Xây dựng và quản lý danh mục đầu tư chứng khoán ở Việt Nam

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1 Trần văn trí luận án tiến sĩ kinh tế hà nội - 2015 NGN HANG NHA NC VIấT NAM B GIO DC VA AO TO HOC VIấN NGN HANG ********** TRN VN TR XY DNG VA QUN Lí DANH MC U T CHNG KHON VIấT NAM LUN N TIấN SI KINH Tấ HA NI NM 2015 Tr ần văn trí luận án tiến sĩ kinh tế hà nội - 2015 NGN HANG NHA NC VIấT NAM B GIO DC VA AO TO HOC VIấN NGN HANG ********** TRN VN TR XY DNG VA QUN Lí DANH MC U T CHNG KHON VIấT NAM CHUYấN NGANH :TI CHNH - NGN HNG M S :62.34.02.01 LUN N TIấN SI KINH Tấ NGI HNG DN KHOA HOC: GS-TS.NGUYN KHC MINH PGS-TS.TRNG QUC CNG HA NI NM 2015 MC LC LI CAM OAN MC LC DANH MC BNG BIU DANH MC HèNH M U Tớnh cp thit ca ti Tng quan tỡnh hỡnh nghiờn cu Mc ớch nghiờn cu i tng v phm vi nghiờn cu Phng phỏp nghiờn cu Nhng úng gúp d kin ca lun ỏn Ni dung v kt cu ca lun ỏn CHNG 1: NHNG VN C BN V XY DNG VA QUN Lí DANH MC U T CHNG KHON Danh mc u t chng khoỏn Khỏi nim danh mc u t chng khoỏn 1.1 1.1.1 1.1.2 1.1.3 1.1.4 1.1.5 1.2 1.2.1 1.2.2 1.2.3 1.2.4 1.3 Thu nhp v ri ro ca danh mc u t chng khoỏn a dng húa danh mc u t chng khoỏn Khỏi quỏt mt s mụ hỡnh nh giỏ chng khoỏn Chin lc qun lý danh mc u t chng khoỏn Quy trỡnh xõy dng v qun lý danh mc u t Xỏc nh mc tiờu u t La chn chng khoỏn u t i ii Vi Viii 1 14 14 15 16 16 17 17 17 17 21 24 26 30 30 30 Xõy dng danh mc u t 31 Qun lý danh mc u t 31 La chn chng khoỏn u t vi mụ hỡnh nh 33 giỏ ti sn Nhng gi thuyt kinh t cho th trng 33 1.3.1 1.3.2 Xõy dng mụ hỡnh nh giỏ ti sn 36 1.4 1.4.1 1.4.2 1.4.3 1.5 1.5.1 1.5.2 Xõy dng danh mc u t chng khoỏn Xõy dng danh mc u t hiu qu ca cỏc chng khoỏn ri ro Xõy dng danh mc u t chng khoỏn ti u Xỏc nh danh mc u t chng khoỏn ti u cho nh u t Qun lý danh mc u t ỏnh giỏ hiu qu danh mc u t iu chnh danh mc u t CHNG 2: THC NGHIM XY DNG V QUN Lí DANH MC U T CHNG KHON VIấT NAM Tng quan th trng chng khoỏn Vit Nam iu kin ỏp dng lý thuyt danh mc xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam Phng phỏp xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam La chn c phiu u t Vn kinh t lng ca mụ hỡnh nh giỏ ti sn 2.1 2.2.1 2.1.2 2.2 2.2.1 2.2.2 2.2.3 2.2.4 2.3 2.3.1 2.3.2 2.3.3 2.4 2.4.1 2.4.2 La chn d liu c lng h s beta cỏc chng khoỏn H s anpha ca cỏc c phiu, la chn c phiu Xõy dng danh mc u t ti u Xõy dng ng biờn hiu qu La chn danh mc u t hiu qu Xõy dng danh mc u t ti u Qun lý danh mc u t ỏnh giỏ hiu qu danh mc u t ti thi im xõy dng ỏnh giỏ li mc hiu qu v iu chnh danh mc u t 43 43 48 53 56 56 62 65 65 65 67 71 71 72 75 77 84 84 87 88 94 94 101 Nhng iu kin thun li v hn ch vic xõy dng, qun lý danh mc u t trờn th trng chng khoỏn Vit Nam Nhng thun li xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam Mt s khú khn v hn ch xõy dng, qun lý danh mc u t trờn th trng chng khoỏn Vit Nam CHNG 3: GII PHP HON THIN NG DNG Lí THUYT DANH MC U T TRONG XY DNG V QUN Lí DANH MC U T CHNG KHON VIT NAM Nhúm cỏc gii phỏp lm tng tớnh hiu qu cho th trng chng khoỏn Vit Nam Nõng cao