.97 63.97 22.69 96.11 82.71 11.7 129.55 32.1
16-Aug 71.44 67.5 23.08 96.72 82.21 12.56 128.06 30.05
16-Sep 72.12 66.59 24.06 93.32 77.47 12.17 126.14 28.95
16-Oct 70.02 69.26 26.34 87.76 75.13 14.12 114.41 26.61
16-Nov 70.43 80.17 27.54 88.71 72 17.31 115.61 25.54
16-Dec 69.12 86.29 28.26 84.85 73.71 18.27 114.12 25.16
17-Jan 66.74 84.63 26.78 85.91 72.71 17.97 121.13 24.89
17-Feb 70.93 90.62 28 88.63 74.07 18.77 132.55 24.25
17-Mar 72.08 87.84 27.83 85.76 72.61 17.78 131.63 22.09
17-Apr 75.18 87 30.07 90.07 71 18.24 129.75 20.29
17-May 78.6 82.15 29.33 95.2 71.6 17.47 129.73 17.54
17-Jun 75.68 91.4 27.88 104.65 69.46 18.74 129.11 18.35
17-Jul 79.99 91.8 27.95 103.19 68 18.04 123.16 20.18
17-Aug 78.07 90.89 27.73 103.43 65.46 17.21 123.29 19.62
17-Sep 78.14 95.51 27.83 108.68 62.37 18.82 117.68 19.55
17-Oct 87.31 100.61 24.83 104.22 62.53 18.25 112.51 18.16
17-Nov 97.23 104.52 27.76 112.14 66.16 18.98 119.76 18.52
17-Dec 98.75 106.94 28.5 105.22 67.98 20.17 120.66 18.15
18-Jan 106.6 115.67 26.15 113.13 68.11 21.4 117 15.91
18-Feb 90.01 115.5 25.66 103.04 66.2 21.13 110.92 14.96
18-Mar 88.97 109.97 24.33 109.85 65.01 19.55 110.13 14.4
18-Apr 88.46 108.78 24.59 106.63 58.9 19.92 103.54 14.51
18-May 82.54 107.01 26.64 107.15 64.39 19.44 100.85 15.46
18-Jun 85.65 104.2 27.42 105.96 69.87 19.54 105.34 16.99
18-Jul 89.23 114.95 26.34 116.27 71.03 20.87 113.86 16.69
18-Aug 95.86 114.58 28.43 115.96 71.79 21.07 115.54 17.11
18-Sep 93.91 112.84 29.97 113.28 70.02 19.89 113.64 16.74
18-Oct 100.28 109.02 29.27 101.96 65.48 18.16 104.3 16.09
18-Nov 97.65 111.19 28.71 103.05 63.65 18.34 115.37 16.35
18-Dec 93.15 97.62 26.91 95.45 57.01 14.78 113.94 14.65
19-Jan 95.83 103.5 25.94 105.75 59.01 16.47 111.38 17.01
19-Feb 98.99 104.36 27.08 108.64 56.26 17.66 116.83 17.59
19-Mar 97.53 101.23 26.47 115.98 57.38 15.75 123.9 18.5
19-Apr 102.84 116.05 27.77 123.14 60.3 17.55 128.38 17.39
19-May 101.44 105.96 24.61 113.28 52.56 15.97 127.89 17.4
19-Jun 110.49 111.8 26.63 121.82 53.57 17.75 133.28 18.48
19-Jul 110.38 116 27.02 123.74 58.22 18.37 135.65 19.21
19-Aug 114.26 109.86 23.16 125.8 62.8 16.6 141.11 18.38
19-Sep 118.68 117.69 24.75 133.01 64.35 17.84 142.05 20.88
19-Oct 117.26 124.92 24.82 140.78 63.53 17.97 132.88 21.56
ĐLC
KMI S&P500 WMT JPM JNPR
16.45 1940.24
18.09 1932.23 -0.03% -5.53% 4.56%
17.86 2059.74 3.19% 5.06% 3.23%
17.76 2065.3 -2.39% 6.50% -8.63%
18.08 2096.96 5.68% 3.22% 0.04%
18.72 2098.86 3.12% -4.91% -4.01%
20.33 2173.6 -0.07% 2.90% 0.89%
21.85 2170.95 -2.12% 5.37% 1.70%
23.13 2168.27 0.95% -1.36% 4.16%
20.43 2126.15 -2.96% 3.93% 9.05%
22.2 2198.81 0.58% 14.63% 4.46%
20.71 2238.83 -1.88% 7.36% 2.58%
22.34 2278.87 -3.50% -1.94% -5.38%
21.31 2363.64 6.09% 6.84% 4.45%
21.74 2362.72 1.61% -3.12% -0.61%
20.63 2384.2 4.21% -0.96% 7.74%
18.76 2411.8 4.45% -5.74% -2.49%
19.16 2423.41 -3.79% 10.67% -5.07%
20.43 2470.3 5.54% 0.44% 0.25%
19.33 2471.65 -2.43% -1.00% -0.79%
19.18 2519.36 0.09% 4.96% 0.36%
18.11 2575.26 11.10% 5.20% -11.41%
17.23 2647.58 10.76% 3.81% 11.15%
18.07 2673.61 1.55% 2.29% 2.63%
17.98 2823.81 7.65% 7.85% -8.61%
16.2 2713.83 -16.92% -0.15% -1.89%
15.06 2640.87 -1.16% -4.91% -5.32%
15.82 2648.05 -0.57% -1.09% 1.06%
16.68 2705.27 -6.93% -1.64% 8.01%
17.67 2718.37 3.70% -2.66% 2.89%
17.78 2816.29 4.09% 9.82% -4.02%
17.7 2901.52 7.17% -0.32% 7.64%
17.73 2913.98 -2.06% -1.53% 5.28%
17.02 2711.74 6.56% -3.44% -2.36%
17.07 2760.17 -2.66% 1.97% -1.93%
15.38 2506.85 -4.72% -13.02% -6.47%
18.1 2704.1 2.84% 5.85% -3.67%
19.16 2784.49 3.24% 0.83% 4.30%
20.01 2834.4 -1.49% -3.05% -2.28%
19.87 2945.83 5.30% 13.66% 4.79%
19.95 2752.06 -1.37% -9.10% -12.08%
20.88 2941.76 8.55% 5.36% 7.89%
20.62 2980.38 -0.10% 3.69% 1.45%
20.27 2926.46 3.45% -5.44% -15.42%
20.61 2976.74 3.80% 6.88% 6.64%
19.98 3037.56 -1.20% 5.96% 0.28%
1.     Tính TSSL kỳ vọng, phương sai, độ lệch chuẩn của các chứng khoán trên
TSSL kỳ vọng E(Ri) 1.27% 1.65% 0.11%
Phương sai Var 0.0024771636 0.0033250737 0.0034981948
Độ lệch chuẩn ĐLC 4.98% 5.77% 5.91%

