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Thuật toán EGP và tính cách tính VAR

Áp dụng đầu tư chứng khoán SFC SGH TMS TNA LS KI VONG 0.0771% 0.3409% 0.0368% 0.0363% DO DAO DONG 3.6226% 3.3319% 2.6646% 2.8500% V MA TRAN HPS LS_SFC LS_SGH LS_TMS LS_TNA LS_SFC 0 0 0 0 LS_SGH 0 0 0 0 LS_TMS 0 0 0 0 LS_TNA 0 0 0 0 LS_VTC 0 0 0 0 DANH MUC w1 w2 w3 w4 P1 20% 30% 20% 10% P2 30% 30% 20% 10% P3 35% 25% 20% 10% P4 25% 30% 30% 10% P5 35% 15% 10% 18% P6 20% 40% 25% 10% P7 30% 30% 15% 10% P8 20% 15% 10% 10% P9 20% 30% 30% 10% P10 20% 10% 20% 30% V-1 984.3 -123.07 -239.56 -286.33 -123.07

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Ngày tạo 8/29/2018 4:54:50 PM +00:00

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Tải Thuật toán EGP và tính cách tính VAR (.pdf)

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  1. SFC SGH TMS TNA LS KI VONG 0.0771% 0.3409% 0.0368% 0.0363% DO DAO DONG 3.6226% 3.3319% 2.6646% 2.8500% V MA TRAN HPS LS_SFC LS_SGH LS_TMS LS_TNA LS_SFC 0 0 0 0 LS_SGH 0 0 0 0 LS_TMS 0 0 0 0 LS_TNA 0 0 0 0 LS_VTC 0 0 0 0 DANH MUC w1 w2 w3 w4 P1 20% 30% 20% 10% P2 30% 30% 20% 10% P3 35% 25% 20% 10% P4 25% 30% 30% 10% P5 35% 15% 10% 18% P6 20% 40% 25% 10% P7 30% 30% 15% 10% P8 20% 15% 10% 10% P9 20% 30% 30% 10% P10 20% 10% 20% 30% V-1 984.3 -123.07 -239.56 -286.33 -123.07 1079.55 -65.21 -259.17 -239.56 -65.21 1735.77 -362.68 -286.33 -259.17 -362.68 1706.62 -155.28 -182.9 -175.36 -261.55 A 2375.5 H 0.01 B 2.04 C 0.01 D 26.37 C*V-1[1] g 0.071 2.32 -0.056 5.78 0.421 11.48 0.300 6.9 0.265 4.07 h 0.05*h 0.05 A*V-1*r 6.005 0.3 526.14
  2. 285.392 14.27 8444.07 -52.587 -2.63 436.9 -86.004 -4.3 -1171.61 -152.806 -7.64 -3383.74 p1 p2 p3 g h 0.21000% 0.10000% 0.05000% 0.071 6.005 0.08325 0.07664 0.07364 -0.056 285.392 0.54304 0.22911 0.08642 0.421 -52.587 0.31068 0.36853 0.39482 0.300 -86.004 0.11935 0.21395 0.25696 0.265 -152.806 -0.05632 0.11176 0.18817 1.00000 1.00000 1.00000 MVP p1 p2 p3 PSAI 0.042% 0.056% 0.042% 0.043% DO DD 2.052% 2.365% 2.056% 2.080% LS 0.086% 0.21000% 0.10000% 0.05000% R(P) khi co rf rf 0.023% w1 20% w2 25% w3 15% w4 20% w5 10% w6 10% 20% 25% 15% sắp xếplai dmuc bien duyen khi co ts fi rr p5 ls 0.01000% do đao dong 2.175% ls 0.010% ĐƯ 0.900% 0.800% 0.700% 0.600% 0.500% LS 0.400% 0.300%
  3. ĐƯ 0.900% 0.800% 0.700% 0.600% 0.500% LS 0.400% T F 0.828% 0.023% 0.300% do dd 7.337% 0 0.200% r 0.828% 0.023% 0.100% 0.000% 0.000% 1.000% 2.000% 3.000 Dependent Variable: LS_SFC Method: Least Squares Date: 03/27/09 Time: 07:13 Sample(adjusted): 3/02/2006 2/29/2008 Included observations: 485 Excluded observations: 37 after adjusting endpoints Variable Coefficient Std. Error t-Statistic LS_VNINDEX 0.92 0.07 12.75 C 2.67E-05 0 0.02 R-squared 0.25 Mean dependent var Adjusted R-squared 0.25 S.D. dependent var S.E. of regression 0.03 Akaike info criterion Sum squared resid 0.48 Schwarz criterion Log likelihood 991.26 F-statistic Durbin-Watson stat 1.89 Prob(F-statistic)