cht lng cụng b thụng tin trờn th trng chng khoỏn Tng cng cỏc hot ng giỏm sỏt th trng chng khoỏn 2.5 2.5.1 2.5.2 3.1 3.1.1 3.1.2 3.2 Nhúm cỏc gii phỏp tng cung hng húa trờn th trng chng khoỏn Tip tc y mnh c phn húa doanh nghip nh nc 3.2.1 3.2.2 3.2.3 3.2.4 3.2.5 3.3 3.3.1 Khuyn khớch cỏc cụng ty i chỳng thc hin niờm yt c phiu trờn cỏc S giao dch chng khoỏn Phỏt trin qu u t chng khoỏn y nhanh vic thc hin ỏn phỏt trin th trng chng khoỏn phỏi sinh Phỏt trin th trng trỏi phiu doanh nghip 3.3.2 3.4 3.4.1 3.4.2 3.4.3 3.4.4 108 108 111 115 115 117 118 119 120 120 120 121 121 Nhúm gii phỏp k thut Cỏc gii phỏp xõy dng danh mc u t 122 Cỏc gii phỏp qun lý danh mc u t 130 Nhúm gii phỏp khỏc La chn d liu phự hp iu chnh danh mc th trng 143 143 144 S dng lói sut phi ri ro phự hp 146 Gim hiu ng u t theo tõm lý s ụng 147 122 3.4.5 Gim bt s can thip hnh chớnh hng ti xõy dng th trng ti chớnh ng b KấT LUN 149 151 DANH MC BNG BIU Bng 1.1 Bng 2.1a Bng 2.1b Bng 2.2.a Bng 2.2.b Bng 2.3 Bng 2.4 Bng 2.5 Bng 2.6 Bng 2.7 Bng 2.8 Bng 2.9 Bng 2.10 Bng 2.11 Bng 2.12 Bng 2.13 Bng 2.14 Bng 2.15 Bng 2.16 Bng 2.17 Bng 2.18 Bng 3.1 Bng 3.2 Bng 3.3 Bng 3.4 Bng 3.5 Bng 3.6 Bng 3.7 Bng 3.8 Bng 3.9 Ma trn hip phng sai ca cỏc chng khoỏn C phiu nh giỏ thp S Giao dch Chng khoỏn TP H Chớ Minh Thụng tin c phiu c chn t Bng 2.1a C phiu nh giỏ thp S Giao dch Chng khoỏn TP H Ni Thụng tin cỏc c phiu c chn t bng 2.2.a Thng kờ mụ t s liu t sut sinh li Cỏc danh mc u t hiu qu Danh mc u t hiu qu C Danh mc u t ti u Danh mc u t D Thc o hiu qu cỏc danh mc u t Thc o hiu qu danh mc C Thc o hiu qu danh mc D Thc o hiu qu danh mc u t ti u Mc hiu qu danh mc VNINDEX, HNXINDEX ỏnh giỏ li mc hiu qu danh mc u t ti u Thụng tin c phiu c chn iu chnh danh mc Tp danh mc u t hiu qu sau iu chnh Danh mc C sau iu chnh Danh mc u t ti u sau iu chnh So sỏnh hiu qu danh mc trc v sau iu chnh Danh mc ti u khụng cú chng khoỏn phi ri ro Danh mc u t hiu qu cú bỏn khng chng khoỏn Danh mc u t C cú bỏn khng chng khoỏn Danh mc u t D cú bỏn khng chng khoỏn Kt qu c lng anpha v beta danh mc C Kt qu c lng anpha v beta danh mc D Kt qu c lng anpha v beta danh mc C; D iu kin c phộp bỏn khng chng khoỏn Kt qu c lng lch chun ca cỏc danh mc So sỏnh cỏc kt qu tớnh lch chun v h s Sharpe 19 79 80 81 82 83 85 87 89 93 95 99 99 100 102 103 104 105 106 107 108 124 127 128 128 135 136 139 141 142 DANH MC HèNH Hỡnh: 1.1 Hỡnh 1.2 Hỡnh 1.3 Hỡnh 1.4 Hỡnh 1.5 Hỡnh 1.6 Hỡnh 1.7 Hỡnh 1.8 Hỡnh 1.9 Hỡnh 1.10 Hỡnh 1.11 Hỡnh 1.12 Hỡnh 1.13 Hỡnh 1.14 Hỡnh 2.1 Hỡnh 2.2 Hỡnh 2.3 Hỡnh 2.4 Hỡnh 2.5 Hỡnh 2.6 Hỡnh 2.7 Hỡnh 2.8 Hỡnh 2.9a Hỡnh 2.9b Hỡnh 3.1 Hỡnh 3.2 Hỡnh 3.3 Hỡnh 3.4 Hỡnh 3.5 Hỡnh 3.6 Ri ro h thng v ri ro phi h thng S danh mc u t hn hp S quy trỡnh xõy dng v qun lý danh mc u t ng th trng ng th trng chng khoỏn Chng khoỏn c nh giỏ thp v nh giỏ cao ng biờn hiu ng phõn b CAL Xỏc nh danh mc u t hiu qu C ng bng quang ca nh u t Danh mc u t ti u ca nh u t Mc hiu qu danh mc H s Sharpe Mc hiu qu danh mc H s Treynor Thu nhp v ri ro ca danh mc u t So