2.     Tính ma trận phương sai-hiệp phương sai theo 4 phương pháp(công thức AT*
Công thức AT*A/n
WMT JPM JNPR
WMT 0.00242212 0.00057893 0.00029420
JPM 0.00057893 0.00325118 0.00084140
JNPR 0.00029420 0.00084140 0.00342046
KSU 0.00065786 0.00128135 0.00027847
K 0.00059993 0.00067996 0.00055121
KEY 0.00054183 0.00396214 0.00196168
KMB 0.00058313 0.00002983 0.00018981
KIM 0.00023918 0.00045287 0.00081282
KMI 0.00029469 0.00049288 0.00029203
Mô hình chỉ số đơn
Tính beta của từng chứng khoán
WMT JPM JNPR
Beta 0.6332913211 1.1466871957 0.6001198932
Tính ma trận ps - hps
Viet cau lenh roi keo 0.6332913211 1.1466871957 0.6001198932
WMT JPM JNPR
0.63329132 WMT 0.002477 0.000797 0.000417
1.14668720 JPM 0.000797 0.003325 0.000755
0.60011989 JNPR 0.000417 0.000755 0.003498
1.06114129 KSU 0.000738 0.001335 0.000699
0.77542142 K 0.000539 0.000976 0.000511
1.53627618 KEY 0.001068 0.001933 0.001012
0.42861799 KMB 0.000298 0.000539 0.000282
0.74394430 KIM 0.000517 0.000936 0.000490
0.79638395 KMI 0.000553 0.001002 0.000525

