Kh\u00e1i ni\u1ec7m <\/b> <\/p>\n
Covariance <\/b> Ti\u1ebfng Anh l\u00e0 Covariance. <\/p>\n
Hi\u1ec7p ph\u01b0\u01a1ng sai <\/b> \u0111o l\u01b0\u1eddng m\u1ed1i quan h\u1ec7 c\u00f3 \u0111\u1ecbnh h\u01b0\u1edbng gi\u1eefa l\u1ee3i nhu\u1eadn c\u1ee7a hai t\u00e0i s\u1ea3n. Hi\u1ec7p ph\u01b0\u01a1ng sai d\u01b0\u01a1ng c\u00f3 ngh\u0129a l\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a hai t\u00e0i s\u1ea3n di chuy\u1ec3n c\u00f9ng nhau, trong khi hi\u1ec7p ph\u01b0\u01a1ng sai \u00e2m c\u00f3 ngh\u0129a l\u00e0 ch\u00fang chuy\u1ec3n \u0111\u1ed9ng ng\u01b0\u1ee3c chi\u1ec1u nhau. <\/p>\n
Ph\u01b0\u01a1ng sai \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng c\u00e1ch ph\u00e2n t\u00edch s\u1ef1 thay \u0111\u1ed5i c\u1ee7a l\u00e3i su\u1ea5t (\u0111\u1ed9 l\u1ec7ch chu\u1ea9n so v\u1edbi l\u1ee3i nhu\u1eadn k\u1ef3 v\u1ecdng) ho\u1eb7c m\u1ed1i t\u01b0\u01a1ng quan gi\u1eefa hai bi\u1ebfn nh\u00e2n v\u1edbi \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a m\u1ed7i bi\u1ebfn. <\/p>\n
hi\u1ec7p ph\u01b0\u01a1ng sai <\/b> x\u00e1c \u0111\u1ecbnh c\u00e1ch ph\u01b0\u01a1ng ti\u1ec7n c\u1ee7a hai bi\u1ebfn di chuy\u1ec3n c\u00f9ng nhau. C\u1ed5 phi\u1ebfu \u0111\u01b0\u1ee3c cho l\u00e0 c\u00f3 hi\u1ec7p ph\u01b0\u01a1ng sai d\u01b0\u01a1ng n\u1ebfu l\u1ee3i t\u1ee9c c\u1ee7a c\u1ed5 phi\u1ebfu A t\u0103ng khi l\u1ee3i t\u1ee9c c\u1ee7a c\u1ed5 phi\u1ebfu B t\u0103ng, v\u00e0 hi\u1ec7n t\u01b0\u1ee3ng t\u01b0\u01a1ng t\u1ef1 c\u0169ng x\u1ea3y ra khi l\u1ee3i nhu\u1eadn c\u1ee7a m\u1ed7i c\u1ed5 phi\u1ebfu gi\u1ea3m. Trong t\u00e0i ch\u00ednh, hi\u1ec7p ph\u01b0\u01a1ng sai \u0111\u01b0\u1ee3c t\u00ednh to\u00e1n \u0111\u1ec3 gi\u00fap \u0111a d\u1ea1ng h\u00f3a vi\u1ec7c n\u1eafm gi\u1eef c\u1ed5 phi\u1ebfu. <\/p>\n
Khi m\u1ed9t nh\u00e0 ph\u00e2n t\u00edch c\u00f3 m\u1ed9t t\u1eadp h\u1ee3p d\u1eef li\u1ec7u, m\u1ed9t c\u1eb7p gi\u00e1 tr\u1ecb x v\u00e0 y v\u00e0 hi\u1ec7p ph\u01b0\u01a1ng sai, n\u00f3 c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng 5 bi\u1ebfn t\u1eeb d\u1eef li\u1ec7u \u0111\u00f3. C\u00f4ng th\u1ee9c l\u00e0: <\/p>\n
Cov (x, y) = SUM [(xi – xm) * (yi – ym)] \/ (n – 1) <\/b> <\/p>\n
xi = gi\u00e1 tr\u1ecb x \u0111\u00e3 cho trong t\u1eadp d\u1eef li\u1ec7u <\/p>\n
xm = gi\u00e1 tr\u1ecb trung b\u00ecnh ho\u1eb7c gi\u00e1 tr\u1ecb trung b\u00ecnh c\u1ee7a c\u00e1c gi\u00e1 tr\u1ecb x <\/p>\n