sỏnh R2 hiu chnh gia ngun d liu quan sỏt nm v nm (5 nm nm) So sỏnhR2 hiu chnh gia ngun d liuquan sỏt theo tun v theo ngy (Tun-Ngy) nm R bỡnh phng hiu chnh c lng theo ngun d liu quan sỏt nm nm, tn sut quan sỏt theo tun Beta ca cỏc c phiu ng biờn hiu qu ng biờn hiu qu, ng CAL, ng bng quang A=2 Danh mc u t ti u vi lói sut vay ln hn lói sut cho vay Danh mc u t ti u vi lói sut vay rb: 0.3846%>rf D liu th trng chng khoỏn VNINDEX D liu th trng chng khoỏn HNXINDEX ng biờn hiu qu v ng bng quang vi A=1) CAL1, CAL2, ng biờn hiu qu cú bỏn khng chng khoỏn ng th trng chng khoỏn vi chi phớ giao dch Danh mc C v danh mc D trờn ng biờn hiu qu ng SML khỏc da trờn danh mc th trng ng SML khỏc da trờn lói sut phi ri ro 24 29 32 36 42 43 44 50 51 54 55 57 58 61 74 75 76 77 87 90 92 93 95 96 125 129 130 138 144 147 9 10 M U Tớnh cp thit ca ti Th trng chng khoỏn Vit Nam t sau thnh lp v i vo hot ng n ó cú nhng úng gúp tớch cc vic thỳc y kinh t tng trng, tr thnh kờnh huy ng quan trng cho u t i vi nn kinh t nc ta Cho n nay, du cũn nhiu cn phi lm thỳc y th trng chng khoỏn phỏt trin v hon thin, ỏp ng vai trũ thu hỳt phc v chin lc cụng nghip hoỏ, hin i hoỏ t nc Song nhng kt qu t c ca th trng thi gian qua khng nh mc tiờu thit lp v a th trng chng khoỏn i vo hot ng t thp n cao phự hp vi thc tin nn kinh t Vit Nam l hng phỏt trin ỳng n nh hng phỏt trin th trng chng khoỏn nhng nm ti ca ng v Chớnh ph l tip tc to iu kin th trng chng khoỏn phỏt trin minh bch, n nh; hon thin khung phỏp lý, tng s lng v cht lng hng húa cho th trng, m rng phm vi th trng, khuyn khớch phỏt trin cỏc t chc tham gia th trng th trng chng khoỏn nc ta cú th phỏt trin mt cỏch n nh v bn vng, ngy cng tin ti chuyờn nghip thỡ bờn cnh nhng nh hng trờn, cn cú nhng gii phỏp mang tớnh k thut giỳp cỏc nh u t cú c c s khoa hc phõn tớch u t chng khoỏn, trỏnh u t theo cm tớnh, phong tro Trong ú, ng dng lý thuyt danh mc hin i xõy dng v qun lý danh mc u t c xem l mt gii phỏp Lý thuyt danh mc u t c xng t nhng nm 1950 v ng dng khỏ ph bin cỏc nc cú th trng chng khoỏn phỏt trin Tỏc dng tớch cc ca u t theo danh mc ó c khng nh cỏc nghiờn cu v kim nghim qua thc tin Trong iu kin cho phộp, u t theo 10 PHC LC A Ma trn hip phng sai danh mc c phiu KBC PAN KDC LGC LBM PET KBC 0.228940 0.103350 0.112862 0.082936 0.097611 0.062456 PAN 0.103350 0.054003 0.052816 0.038882 0.046734 0.030499 KDC 0.112862 0.052816 0.060221 0.042598 0.050883 0.033424 LGC 0.082936 0.038882 0.042598 0.036782 0.037790 0.024363 LBM 0.097611 0.046734 0.050883 0.037790 0.047380 0.029698 PET 0.062456 0.030499 0.033424 0.024363 0.029698 0.021400 PAC 0.075200 0.034876 0.038612 0.028181 0.033392 0.022124 DRC 0.002947 0.003886 0.003382 0.002212 0.004277 0.003970 MPC 0.031640 0.016458 0.017622 0.012789 0.015552 0.011009 VNM 0.003411 0.002685 0.002605 0.002120 0.002355 0.002262 PGS 0.001427 0.002883 0.002411 0.001448 0.003040 0.003355 NPS 0.002873 0.003369 0.003182 0.002020 0.003240 0.002918 CAN -0.000355 0.000023 0.000140 -0.000117 -0.000389 0.000293 PLC 