Viet cau lenh mot lan

0.6332913211 1.1466871957 0.6001198932
WMT JPM JNPR
0.63329132 WMT 0.002477 0.000797 0.000417
1.14668720 JPM 0.000797 0.003325 0.000755
0.60011989 JNPR 0.000417 0.000755 0.003498
1.06114129 KSU 0.000738 0.001335 0.000699
0.77542142 K 0.000539 0.000976 0.000511
1.53627618 KEY 0.001068 0.001933 0.001012
0.42861799 KMB 0.000298 0.000539 0.000282
0.74394430 KIM 0.000517 0.000936 0.000490
0.79638395 KMI 0.000553 0.001002 0.000525

Mô hình tương quan không đổi

HSTQ 0.3
ĐLC 0.0497711124 0.0576634516 0.0591455394
WMT JPM JNPR
0.0497711124 WMT 0.002477 0.000861 0.000883
0.0576634516 JPM 0.000861 0.003325 0.001023
0.0591455394 JNPR 0.000883 0.001023 0.003498
0.0582316708 KSU 0.000869 0.001007 0.001033
0.0502344117 K 0.000750 0.000869 0.000891
0.0816377776 KEY 0.001219 0.001412 0.001449
0.0474070376 KMB 0.000708 0.000820 0.000841
0.0662126035 KIM 0.000989 0.001145 0.001175
0.0604948887 KMI 0.000903 0.001047 0.001073

Mô hình Skrinkage
Ma trận điều chỉnh
WMT JPM JNPR
WMT 0.00247716 0.00000000 0.00000000
JPM 0.00000000 0.00332507 0.00000000
JNPR 0.00000000 0.00000000 0.00349819
KSU 0.00000000 0.00000000 0.00000000
K 0.00000000 0.00000000 0.00000000
KEY 0.00000000 0.00000000 0.00000000
KMB 0.00000000 0.00000000 0.00000000
KIM 0.00000000 0.00000000 0.00000000
KMI 0.00000000 0.00000000 0.00000000

Ma trận mẫu
WMT JPM JNPR
WMT 0.00247716 0.00059208 0.00030089
JPM 0.00059208 0.00332507 0.00086052
JNPR 0.00030089 0.00086052 0.00349819
KSU 0.00067281 0.00131048 0.00028480
K 0.00061357 0.00069542 0.00056374
KEY 0.00055415 0.00405219 0.00200626
KMB 0.00059639 0.00003050 0.00019413
KIM 0.00024461 0.00046317 0.00083130
KMI 0.00030139 0.00050408 0.00029866

Ma trận ps - hps
HSTQ 0.4
WMT JPM JNPR
WMT 0.00247716 0.00023683 0.00012035
JPM 0.00023683 0.00332507 0.00034421
JNPR 0.00012035 0.00034421 0.00349819
KSU 0.00026913 0.00052419 0.00011392
K 0.00024543 0.00027817 0.00022549
KEY 0.00022166 0.00162088 0.00080251
KMB 0.00023855 0.00001220 0.00007765
KIM 0.00009785 0.00018527 0.00033252
KMI 0.00012056 0.00020163 0.00011947
 KSU K KEY KMB KIM KMI S&P500