  4. Dependent Variable: LS_SGH Method: Least Squares Date: 03/27/09 Time: 22:17 Sample(adjusted): 3/03/2006 2/29/2008 Included observations: 474 Excluded observations: 47 after adjusting endpoints Convergence achieved after 8 iterations Variable Coefficient Std. Error t-Statistic LS_VNINDEX 0.53 0.07 7.72 C 0 0 1.35 AR(1) 0.33 0.04 7.51 R-squared 0.24 Mean dependent var Adjusted R-squared 0.23 S.D. dependent var S.E. of regression 0.03 Akaike info criterion Sum squared resid 0.4 Schwarz criterion Log likelihood 1003.01 F-statistic Durbin-Watson stat 1.97 Prob(F-statistic) Inverted AR Roots 0.33 Dependent Variable: LS_TMS Method: Least Squares Date: 03/27/09 Time: 22:19 Sample(adjusted): 3/03/2006 2/29/2008 Included observations: 474 Excluded observations: 47 after adjusting endpoints Convergence achieved after 4 iterations Variable Coefficient Std. Error t-Statistic LS_VNINDEX 0.74 0.05 14.24 C 0 0 -0.29 AR(1) 0.1 0.05 2.26 R-squared 0.31 Mean dependent var Adjusted R-squared 0.31 S.D. dependent var S.E. of regression 0.02 Akaike info criterion Sum squared resid 0.23 Schwarz criterion Log likelihood 1135.27 F-statistic Durbin-Watson stat 2.01 Prob(F-statistic) Inverted AR Roots 0.1
  5. Dependent Variable: LS_TNA Method: Least Squares Date: 03/27/09 Time: 22:19 Sample(adjusted): 3/03/2006 2/29/2008 Included observations: 474 Excluded observations: 47 after adjusting endpoints Convergence achieved after 8 iterations Variable Coefficient Std. Error t-Statistic LS_VNINDEX 0.53 0.06 8.58 C 0 0 -0.08 AR(1) 0.11 0.05 2.33 R-squared 0.16 Mean dependent var Adjusted R-squared 0.15 S.D. dependent var S.E. of regression 0.03 Akaike info criterion Sum squared resid 0.32 Schwarz criterion Log likelihood 1055.16 F-statistic Durbin-Watson stat 2.02 Prob(F-statistic) Inverted AR Roots 0.11 Dependent Variable: LS_VTC Method: Least Squares Date: 03/27/09 Time: 22:20 Sample(adjusted): 3/03/2006 2/29/2008 Included observations: 474 Excluded observations: 47 after adjusting endpoints Convergence achieved after 10 iterations Variable Coefficient Std. Error t-Statistic LS_VNINDEX 0.42 0.07 5.85 C 0 0 -0.45 AR(1) 0.32 0.04 7.34 R-squared 0.19 Mean dependent var Adjusted R-squared 0.18 S.D. dependent var S.E. of regression 0.03 Akaike info criterion
  6. Sum squared resid 0.45 Schwarz criterion Log likelihood 978.85 F-statistic Durbin-Watson stat 2.02 Prob(F-statistic) Inverted AR Roots 0.32 thuật toán EGP tai san r ngang beta psai nhieu sgh 0.3409% 0.53 0.086% sfc 0.0771% 0.92 0.069% tna 0.0363% 0.53 0.069% tms 0.0368% 0.74 0.049% vtc -0.0478% 0.42 0.095% 40 Series: LS_VNINDEX Sample 3/02/2006 2/29/2008 Observations 487 30 Mean 0.000771 Median 0.000000 Maximum 0.045013 20 Minimum -0.050010 Std. Dev. 0.019769 Skewness -0.034018 Kurtosis 2.848879 10 Jarque-Bera 0.557344 Probability 0.756788 0 -0.050 -0.025 0.000 0.025 mo hinh var voi ls ts VT N-1 r¯ σ CO FIEU VAR (1 NGÀY,5%) SFC 0.0771% 3.6226% -5.9773% SGH 0.3409% 3.3319% -5.4976% TMS 0.0368% 2.6646% -4.3966% TNA 0.0363% 2.8500% -4.7025% VTC -0.0478% 3.3979% -5.6065% mo hinh var voi danh muc