0.005396 0.004406 0.004747 0.003566 0.004752 0.004491 STP 0.011004 0.007756 0.007535 0.005668 0.007876 0.006703 VDL 0.001388 0.001676 0.001650 0.001212 0.001416 0.001911 HCC 0.000761 0.002008 0.001360 0.000659 0.001848 0.002175 SD6 0.003889 0.004917 0.004091 0.003030 0.004835 0.004599 SAP 0.007916 0.00548 0.005015 0.003983 0.005178 0.004314 S55 0.00583 0.005275 0.004711 0.003688 0.005625 0.004415 228 PAC 229 DRC MPC VNM PGS NPS CAN KBC 0.075200 0.002947 0.031640 0.003411 0.001427 0.002873 -0.000355 PAN 0.034876 0.003886 0.016458 0.002685 0.002883 0.003369 0.000023 KDC 0.038612 0.003382 0.017622 0.002605 0.002411 0.003182 0.000140 LGC 0.028181 0.002212 0.012789 0.002120 0.001448 0.002020 -0.000117 LBM 0.033392 0.004277 0.015552 0.002355 0.003040 0.003240 -0.000389 PET 0.022124 0.003970 0.011009 0.002262 0.003355 0.002918 0.000293 PAC 0.029097 0.002622 0.012263 0.001904 0.001802 0.002193 -0.000215 DRC 0.002622 0.007141 0.003193 0.001659 0.004137 0.003308 0.000353 MPC 0.012263 0.003193 0.010002 0.001488 0.002679 0.003269 0.000951 VNM 0.001904 0.001659 0.001488 0.002518 0.001494 0.000991 0.000324 PGS 0.001802 0.004137 0.002679 0.001494 0.007608 0.004110 0.001354 NPS 0.002193 0.003308 0.003269 0.000991 0.004110 0.012370 0.000271 CAN -0.000215 0.000353 0.000951 0.000324 0.001354 0.000271 0.006641 PLC 0.003251 0.003318 0.003401 0.001485 0.004288 0.003009 0.000767 STP 0.005281 0.005248 0.005386 0.001658 0.005207 0.004170 0.001262 VDL 0.001322 0.001963 0.002060 0.000746 0.002419 0.001333 0.000639 HCC 0.001310 0.002511 0.001923 0.000672 0.002721 0.001860 0.000408 SD6 0.002965 0.005158 0.003959 0.001705 0.004955 0.003845 0.000744 SAP 0.003952 0.003031 0.003178 0.00134 0.003677 0.004195 0.000336 S55 0.002582 0.003983 0.003512 0.001679 0.004265 0.003136 0.000412 PLC STP VDL HCC SD6 SAP 230 S55 KBC 0.005396 0.011004 0.001388 0.000761 0.003889 0.007916 0.005830 PAN 0.004406 0.007756 0.001676 0.002008 0.004917 0.005480 0.005275 KDC 0.004747 0.007535 0.001650 0.001360 0.004091 0.005015 0.004711 LGC 0.003566 0.005668 0.001212 0.000659 0.003030 0.003983 0.003688 LBM 0.004752 0.007876 0.001416 0.001848 0.004835 0.005178 0.005625 PET 0.004491 0.006703 0.001911 0.002175 0.004599 0.004314 0.004415 PAC 0.003251 0.005281 0.001322 0.001310 0.002965 0.003952 0.002582 DRC 0.003318 0.005248 0.001963 0.002511 0.005158 0.003031 0.003983 MPC 0.003401 0.005386 0.002060 0.001923 0.003959 0.003178 0.003512 VNM 0.001485 0.001658 0.000746 0.000672 0.001705 0.001340 0.001679 PGS 0.004288 0.005207 0.002419 0.002721 0.004955 0.003677 0.004265 NPS 0.003009 0.004170 0.001333 0.001860 0.003845 0.004195 0.003136 CAN 0.000767 0.001262 0.000639 0.000408 0.000744 0.000336 0.000412 PLC 0.006378 0.004821 0.002027 0.002165 0.004824 0.002861 0.003804 STP 0.004821 0.010898 0.002645 0.003464 0.006964 0.005206 0.006005 VDL 0.002027 0.002645 0.006440 0.002061 0.002430 0.001701 0.001874 HCC 0.002165 0.003464 0.002061 0.007734 0.003083 0.002614 0.002686 SD6 0.004824 0.006964 0.002430 