14.22% 0.79% -5.62% 1.45% -1.63% 9.50% -0.41%

4.48% 3.36% 4.54% 3.18% 7.31% -1.28% 6.39%
10.33% 0.34% 10.73% -7.18% -2.32% -0.56% 0.27%
-1.76% -3.23% 4.22% 1.47% 0.21% 1.79% 1.52%
-3.29% 9.34% -14.86% 7.90% 10.76% 3.48% 0.09%
6.47% 1.29% 5.72% -5.94% 2.27% 8.25% 3.50%
0.63% -0.61% 7.09% -1.16% -6.60% 7.21% -0.12%
-3.58% -5.94% -3.15% -1.51% -3.73% 5.69% -0.12%
-6.14% -3.07% 14.86% -9.76% -8.43% -12.41% -1.96%
1.08% -4.26% 20.37% 1.04% -4.10% 8.31% 3.36%
-4.45% 2.35% 5.40% -1.30% -1.50% -6.95% 1.80%
1.24% -1.37% -1.66% 5.96% -1.08% 7.58% 1.77%
3.12% 1.85% 4.36% 9.01% -2.60% -4.72% 3.65%
-3.29% -1.99% -5.42% -0.70% -9.33% 2.00% -0.04%
4.90% -2.24% 2.55% -1.44% -8.50% -5.24% 0.91%
5.54% 0.84% -4.31% -0.02% -14.56% -9.50% 1.15%
9.46% -3.03% 7.02% -0.48% 4.51% 2.11% 0.48%
-1.40% -2.12% -3.81% -4.72% 9.51% 6.42% 1.92%
0.23% -3.81% -4.71% 0.11% -2.81% -5.53% 0.05%
4.95% -4.84% 8.94% -4.66% -0.36% -0.78% 1.91%
-4.19% 0.26% -3.08% -4.49% -7.38% -5.74% 2.19%
7.32% 5.64% 3.92% 6.24% 1.96% -4.98% 2.77%
-6.37% 2.71% 6.08% 0.75% -2.02% 4.76% 0.98%
7.25% 0.19% 5.92% -3.08% -13.17% -0.50% 5.47%
-9.34% -2.84% -1.27% -5.34% -6.16% -10.42% -3.97%
6.40% -1.81% -7.77% -0.71% -3.82% -7.30% -2.73%
-2.98% -9.87% 1.87% -6.17% 0.76% 4.92% 0.27%
0.49% 8.91% -2.44% -2.63% 6.34% 5.29% 2.14%
-1.12% 8.17% 0.51% 4.36% 9.44% 5.77% 0.48%
9.29% 1.65% 6.58% 7.78% -1.78% 0.62% 3.54%
-0.27% 1.06% 0.95% 1.46% 2.49% -0.45% 2.98%
-2.34% -2.50% -5.76% -1.66% -2.19% 0.17% 0.43%
-10.53% -6.70% -9.10% -8.58% -3.96% -4.09% -7.19%
1.06% -2.83% 0.99% 10.09% 1.60% 0.29% 1.77%
-7.66% -11.02% -21.58% -1.25% -10.98% -10.43% -9.63%
10.25% 3.45% 10.83% -2.27% 14.94% 16.28% 7.57%
2.70% -4.77% 6.98% 4.78% 3.35% 5.69% 2.93%
6.54% 1.97% -11.45% 5.88% 5.04% 4.34% 1.78%
5.99% 4.96% 10.82% 3.55% -6.19% -0.70% 3.86%
-8.35% -13.74% -9.43% -0.38% 0.06% 0.40% -6.80%
7.27% 1.90% 10.57% 4.13% 6.02% 4.56% 6.67%
1.56% 8.32% 3.43% 1.76% 3.87% -1.25% 1.30%
1.65% 7.57% -10.13% 3.95% -4.42% -1.71% -1.83%
5.57% 2.44% 7.20% 0.66% 12.75% 1.66% 1.70%
5.68% -1.28% 0.73% -6.67% 3.20% -3.10% 2.02%
c chứng khoán trên
1.52% -0.32% 1.06% 0.08% -0.52% 0.43% 1.00%
 0.0033909275 0.0025234961 0.0066647267 0.0022474272 0.0043841089 0.0036596316 0.001097
5.82% 5.02% 8.16% 4.74% 6.62% 6.05% 3.31%

ơng pháp(công thức AT*A/n, mô hình chỉ số đơn, mô hình tương quan không đổi, mô hình Shrinkage), không d