  7. σ² p r(p) 1 0.117% 0.050% 2 0.132% 0.050% 3 0.118% 0.051% 4 0.134% 0.047% 5 0.078% 0.053% 6 0.162% 0.049% 7 0.127% 0.051% 8 0.052% 0.056% 9 0.128% 0.046% 10 0.058% 0.046% ß w*ß η w^2*η p1 20% 0.53 10.6062% 0.086% 0.00342% 25% 0.92 22.9798% 0.069% 0.00429% 20% 0.53 10.6347% 0.069% 0.00275% 10% 0.74 7.4373% 0.049% 0.00049% 25% 0.42 10.6031% 0.095% 0.00592% 62.261% 0.017% p2 30% 15.909% 0.008% 30% 27.576% 0.006% 20% 10.635% 0.003% 10% 7.437% 0.000% 10% 4.241% 0.001% 65.798% 0.018% p3 35% 18.5609% 0.0105% 25% 22.9798% 0.0043% 20% 10.6347% 0.0027% 10% 7.4373% 0.0005% 10% 4.2412% 0.0009% 63.854% 0.019% p4 25% 13.2578% 0.005% 30% 27.5757% 0.006% 30% 15.9520% 0.006% 10% 7.4373% 0.000% 5% 2.1206% 0.000% 66.3434% 0.018% p5 35% 18.561% 0.010% 15% 13.788% 0.002%
  8. 10% 5.317% 0.001% 18% 13.387% 0.002% 22% 9.331% 0.005% 60.384% 0.019% he so sharp r(p) rf sharp σ(p) p1 0.1167% 1.7895% 0.0111% 5.9029% p2 0.1316% 1.8704% 6.4430% p3 0.1184% 1.8679% 5.7454% p4 0.1338% 1.8877% 6.5012% p5 0.0778% 1.8203% 3.6652% vnindex 0.0771% 1.9769% 3.3386% he so jensen rp¯ rp thuc te T
  9. VTC P1 -0.0478% w1 20% 3.3979% w2 25% w3 20% w4 10% w5 25% LS_VTC 0 0 0 0 0 w5 ls kv 25% 0.1167% 10% 0.1316% 10% 0.1184% 5% 0.1338% 22% 0.0778% 5% 0.1622% 15% 0.1274% 45% 0.0524% 10% 0.1276% 20% 0.0582% r ngang 0.0771% -155.28 0.3409% -182.9 0.0368% -175.36 0.0363% -261.55 -0.0478% 1091.48 B*V-1*r- 0.45 1.86 7.26 -1.48 0.38 11.11 -1.01 7.91 -2.91 6.98 B*V-1*[1] 0.04 367.76 158.38 0.24
  10. 917.46 7526.61 11.42 1823.79 -1386.88 -2.1 1096.56 -2268.17 -3.44 646.2 -4029.94 -6.11 MVP r 0.086% PSAI 0.042% p4 p5 p6 p7 0.18000% 0.01000% 0.11000% 0.03000% 0.08145 0.07124 0.07724 0.07244 0.45743 -0.02774 0.25765 0.02934 0.32646 0.41586 0.36327 0.40534 0.14515 0.29136 0.20535 0.27416 -0.01048 0.24929 0.09648 0.21873 1.00000 1.00000 1.00000 p4 p5 p6 p7 0.050% 0.047% 0.043% 0.045% 2.237% 2.175% 2.064% 2.119% 0.18000% 0.01000% 0.11000% 0.03000% phsai 0.0381% lskv 0.21964500% 20% 10% 10% p9 p7 p3 p10 0.01500% 0.030% 0.050% 0.06000% 2.159% 2.11941% 2.07996% 2.067% 0.015% 0.030% 0.050% 0.060% ĐƯỜNG CML Row 112
  11. ĐƯỜNG CML Row 112 00% 1.000% 2.000% 3.000% 4.000% 5.000% 6.000% 7.000% 8.000% ĐỘ DD hso beta dolech chuan nhieu dolechchuan cua ts Prob. ti le rr he thong trong tong rr 0 0.99 r ngang 0 0.04 -4.08 -4.06 162.48 0 ERB_sfc 0
  12. hso beta dolech chuan nhieu dolechchuan cua ts ti le rr he thong trong tong rr Prob. 0 r ngang 0.18 0 0 0.03 ERB_sgh -4.22 -4.19 72.94 0 hso beta dolech chuan nhieu dolechchuan cua ts Prob. ti le rr he thong trong tong rr 0 0.77 0.02 r ngang 0 0.03 -4.78 -4.75 ERB_tms 106.51 C_ 0