0.003083 0.008328 0.004006 0.005307 SAP 0.002861 0.005206 0.001701 0.002614 0.004006 0.011863 0.004496 S55 0.003804 0.006005 0.001874 0.002686 0.005307 0.004496 0.007981 (Ngun: Tớnh toỏn ca tỏc gi) B Ma trn hip phng sai danh mc c phiu iu chnh 231 MPC 232 TMS LGC PAN DRC FMC MPC 0.003081 0.000091 -0.000364 0.001227 0.001998 0.001269 TMS 0.000091 0.002736 0.000466 0.000285 0.000451 0.000454 LGC -0.000364 0.000466 0.004398 0.000267 -0.000097 0.000335 PAN 0.001227 0.000285 0.000267 0.004033 0.002006 0.001408 DRC 0.001998 0.000451 -0.000097 0.002006 0.004514 0.001750 FMC 0.001269 0.000454 0.000335 0.001408 0.001750 0.002725 VPK 0.000483 -0.000063 0.000495 0.001084 0.000963 0.000196 VNM 0.000716 0.000292 -0.000223 -0.000008 0.001218 0.000593 MHC 0.000521 0.000286 -0.000187 0.002104 0.000924 0.000902 BBC 0.001237 0.000182 -0.000050 0.001286 0.002067 0.001559 SGC 0.000439 -0.000080 -0.000147 -0.000790 0.000766 -0.000083 PJC 0.000440 0.001341 0.000000 -0.000801 -0.000351 0.000131 VDL 0.000378 0.000527 0.000570 0.000173 0.000336 0.000564 DNP 0.001583 0.000606 0.000227 0.002378 0.002859 0.001870 TNG 0.002926 0.000352 0.000189 0.003389 0.003826 0.002898 VFR 0.001989 0.000558 0.000556 0.002269 0.003279 0.002485 TCT 0.000063 0.000421 0.000424 0.000975 0.000500 0.000530 PVC 0.003123 0.000926 0.001109 0.003797 0.003844 0.003757 HHC 0.001199 0.000369 0.000140 0.002253 0.001160 0.001462 CAN 0.000460 -0.000687 0.000847 0.000857 -0.000148 -0.000046 VPK VNM MHC BBC SGC PJC VDL MPC 0.000483 0.000716 0.000521 0.001237 0.000439 0.000440 0.000378 TMS -0.000063 0.000292 0.000286 0.000182 -0.000080 0.001341 0.000527 233 LGC 0.000495 -0.000223 -0.000187 -0.000050 -0.000147 0.000000 0.000570 PAN 0.001084 -0.000008 0.002104 0.001286 -0.000790 -0.000801 0.000173 DRC 0.000963 0.001218 0.000924 0.002067 0.000766 -0.000351 0.000336 FMC 0.000196 0.000593 0.000902 0.001559 -0.000083 0.000131 0.000564 VPK 0.004183 -0.000180 0.001259 0.000375 -0.000321 0.000617 0.001172 VNM -0.000180 0.001523 -0.000306 0.000785 0.000887 -0.000063 0.000746 MHC 0.001259 -0.000306 0.006488 0.001260 -0.002102 -0.000437 -0.000179 BBC 0.000375 0.000785 0.001260 0.002759 0.000081 -0.000372 0.000557 SGC -0.000321 0.000887 -0.002102 0.000081 0.013653 0.000844 0.000724 PJC 0.000617 -0.000063 -0.000437 -0.000372 0.000844 0.013279 0.000718 VDL 0.001172 0.000746 -0.000179 0.000557 0.000724 0.000718 0.013335 DNP 0.000567 0.001116 0.001532 0.002293 0.000404 -0.000063 0.000202 TNG 0.001689 0.000747 0.003031 0.003403 -0.000850 -0.000523 -0.000465 VFR 0.002239 0.000961 0.002948 0.002915 -0.001763 0.001036 0.001232 TCT 0.000471 0.000063 -0.000126 0.000338 0.000322 0.001128 -0.001303 PVC 0.001602 0.001019 0.003460 0.002937 -0.000095 -0.001061 0.000789 HHC 0.001266 0.000303 0.002134 0.001247 0.000027 0.000815 0.001008 CAN 0.000612 -0.000694 0.000600 -0.000351 -0.003047 0.000524 0.000475 DNP TNG VFR TCT PVC HHC CAN MPC 0.001583 0.002926 0.001989 0.000063 0.003123 0.001199 0.000460 TMS 0.000606 0.000352 