KSU K KEY KMB KIM KMI

0.00065786 0.00059993 0.00054183 0.00058313 0.00023918 0.00029469
0.00128135 0.00067996 0.00396214 0.00002983 0.00045287 0.00049288
0.00027847 0.00055121 0.00196168 0.00018981 0.00081282 0.00029203
0.00331557 0.00105710 0.00168358 0.00068572 0.00084384 0.00108035
0.00105710 0.00246742 0.00055363 0.00089626 0.00118948 0.00047895
0.00168358 0.00055363 0.00651662 -0.00032767 0.00056381 0.00105582
0.00068572 0.00089626 -0.00032767 0.00219748 0.00074607 0.00052665
0.00084384 0.00118948 0.00056381 0.00074607 0.00428668 0.00218151
0.00108035 0.00047895 0.00105582 0.00052665 0.00218151 0.00357831

KSU K KEY KMB KIM KMI

1.0611412905 0.7754214195 1.5362761775 0.4286179857 0.7439443009 0.7963839474

1.0611412905 0.7754214195 1.5362761775 0.4286179857 0.7439443009 0.7963839474

KSU K KEY KMB KIM KMI
0.000738 0.000539 0.001068 0.000298 0.000517 0.000553
0.001335 0.000976 0.001933 0.000539 0.000936 0.001002
0.000699 0.000511 0.001012 0.000282 0.000490 0.000525
0.003391 0.000903 0.001789 0.000499 0.000866 0.000927
0.000903 0.002523 0.001307 0.000365 0.000633 0.000678
0.001789 0.001307 0.006665 0.000723 0.001254 0.001343
0.000499 0.000365 0.000723 0.002247 0.000350 0.000375
0.000866 0.000633 0.001254 0.000350 0.004384 0.000650
0.000927 0.000678 0.001343 0.000375 0.000650 0.003660

1.0611412905 0.7754214195 1.5362761775 0.4286179857 0.7439443009 0.7963839474

KSU K KEY KMB KIM KMI
0.000738 0.000539 0.001068 0.000298 0.000517 0.000553
0.001335 0.000976 0.001933 0.000539 0.000936 0.001002
0.000699 0.000511 0.001012 0.000282 0.000490 0.000525
0.003391 0.000903 0.001789 0.000499 0.000866 0.000927
0.000903 0.002523 0.001307 0.000365 0.000633 0.000678
0.001789 0.001307 0.006665 0.000723 0.001254 0.001343
0.000499 0.000365 0.000723 0.002247 0.000350 0.000375
0.000866 0.000633 0.001254 0.000350 0.004384 0.000650
0.000927 0.000678 0.001343 0.000375 0.000650 0.003660

0.0582316708 0.0502344117 0.0816377776 0.0474070376 0.0662126035 0.0604948887

KSU K KEY KMB KIM KMI
 0.000869 0.000750 0.001219 0.000708 0.000989 0.000903
0.001007 0.000869 0.001412 0.000820 0.001145 0.001047
0.001033 0.000891 0.001449 0.000841 0.001175 0.001073
0.003391 0.000878 0.001426 0.000828 0.001157 0.001057
0.000878 0.002523 0.001230 0.000714 0.000998 0.000912
0.001426 0.001230 0.006665 0.001161 0.001622 0.001482
0.000828 0.000714 0.001161 0.002247 0.000942 0.000860
0.001157 0.000998 0.001622 0.000942 0.004384 0.001202
0.001057 0.000912 0.001482 0.000860 0.001202 0.003660

KSU K KEY KMB KIM KMI

0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
0.00339093 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
0.00000000 0.00252350 0.00000000 0.00000000 0.00000000 0.00000000
0.00000000 0.00000000 0.00666473 0.00000000 0.00000000 0.00000000
0.00000000 0.00000000 0.00000000 0.00224743 0.00000000 0.00000000
0.00000000 0.00000000 0.00000000 0.00000000 0.00438411 0.00000000
0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00365963

KSU K KEY KMB KIM KMI

0.00067281 0.00061357 0.00055415 0.00059639 0.00024461 0.00030139
0.00131048 0.00069542 0.00405219 0.00003050 0.00046317 0.00050408
0.00028480 0.00056374 0.00200626 0.00019413 0.00083130 0.00029866
0.00339093 0.00108112 0.00172185 0.00070131 0.00086302 0.00110491
0.00108112 0.00252350 0.00056621 0.00091663 0.00121652 0.00048983
0.00172185 0.00056621 0.00666473 -0.00033512 0.00057662 0.00107982
0.00070131 0.00091663 -0.00033512 0.00224743 0.00076302 0.00053862
0.00086302 0.00121652 0.00057662 0.00076302 0.00438411 0.00223109
0.00110491 0.00048983 0.00107982 0.00053862 0.00223109 0.00365963

