Do markowitz and sharpe models improve investment performance of an investor in vietnamese stock market

DO MARKOWITZ AND SHARPE MODELS IMPROVE INVESTMENT PERFORMANCE OF AN INVESTOR IN VIETNAMESE STOCK MARKET? Subm itted by Hung Manh Do A th e s is su b m itted as a req u irem en t fo r th e d eg re e o f B a c h e lo r o f B usiness A d m in istra tio n ,BUN8^ (£5) ĨHỞNGTINĩhưviện 'M NN-VHHƯỚCNGOÁI A ẩ M - Hanoi ưniversity Faculty o f M anagem ent and Tourism H anoi D ecem b er 0 D e c e m b e r 2008 G rad uatio n thesis ABSTRACT The current context o f Vietnamese market is fa r from the efficient level due lo such shortage o f /ìnancial advisors, least trading o f government securities, dominance o f some types o f market, rumour trading and so forth This síudy is to make a small contribution to the invesíing world o f Vietnam by iníroducing a powerful “tool" which may help improve the investors’ investment decisions without affecting the reíurn Within just about 10,000 words, the research paper is elaborating alỉ the theories as vvell as procedures so as to figure out optimal porựolios in which investors are recommended to invesl in Also, the paper is equippìng investors with a very popular spreadsheet to handỉe aỉl the complicated tasks - Excel The research paper is hoped to bring about a new approach to the investing society o f Vietnam G r a d u a tio n thesis _ _ _ _ D e c e m b e r 2008 STATEMENT OF AUTHORSH1p "Except where reference is made in the text of the thesis, this thesis contains no material published elsewhere or extracted in \vhole or in part from a thesis or any other degree or diploma No other person's work has been used vvithout due acknovvledgment in the main text of the thesis This thesis has not been submitted for the award of any degree or diploma in any other tertiary institution." Student signature C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an D e c e m b e r 008 G r a d u a tio n thesis ACKNOWLEDGEMENTS I am indebted to Ms Phuong - my guiding teacher, for all the things that she has helped me; vvithout her help and encouragement, this paper cannot tum out to be a vvhole I also indebted to her enthusiastic lectures and concems during the past four year period which has helped me accumulate a lot of understandings, which is the springboard for my íuture jobs I would like to extend my greatest thanks and appreciation to all the teachers of the faculty, who have taught me during the last four years For all your enthusiasm, exciting and interesting lectures, all your considerateness, I never íorget and never feel enough to say thank you In here, I like to send my most whole-hearted thanks to all of my íriends - the ones who have stood by me for the whole course sharing with me the ups and downs of tertiary studies and aỉl happiness as well as soưovv Withouí you alỉ, I would have be none o f mine todayỉ Thankyou, mybeloved! Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an G d u a tio n thesis D e c e m b e r 2008 TABLE OF CONTENT ABSTRACT i STATEMENT OF AUTHORSHIP ii ACKNOWLEDGEMENTS iii TABLE OF CONTENT iv INTRODUCTION 1.1 Background Overview .1 12 Research Signiíícance .3 1.2.1 Vietnamese Stock Market Review 1.2.2 Research Signiíìcance 1.3 Organisation of the Research Literature Review 2.1 Harry M Markowitz and Portíịlio Selection Model 2.1.1 Original Idea on Portíolio Analysis 2.1.2 Markowitz Portfolio Selection Model 11 2.1.3 Diversiíication in Markowitz M odel 13 2.2 Markowitz Model: Mean-Variance Portfolio Selection (Risk andReward)16 2.3 Sharpe Model o f Portfolio Optimisation 19 RESEARCH METHODOLOGY 19 3.1 Revievv of Studies in Vietnamese Stock Market 19 3.2 The Research’s Hypotheses 20 3.3 Sampling and Method of Analysis 21 3.4 Procedures of