0.000558 0.000421 0.000926 0.000369 234 0.000687 LGC 0.000227 0.000189 0.000556 0.000424 0.001109 0.000140 0.000847 PAN 0.002378 0.003389 0.002269 0.000975 0.003797 0.002253 0.000857 DRC 0.002859 0.003826 0.003279 0.000500 0.003844 0.001160 FMC 0.001870 0.002898 0.002485 0.000530 0.003757 0.001462 VPK 0.000567 0.001689 0.002239 0.000471 0.001602 0.001266 VNM 0.001116 0.000747 0.000961 0.000063 0.001019 0.000303 MHC 0.001532 0.003031 0.002948 0.003460 0.002134 BBC 0.002293 0.003403 0.002915 0.002937 0.001247 - - 0.000850 - 0.001763 SGC PJC 0.000404 0.000063 0.000523 - 0.001036 0.000126 0.000338 0.000322 0.001128 - 0.000095 - 0.000027 0.000148 0.000046 0.000612 0.000694 0.000600 0.000351 0.003047 0.000815 0.000524 0.000789 0.001008 0.000475 0.001061 VDL 0.000202 DNP 0.004597 0.004021 0.003547 0.000590 0.004441 0.002007 TNG 0.004021 0.011881 0.005817 0.000427 0.007339 0.004329 0.000944 VFR 0.003547 0.005817 0.012066 0.005841 0.003552 0.001318 TCT 0.000590 0.000427 0.002821 0.000843 0.000364 0.000261 PVC 0.004441 0.007339 0.005841 0.000843 0.011353 0.005743 0.000635 HHC 0.002007 0.004329 0.003552 0.000364 0.005743 0.009250 0.001641 0.000944 0.001318 0.000261 0.000635 0.001641 0.007353 CAN 0.000215 235 0.000465 0.001232 - - 0.000065 0.001303 0.000065 0.000215 PH LUC A Ma trn h s tng quan danh mc c phiu KBC PAN KDC LGC LBM PET KBC 0.929487 0.961201 0.903774 0.93722 0.892289 PAN 0.929487 0.926149 0.872407 0.923908 0.897171 KDC 0.961201 0.926149 0.905091 0.952589 0.931056 LGC 0.903774 0.872407 0.905091 0.90523 0.868378 LBM 0.93722 0.923908 0.952589 0.90523 0.932674 PET 0.892289 0.897171 0.931056 0.868378 0.932674 PAC 0.921367 0.87982 0.9224 0.861417 0.899337 0.886628 DRC 0.072897 0.197868 0.163091 0.136481 0.232506 0.321121 MPC 0.661203 0.708177 0.718014 0.66677 0.714411 0.752498 VNM 0.142067 0.230238 0.211556 0.220274 0.215626 0.308125 PGS 0.034197 0.142241 0.112653 0.086583 0.160123 0.262958 NPS 0.053986 0.130358 0.116588 0.094719 0.133847 0.179377 CAN -0.0091 0.001234 0.007017 -0.00748 -0.0219 0.02458 PLC 0.141219 0.237438 0.242211 0.232809 0.273357 0.384435 STP 0.220301 0.31971 0.294143 0.28309 0.346586 0.438948 VDL 0.036147 0.089858 0.083774 0.078757 0.081084 0.162781 HCC 0.018088 0.098242 0.062999 0.039088 0.096527 0.169086 SD6 0.089061 0.231844 0.182678 0.173108 0.243425 0.344466 SAP 0.151898 0.216516 0.187611 0.190658 0.218397 0.270743 S55 0.136387 0.254072 0.214871 0.21527 0.28929 0.337831 PAC 236 DRC MPC VNM PGS NPS CAN KBC 0.921367 0.072897 0.661203 0.142067 0.034197 0.053986 -0.0091 PAN 0.87982 0.197868 0.708177 0.230238 0.142241 0.130358 0.001234 KDC 0.9224 0.163091 0.718014 0.211556 0.112653 0.116588 0.007017 LGC 0.861417 0.136481 0.66677 0.220274 0.086583 0.094719 -0.00748 LBM 0.899337 0.232506 0.714411 0.215626 0.160123 0.133847 -0.0219 PET 0.886628 0.321121 0.752498 0.308125 0.262958 0.179377 0.02458 PAC DRC 0.181879 MPC 0.718857 0.37787 VNM 0.22248 0.391232 0.296475 PGS 0.121121 0.561271 0.307107 0.341398 NPS 0.115578 