KSU K KEY KMB KIM KMI

0.00026913 0.00024543 0.00022166 0.00023855 0.00009785 0.00012056
0.00052419 0.00027817 0.00162088 0.00001220 0.00018527 0.00020163
0.00011392 0.00022549 0.00080251 0.00007765 0.00033252 0.00011947
0.00339093 0.00043245 0.00068874 0.00028052 0.00034521 0.00044196
0.00043245 0.00252350 0.00022649 0.00036665 0.00048661 0.00019593
0.00068874 0.00022649 0.00666473 -0.00013405 0.00023065 0.00043193
0.00028052 0.00036665 -0.00013405 0.00224743 0.00030521 0.00021545
0.00034521 0.00048661 0.00023065 0.00030521 0.00438411 0.00089244
0.00044196 0.00019593 0.00043193 0.00021545 0.00089244 0.00365963
hrinkage), không dùng vba
 WMT JPM JNPR KSU K KEY KMB KIM
16-Feb -0.000301 -0.055282 0.045557 0.142188 0.007867 -0.05621 0.014533 -0.016315
16-Mar 0.031895 0.050565 0.032267 0.044755 0.033609 0.045399 0.031799 0.073146
16-Apr -0.023937 0.065045 -0.086335 0.10331 0.003391 0.107261 -0.071806 -0.0232
16-May 0.056826 0.032228 0.000427 -0.017568 -0.032282 0.042221 0.014669 0.002131
16-Jun 0.031157 -0.049143 -0.040093 -0.032865 0.093389 -0.148576 0.078976 0.107558
16-Jul -0.000685 0.029024 0.008854 0.064684 0.012899 0.057158 -0.059412 0.022685
16-Aug -0.02119 0.053713 0.017042 0.006327 -0.006064 0.070928 -0.011568 -0.065993
16-Sep 0.009473 -0.013573 0.041584 -0.035786 -0.059386 -0.031543 -0.015107 -0.037292
16-Oct -0.02955 0.039313 0.090538 -0.061429 -0.030671 0.148618 -0.097604 -0.084283
16-Nov 0.005838 0.146282 0.044551 0.010767 -0.042554 0.203692 0.010434 -0.041041
16-Dec -0.018775 0.073564 0.025808 -0.044488 0.023472 0.053976 -0.012972 -0.01499
17-Jan -0.03504 -0.019425 -0.053792 0.012415 -0.01366 -0.016557 0.059614 -0.010789
17-Feb 0.060889 0.068386 0.044549 0.03117 0.018532 0.043556 0.090096 -0.026049
17-Mar 0.016083 -0.031158 -0.00609 -0.032918 -0.019908 -0.054186 -0.006965 -0.093292
17-Apr 0.042109 -0.009609 0.077413 0.049034 -0.022423 0.025543 -0.014385 -0.084997
17-May 0.044486 -0.057361 -0.024917 0.055393 0.008415 -0.043132 -0.000154 -0.145644
17-Jun -0.037858 0.106699 -0.050701 0.094642 -0.030344 0.070175 -0.004791 0.045146
17-Jul 0.055388 0.004367 0.002508 -0.014049 -0.021243 -0.038069 -0.04718 0.095062
17-Aug -0.024296 -0.009962 -0.007902 0.002323 -0.038068 -0.047101 0.001055 -0.028143
17-Sep 0.000896 0.049581 0.0036 0.049513 -0.048355 0.08943 -0.04657 -0.003574
17-Oct 0.110963 0.052021 -0.114062 -0.041904 0.002562 -0.030755 -0.044927 -0.073754
17-Nov 0.107614 0.038127 0.111544 0.073244 0.05643 0.039221 0.062448 0.01963
17-Dec 0.015512 0.022889 0.026308 -0.063695 0.027137 0.060811 0.007487 -0.020181
18-Jan 0.076492 0.078473 -0.086055 0.072484 0.001911 0.059195 -0.030803 -0.131723