yi = gi\u00e1 tr\u1ecb y trong t\u1eadp d\u1eef li\u1ec7u t\u01b0\u01a1ng \u1ee9ng v\u1edbi xi <\/p>\n
p> <\/p>\n
ym = gi\u00e1 tr\u1ecb trung b\u00ecnh ho\u1eb7c gi\u00e1 tr\u1ecb trung b\u00ecnh c\u1ee7a c\u00e1c gi\u00e1 tr\u1ecb y <\/p>\n
n = s\u1ed1 \u0111i\u1ec3m d\u1eef li\u1ec7u <\/p>\n
hi\u1ec7p ph\u01b0\u01a1ng sai trong t\u00e0i ch\u00ednh v\u00e0 L\u00fd thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 hi\u1ec7n \u0111\u1ea1i <\/b>. V\u00ed d\u1ee5: trong M\u00f4 h\u00ecnh \u0110\u1ecbnh gi\u00e1 T\u00e0i s\u1ea3n V\u1ed1n (CAPM) <\/b>, \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 t\u00ednh l\u1ee3i t\u1ee9c k\u1ef3 v\u1ecdng c\u1ee7a m\u1ed9t t\u00e0i s\u1ea3n, hi\u1ec7p ph\u01b0\u01a1ng sai gi\u1eefa ch\u1ee9ng kho\u00e1n v\u00e0 th\u1ecb tr\u01b0\u1eddng \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 t\u00ednh l\u1ee3i t\u1ee9c k\u1ef3 v\u1ecdng. T\u00ednh to\u00e1n bi\u1ebfn ch\u00ednh cho m\u1ed9t m\u00f4 h\u00ecnh, beta (\u03b2). <\/b> <\/p>\n
Trong CAPM, beta \u0111o l\u01b0\u1eddng s\u1ef1 bi\u1ebfn \u0111\u1ed9ng c\u1ee7a ch\u1ee9ng kho\u00e1n ho\u1eb7c r\u1ee7i ro c\u00f3 h\u1ec7 th\u1ed1ng so v\u1edbi th\u1ecb tr\u01b0\u1eddng t\u1ed5ng th\u1ec3, m\u1ed9t v\u00ed d\u1ee5 th\u1ef1c t\u1ebf v\u1ec1 vi\u1ec7c s\u1eed d\u1ee5ng hi\u1ec7p ph\u01b0\u01a1ng sai \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 m\u1ee9c \u0111\u1ed9 r\u1ee7i ro c\u1ee7a nh\u00e0 \u0111\u1ea7u t\u01b0 <\/p>\n
T\u1ea1i \u0111\u1ed3ng th\u1eddi, l\u00fd thuy\u1ebft danh m\u1ee5c \u0111\u1ea7u t\u01b0 s\u1eed d\u1ee5ng hi\u1ec7p ph\u01b0\u01a1ng sai \u0111\u1ec3 gi\u1ea3m r\u1ee7i ro t\u1ed5ng th\u1ec3 c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0. \u0110\u1ea7u t\u01b0 b\u1eb1ng c\u00e1ch lo\u1ea1i b\u1ecf s\u1ef1 bi\u1ebfn \u0111\u1ed9ng b\u1eb1ng c\u00e1ch \u0111a d\u1ea1ng h\u00f3a th\u00f4ng tin t\u1eeb hi\u1ec7p ph\u01b0\u01a1ng sai. <\/p>\n
Gi\u1ea3 s\u1eed c\u00e1c nh\u00e0 ph\u00e2n t\u00edch t\u1ea1i m\u1ed9t c\u00f4ng ty c\u00f3 t\u1eadp d\u1eef li\u1ec7u 5 qu\u00fd cho th\u1ea5y m\u1ee9c t\u0103ng tr\u01b0\u1edfng t\u1ed5ng s\u1ea3n ph\u1ea9m qu\u1ed1c n\u1ed9i (GDP) h\u00e0ng qu\u00fd theo t\u1ef7 l\u1ec7 ph\u1ea7n tr\u0103m (x) v\u00e0 hi\u1ec3n th\u1ecb m\u1ee9c t\u0103ng tr\u01b0\u1edfng d\u00f2ng s\u1ea3n ph\u1ea9m m\u1edbi c\u1ee7a c\u00f4ng ty d\u01b0\u1edbi d\u1ea1ng ph\u1ea7n tr\u0103m (y). T\u1eadp d\u1eef li\u1ec7u c\u00f3 th\u1ec3 tr\u00f4ng gi\u1ed1ng nh\u01b0 sau: <\/p>\n