0.351983 0.293886 0.177509 0.423698 CAN -0.01546 0.051301 0.116728 0.079225 0.190439 0.029947 PLC 0.23864 0.491634 0.425803 0.37068 0.615553 0.338747 0.117824 STP 0.296569 0.59493 VDL 0.096578 0.28945 0.256644 0.185372 0.345646 0.149325 0.097712 HCC 0.087355 0.337929 0.218605 0.152255 0.354771 0.190135 0.056921 SD6 0.190485 0.66883 0.433805 0.372286 0.62251 0.378826 0.10008 SAP 0.21272 0.329313 0.291735 S55 0.169402 0.527558 0.393096 0.37456 0.547354 0.315578 0.056559 PLC KBC 0.181879 0.718857 0.22248 0.121121 0.115578 -0.01546 STP 0.37787 0.391232 0.561271 0.351983 0.051301 0.296475 0.307107 0.293886 0.116728 0.341398 0.177509 0.079225 0.423698 0.190439 0.029947 0.51584 0.316431 0.571889 0.359131 0.148373 VDL 0.2452 HCC 0.387084 0.346297 0.037803 SD6 SAP S55 0.141219 0.220301 0.036147 0.018088 0.089061 0.151898 0.136387 237 PAN 0.237438 0.31971 0.089858 0.098242 0.231844 0.216516 0.254072 KDC 0.242211 0.294143 0.083774 0.062999 0.182678 0.187611 0.214871 LGC 0.232809 0.28309 0.078757 0.039088 0.173108 0.190658 0.21527 LBM 0.273357 0.346586 0.081084 0.096527 0.243425 0.218397 0.28929 PET 0.384435 0.438948 0.162781 0.169086 0.344466 0.270743 0.337831 PAC 0.23864 0.296569 0.096578 0.087355 0.190485 0.21272 0.169402 DRC 0.491634 0.59493 MPC 0.425803 0.51584 0.256644 0.218605 0.433805 0.291735 0.393096 VNM 0.37068 0.316431 0.185372 0.152255 0.372286 PGS 0.615553 0.571889 0.345646 0.354771 0.62251 0.387084 0.547354 NPS 0.338747 0.359131 0.149325 0.190135 0.378826 0.346297 0.315578 CAN 0.117824 0.148373 0.097712 0.056921 0.10008 0.037803 0.056559 PLC STP VDL HCC SD6 SAP S55 0.57829 0.28945 0.337929 0.66883 0.329313 0.527558 0.37456 0.578298 0.316319 0.308309 0.661947 0.328961 0.533148 0.31567 0.37732 0.73101 0.45781 0.64385 1 0.29199 0.33183 0.19455 0.26138 0.27288 0.29199 0.38419 0.33183 0.38419 0.40300 0.31631 0.31567 0.30830 0.37732 0.66194 0.73101 0.32896 0.45781 0.19455 0.27288 0.53314 0.64385 0.26138 0.34182 0.40300 3 0.65090 0.46200 (Ngun: Tớnh toỏn ca tỏc gi) 238 0.2452 0.34182 0.65090 0.46200 B Ma trn h s tng quan danh mc c phiu iu chnh MPC TMS LGC PAN DRC FMC MPC 0.031454 -0.098823 0.348056 0.535712 0.437850 TMS 0.031454 0.134406 0.085794 0.128386 0.166203 LGC -0.098823 0.134406 0.063373 -0.021663 0.096708 PAN 0.348056 0.085794 0.063373 0.470080 0.424659 DRC 0.535712 0.128386 -0.021663 0.470080 0.498998 FMC 0.437850 0.166203 0.096708 0.424659 0.498998 VPK 0.134591 -0.018522 0.115473 0.263990 0.221720 0.058153 VNM 0.330782 0.143131 -0.086138 -0.003142 0.464445 0.291355 MHC 0.116548 0.067900 -0.035000 0.411400 0.170650 0.214434 BBC 0.424292 0.066140 -0.014434 0.385657 0.585684 0.568485 SGC 0.067728 -0.013076 -0.018916 -0.106470 0.097587 -0.013528 PJC 0.068721 0.222536 0.000030 -0.109499 -0.045390 0.021850 VDL 0.058936 0.087297 0.074440 0.023527 0.043352 0.093565 DNP 0.420507 0.170970 0.050394 0.552229 0.627745 0.528295 TNG 0.483549 0.061738 0.026119 0.489672 0.522437 0.509246 VFR 0.326129 0.097103 0.076334 0.325328 0.444319 