18-Feb -0.169163 -0.001471 -0.018916 -0.09342 -0.028444 -0.012697 -0.053365 -0.061568
18-Mar -0.011622 -0.049063 -0.053223 0.063999 -0.018139 -0.077719 -0.007148 -0.038152
18-Apr -0.005749 -0.01088 0.01063 -0.029751 -0.0987 0.018749 -0.061703 0.00761
18-May -0.069267 -0.016405 0.080074 0.004865 0.089117 -0.024391 -0.026324 0.063418
18-Jun 0.036986 -0.02661 0.028859 -0.011168 0.081678 0.005131 0.043559 0.094369
18-Jul 0.040948 0.098185 -0.040184 0.092853 0.016466 0.065849 0.077776 -0.017815
18-Aug 0.071671 -0.003224 0.076356 -0.00267 0.010643 0.009538 0.014647 0.024853
18-Sep -0.020552 -0.015302 0.052752 -0.023383 -0.024964 -0.057633 -0.016581 -0.021862
18-Oct 0.065629 -0.03444 -0.023634 -0.105282 -0.067036 -0.090996 -0.085764 -0.039603
18-Nov -0.026577 0.019709 -0.019318 0.010634 -0.028345 0.009863 0.100873 0.01603
18-Dec -0.047179 -0.130158 -0.064748 -0.076612 -0.110173 -0.21581 -0.012472 -0.109788
19-Jan 0.028365 0.058489 -0.036712 0.102475 0.03448 0.108266 -0.022724 0.149361
19-Feb 0.032443 0.008275 0.043009 0.026962 -0.047723 0.069762 0.047772 0.033529
19-Mar -0.014859 -0.030451 -0.022783 0.065378 0.019712 -0.114462 0.058755 0.05044
19-Apr 0.053014 0.136626 0.047944 0.059904 0.049636 0.108214 0.03552 -0.061875
19-May -0.013707 -0.090959 -0.120803 -0.083459 -0.137377 -0.094342 -0.003824 0.000575
19-Jun 0.085458 0.05365 0.078886 0.072682 0.019034 0.105674 0.041282 0.060219
19-Jul -0.000996 0.036879 0.014539 0.015638 0.08324 0.034333 0.017626 0.038742
19-Aug 0.034548 -0.054383 -0.154151 0.016511 0.075726 -0.101316 0.039462 -0.044168
19-Sep 0.037954 0.068847 0.066399 0.055731 0.024382 0.07204 0.006639 0.127529
19-Oct -0.012037 0.059619 0.002824 0.056774 -0.012825 0.007261 -0.066733 0.032048
 3.     Tính danh mục phương sai nhỏ nhất của các chứng khoán trên
KMI S&P500 WMT JPM JNPR KSU K
0.095034 -0.004137 E(Ri) 1.27% 1.65% 0.11% 1.52% -0.32%
-0.012796 0.063905 Var(CK) 0.25% 0.33% 0.35% 0.34% 0.25%
-0.005615 0.002696 ĐLC 4.98% 5.77% 5.91% 5.82% 5.02%
0.017858 0.015213 Tỷ trọng 17.51% 35.17% 21.64% 4.67% 7.49%
0.034786 0.000906 Tổng TT 100%
0.082505 0.03499 Var(DM) 0.083%
0.072103 -0.00122 E(Rdm) 0.754%
0.05693 -0.001235
-0.124126 -0.019617 4.     Tính ma trận hệ số tương quan của các chứng khoán trên theo ít nh
0.083088 0.033603 Cách 1: dùng hàm correl
-0.069476 0.018037 WMT JPM JNPR KSU K
0.075762 0.017726 B WMT 1 0.206303 0.102212 0.232144 0.245404
-0.047202 0.036523 C JPM 0.206303 1 0.252313 0.390273 0.240073
0.019977 -0.000389 D JNPR 0.102212 0.252313 1 0.08269 0.189738
-0.052408 0.00905 E KSU 0.232144 0.390273 0.08269 1 0.369585
-0.095019 0.01151 F K 0.245404 0.240073 0.189738 0.369585 1