Q1: x = 2, y = 10 <\/p>\n
Q2: x = 3, y = 14 <\/p>\n
Q3: x = 2,7, y = 12 <\/p>\n
Q4: x = 3,2, y = 15 <\/p>\n
Q5: x = 4,1, y = 20 <\/p>\n
Gi\u00e1 tr\u1ecb x trung b\u00ecnh l\u00e0 3 y M\u1ee9c trung b\u00ecnh l\u00e0 14,2. \u0110\u1ec3 t\u00ednh hi\u1ec7p ph\u01b0\u01a1ng sai, h\u00e3y c\u1ed9ng c\u00e1c gi\u00e1 tr\u1ecb xi tr\u1eeb \u0111i gi\u00e1 tr\u1ecb trung b\u00ecnh x, nh\u00e2n v\u1edbi gi\u00e1 tr\u1ecb yi tr\u1eeb \u0111i gi\u00e1 tr\u1ecb trung b\u00ecnh y v\u00e0 chia cho (n-1), nh\u01b0 sau: <\/p>\n
Cov (x, y ) = ((2 – 3) x (10 – 14,2) (3 – 3) x (14 – 14,2) … (4,1 – 3) x (20 – 14,2)) \/ 4 = (4,2 0 0,66 0,16 6,38) \/ 4 = 2,85 <\/p>\n
Khi k\u1ebft qu\u1ea3 c\u1ee7a hi\u1ec7p ph\u01b0\u01a1ng sai <\/b> l\u00e0 d\u01b0\u01a1ng, c\u00e1c nh\u00e0 ph\u00e2n t\u00edch c\u00f3 th\u1ec3 n\u00f3i r\u1eb1ng t\u0103ng tr\u01b0\u1edfng trong d\u00f2ng s\u1ea3n ph\u1ea9m m\u1edbi c\u1ee7a c\u00f4ng ty c\u00f3 t\u01b0\u01a1ng quan thu\u1eadn v\u1edbi t\u0103ng tr\u01b0\u1edfng GDP h\u00e0ng qu\u00fd. <\/p>\n
(theo Investopedia <\/i>) <\/p>\n
.<\/p>\n","protected":false},"excerpt":{"rendered":"
Covariance Kh\u00e1i ni\u1ec7m Covariance Ti\u1ebfng Anh l\u00e0 Covariance. Hi\u1ec7p ph\u01b0\u01a1ng sai \u0111o l\u01b0\u1eddng m\u1ed1i quan h\u1ec7 c\u00f3 \u0111\u1ecbnh h\u01b0\u1edbng gi\u1eefa l\u1ee3i nhu\u1eadn c\u1ee7a hai t\u00e0i s\u1ea3n. Hi\u1ec7p ph\u01b0\u01a1ng sai d\u01b0\u01a1ng c\u00f3 ngh\u0129a l\u00e0 l\u1ee3i nhu\u1eadn c\u1ee7a hai t\u00e0i s\u1ea3n di chuy\u1ec3n c\u00f9ng nhau, trong khi hi\u1ec7p ph\u01b0\u01a1ng sai \u00e2m c\u00f3 ngh\u0129a l\u00e0 ch\u00fang chuy\u1ec3n \u0111\u1ed9ng…<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[44],"tags":[],"_links":{"self":[{"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/posts\/88484"}],"collection":[{"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/comments?post=88484"}],"version-history":[{"count":0,"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/posts\/88484\/revisions"}],"wp:attachment":[{"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/media?parent=88484"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/categories?post=88484"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/httl.com.vn\/wiki\/wp-json\/wp\/v2\/tags?post=88484"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}