0.433337 TCT 0.021374 0.151617 0.120379 0.289164 0.140118 0.191290 PVC 0.528021 0.166195 0.156974 0.561225 0.536989 0.675473 HHC 0.224607 0.073340 0.021901 0.368851 0.179585 0.291220 CAN 0.096658 -0.153135 0.148958 0.157343 -0.025701 -0.010248 VPK 239 VNM MHC BBC SGC PJC VDL MPC 0.134591 0.330782 0.116548 0.424292 0.067728 0.068721 0.058936 TMS -0.018522 0.143131 0.067900 0.066140 -0.013076 0.222536 0.087297 LGC 0.115473 -0.086138 -0.035000 -0.014434 -0.018916 0.000030 0.074440 PAN 0.263990 -0.003142 0.411400 0.385657 -0.106470 -0.109499 0.023527 DRC 0.221720 0.464445 0.170650 0.585684 0.097587 -0.045390 0.043352 FMC 0.058153 0.291355 0.214434 0.568485 -0.013528 0.021850 0.093565 VPK -0.071402 0.241587 0.110301 -0.042537 0.082764 0.156913 VNM -0.071402 -0.097263 0.382902 0.194614 -0.013898 0.165557 MHC 0.241587 -0.097263 0.297720 -0.223361 -0.047110 -0.019216 BBC 0.110301 0.382902 0.297720 0.013123 -0.061407 0.091771 SGC -0.042537 0.194614 -0.223361 0.013123 0.062664 0.053633 PJC 0.082764 -0.013898 -0.047110 -0.061407 0.062664 0.053925 VDL 0.156913 0.165557 -0.019216 0.091771 0.053633 0.053925 DNP 0.129397 0.421751 0.280529 0.643996 0.051023 -0.008014 0.025760 TNG 0.239535 0.175573 0.345248 0.594446 -0.066769 -0.041626 -0.036952 VFR 0.315103 0.224317 0.333192 0.505287 -0.137342 0.081844 0.097150 TCT 0.137083 0.030216 -0.029491 0.121145 0.051845 0.184333 -0.212520 PVC 0.232505 0.245133 0.403185 0.524779 -0.007627 -0.086378 0.064092 HHC 0.203479 0.080865 0.275480 0.246852 0.002401 0.073557 0.090721 CAN 0.110302 -0.207412 0.086930 -0.077967 -0.304082 0.053028 0.047955 DNP 240 TNG VFR TCT PVC HHC CAN MPC 0.420507 0.483549 0.326129 0.021374 0.528021 0.224607 TMS 0.170970 0.061738 0.097103 0.151617 0.166195 0.073340 LGC 0.050394 0.026119 0.076334 0.120379 0.156974 0.021901 0.148958 PAN 0.552229 0.489672 0.325328 0.289164 0.561225 0.368851 0.157343 DRC 0.627745 0.522437 0.444319 0.140118 0.536989 0.179585 FMC 0.528295 0.509246 0.433337 0.191290 0.675473 0.291220 VPK 0.129397 0.239535 0.315103 0.137083 0.232505 0.203479 VNM 0.421751 0.175573 0.224317 0.030216 0.245133 0.080865 MHC 0.280529 0.345248 0.333192 0.403185 0.275480 BBC 0.643996 0.594446 0.505287 0.524779 0.246852 SGC 0.051023 - - 0.066769 - 0.137342 PJC 0.008014 0.041626 - 0.081844 0.029491 0.121145 0.051845 0.184333 - 0.007627 - 0.002401 0.153135 0.025701 0.010248 0.110302 0.207412 0.086930 0.077967 0.304082 0.073557 0.053028 0.064092 0.090721 0.047955 0.086378 VDL 0.025760 DNP 0.544166 0.476229 0.163853 0.614742 0.307840 TNG 0.544166 0.485838 0.073846 0.631954 0.412940 0.101042 VFR 0.476229 0.485838 0.499068 0.336159 0.139975 TCT 0.163853 0.073846 0.148893 0.071202 0.057376 PVC 0.614742 0.631954 0.499068 0.148893 0.560395 0.069449 HHC 0.307840 0.412940 0.336159 0.071202 0.560395 0.198956 241 0.036952 0.097150 - 0.096658 0.011130 0.212520 0.011130 0.037022 CAN 0.037022 242 0.101042 0.139975 0.057376 0.069449 0.198956
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