0.021098 0.004802 G KEY 0.136382 0.860792 0.415504 0.362196 0.138067
0.06418 0.019164 H KMB 0.25276 0.011159 0.069235 0.254042 0.384901
-0.055346 0.000546 I KIM 0.074227 0.12131 0.212272 0.223831 0.365743
-0.00779 0.019119 J KMI 0.100099 0.144505 0.083472 0.313652 0.161186
-0.057404 0.021946 #N/A
-0.049812 0.027696 #N/A
0.047601 0.009784 cách 2: dùng hàm correl + offset
-0.004993 0.054657 0 1 2 3 4
-0.104249 -0.039726 WMT JPM JNPR KSU K
-0.072969 -0.027253 0 WMT 1 0.206303 0.102212 0.232144 0.245404
0.049233 0.002715 1 JPM 0.206303 1 0.252313 0.390273 0.240073
0.052935 0.021378 2 JNPR 0.102212 0.252313 1 0.08269 0.189738
0.057658 0.004831 3 KSU 0.232144 0.390273 0.08269 1 0.369585
0.006206 0.035388 4 K 0.245404 0.240073 0.189738 0.369585 1
-0.00451 0.029814 5 KEY 0.136382 0.860792 0.415504 0.362196 0.138067
0.001693 0.004285 6 KMB 0.25276 0.011159 0.069235 0.254042 0.384901
-0.040869 -0.071929 7 KIM 0.074227 0.12131 0.212272 0.223831 0.365743
0.002933 0.017702 8 KMI 0.100099 0.144505 0.083472 0.313652 0.161186
-0.104255 -0.096265
0.162844 0.075742 Cách 3: dùng data analysis
0.056913 0.029296
0.043407 0.017766 WMT JPM JNPR KSU K
-0.007021 0.03856 WMT 1 0.206303 0.102212 0.232144 0.245404
0.004018 -0.068041 JPM 0.206303 1 0.252313 0.390273 0.240073
0.045563 0.066658 JNPR 0.102212 0.252313 1
-0.01253 0.013043 KSU 0.232144 0.390273 0.08269 1
-0.01712 -0.018257 K 0.245404 0.240073 0.189738 0.369585 1
0.016634 0.017035 KEY 0.136382 0.860792 0.415504 0.362196 0.138067
-0.031045 0.020226 KMB 0.25276 0.011159 0.069235 0.254042 0.384901
KIM 0.074227 0.12131 0.212272 0.223831 0.365743
KMI 0.100099 0.144505 0.083472 0.313652 0.161186
hứng khoán trên
KEY KMB KIM KMI
1.06% 0.08% -0.52% 0.43%
0.67% 0.22% 0.44% 0.37%
8.16% 4.74% 6.62% 6.05%
-20.30% 19.14% -1.96% 16.63%

ác chứng khoán trên theo ít nhất 3 cách

KEY KMB KIM KMI

0.136382 0.25276 0.074227 0.100099
0.860792 0.011159 0.12131 0.144505
0.415504 0.069235 0.212272 0.083472
0.362196 0.254042 0.223831 0.313652
0.138067 0.384901 0.365743 0.161186
1 -0.08659 0.106674 0.218645
-0.08659 1 0.243082 0.18781
0.106674 0.243082 1 0.557003
0.218645 0.18781 0.557003 1

5 6 7 8
KEY KMB KIM KMI
0.136382 0.25276 0.074227 0.100099
0.860792 0.011159 0.12131 0.144505
0.415504 0.069235 0.212272 0.083472
0.362196 0.254042 0.223831 0.313652
0.138067 0.384901 0.365743 0.161186
1 -0.08659 0.106674 0.218645
-0.08659 1 0.243082 0.18781
0.106674 0.243082 1 0.557003
0.218645 0.18781 0.557003 1

KEY KMB KIM KMI

0.136382 0.25276 0.074227 0.100099
0.860792 0.011159 0.12131 0.144505

1
-0.08659 1
0.106674 0.243082 1
0.218645 0.18781 0.557003 1