  13. hso beta dolech chuan nhieu dolechchuan cua ts ti le rr he thong trong tong rr Prob. r ngang 0 0.94 0.02 ERB_tna 0 0.03 -4.44 -4.41 44.13 0 hso beta dolech chuan nhieu dolechchuan cua ts ti le rr he thong trong tong rr Prob. 0 0.65 r ngang 0 0 0.03 -4.12 ERB_vtc
  14. -4.09 54.6 0 psai vnindex 0.039% rf 0.023% ERB ((rj-rf)/psai)*beta tu so beta^2/nhieu 0.01 197.0249% 197.0249% 328.68 0 72.4031% 269.4280% 1230.48 0 10.2888% 279.7168% 411.77 0 20.9381% 300.6549% 1129.54 0 -31.6988% 268.9561% 189.85 100 -1.65 VAR(1 NGAY,VT,5%,) -5.98 -5.5 -4.4 -4.7 -5.61
  15. var( 1 ngay,5%) var(1 ngay,vt,5%) var(1nam,5%) var(1nam,vt,5%) -0.000822 -0.082163 -1.558941 -155.894091 -0.000824 -0.082370 -1.562854 -156.285422 -0.000847 -0.084732 -1.607685 -160.768520 -0.000780 -0.077971 -1.479391 -147.939097 -0.000881 -0.088111 -1.671781 -167.178098 -0.000812 -0.081216 -1.540963 -154.096312 -0.000841 -0.084138 -1.596407 -159.640702 -0.000931 -0.093050 -1.765502 -176.550152 -0.000752 -0.075158 -1.426013 -142.601330 -0.000763 -0.076265 -1.447020 -144.701999 σ²(I) σ² σ 0.0391% 0.03202% 0.02 0.0350% 0.02 0.0349% 0.02 0.0356% 0.02 0.0331% 0.02
  16. 2.5643% deu thuc thi tot 3.1044% 2.4069% 3.1626% 0.3266%
  17. P2 P3 P4 P5 P6 P7 P8 30% 35% 25% 35% 20% 30% 20% 30% 25% 30% 15% 40% 30% 15% 20% 20% 30% 10% 25% 15% 10% 10% 10% 10% 18% 10% 10% 10% 10% 10% 5% 22% 5% 15% 45% 5 PSAI DODAODONG 0 2.2315% 0 2.2343% 0 2.2661% 0 2.1738% 0 2.3109% 0 2.2186% 0 2.2582% 0 2.3747% 0 2.1342% 0 2.1499% 1 1 1 1 1 1 1 1 1
  18. p8 p9 p10 p11 p12 p13 p14 0.22000% 0.01500% 0.06000% 0.22000% 0.24000% 0.30000% 0.07000% 0.08385 0.07154 0.07424 0.08385 0.08505 0.09 0.07 0.57158 -0.01347 0.11496 0.57158 0.62866 0.8 0.14 0.30542 0.41323 0.38956 0.30542 0.29491 0.26 0.38 0.11075 0.28706 0.24836 0.11075 0.09355 0.04 0.24 -0.07160 0.24165 0.17289 -0.07160 -0.10216 -0.19 0.16 1.00000 p8 p9 p10 p11 p12 p13 p14 0.058% 0.047% 0.043% 0.058% 0.063% 0.083% 0.042% 2.414% 2.159% 2.067% 2.414% 2.519% 2.887% 2.057% 0.22000% 0.01500% 0.06000% 0.22000% 0.24000% 0.30000% 0.07000% p14 mvp p2 p6 p15 p16 p4 0.07000% 0.086% 0.10000% 0.11000% 0.13000% 0.15000% 0.18000% 2.057% 2.052% 2.056% 2.064% 2.094% 2.140% 2.237% 0.070% 0.086% 0.100% 0.110% 0.130% 0.150% 0.180%
  19. 0.92 0.03 psai 0.099% la rr fi he thong 0.04 psai 0.132% la tong rr cua cphieu 0.033% rr he thong ong trong tong rr 25.172% 0.0771%
  20. 0.53 0.03 psai 0.086% la rr fi he thong 0.03 psai 0.112% la tong rr cua cphieu 0.026% rr he thong ong trong tong rr 23.649% 0.3409% 0.01 0.74 0.02 psai 0.049% la rr fi he thong 0.03 psai 0.071% la tong rr cua cphieu 0.022% rr he thong ong trong tong rr 31.142% 0.0368% 0
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