forming optimal portfolios under Markowitz model 22 3.5 Procedures of íịrming an optimal portíblio under Sharpe model 23 3.6 Procedures of Forming Optimal Portfolios by Using Excel 24 RESEARCH FINDINGS - ANALYSIS AND DISCUSSION 33 4.1 Findings under the Case of Markowitz Model 33 4.1.1 Retum and Risk of Individual Securities and the M arket 33 4.1.2 Selectìon o f Two-stock Portfolios 35 4.1.3 Calcuỉation of Portfolio Weights, Retum and Standard deviation .36 4.1.4 Identiíĩcation of Efficient Sets .36 1.5 Ranking of Eíĩícient Sets 38 4.2 Findings under the Case o f Sharpe Model 39 4.2.1 The Optimal Portfolio under Sharpe Model 39 4.3 Optimal Portfolios Formed by Application of Optimising Modelin Excel 41 4.4 Discussion on Research vveaknesses 48 4.5 Research Implications .51 RECOMMENDED FUTURE RESEARCH OPPOTƯNITIES 53 CONCLUSION 55 Annex 56 References 57 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn iv C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an D e c e m b e r 2008 G d u a tio n thesis USJ OI K,l iu.s Figure 1: Statistics of Listed Stocks Figure 2: Market Capitalisation per GDP .5 Figure 3: Markowitz Portfolio Selection 12 Figure 4: Relationship between expected retum and SD of retum for vanous coưelations 15 Figure 5: Eíĩicient Frontier and Indifference Curve 17 Figure 6: Excel Add-ins 25 Figure 7: Add-in Dialogue Box 25 Figure 8: Excel Data Analysis 26 Figure 9: Data Analysis Box 26 Figure 10: Correlation Dialogue B ox 27 Figure 11: Coưeỉation Matrix 28 Figure 12: niustration of Portíolio Variance Formula 30 Figure 13: Solver 31 Figure 14: Solver Parameters 32 Figure 15: Eíĩĩcient Frontier of Two-stock Portfolios under Markowitz Theory 37 Figure 17: Solver Options 46 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn V C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C h a p te r I - Introduction INTRODUCTION 1.1 Background Overview Is there any scholar of Finance who does not know what Finance is? Is there any investor putting their money into the stock market who does not know the very old adage: D o n ’t p u t all the eggs into one basketì Is there any investor, vvho knows about the saying “high risk, high retum ”, but does not know that they can reduce their risk exposure without affecting their retum on investment? If the answer to most o f these questions is YES, then the origination o f this study is a very suitable key to solve the seem-to-be-so-clear puzzle A s someone might think o f it, Finance is a branch o f social sciences - a combination o f Mathematics and Economics Yet, Finance is such an immense íĩeld that not all in-the-fíeld scholars or investors could have a deep understanding and rigid master o f it; howevei/M > < 0 00 73 m -T3 X > m C/3 '/ K> CN c I o G a r~ ■t3 X > 03 H Ó H c< 03 “O n * / ri n n n n n ọ> ọ> o> o* ọ> cro Ơ Q00 ơo Ơ Q ^ >3 *ny °Ox o- o bi < o■> T3 "P -ri *p o * 3=r < Q* 3 ƠQ ãĐằ < â ằ t-+ ã* ỢQ •r fc> H 0Q *3 5' oq KEXXXXXKX (TOWOQ(WỮQƠQ(ra(RƠQ p i> |\T » p > p i r* r t r-* »-*> o> rt» fD» fo » £y< p v r* rt» pj-» p i, p , ^ r* ^ o» r t> ÍD> c c c c c c c c c ạ o a a ạ a a C' C' C' C' C' C' c* C' cJ3 J ? j= ? J? 5 =? 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77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn o NJ Kì k3 o p p o Ơ N ist• K> — o 00 Annex 7: Calculation of Cut-off Rates £ C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an D e c e m b c r 2008 G rad u atio n Thesis Reterences Allen, F., Morris, s 1998, ‘Finance Applications o f Game T heory’, viewed November 2008, Wharton University o f Pennsylvania, < http://fic.w harton.upenn.edu/fìc/papers/9 8/9823 p d f> Bodie, z., Kane, A & Marcus, A J (2005) Investments 6th Edn, Boston McGraw-HilI Báo cáo phân tích thị trường chứng khoán Việt Nam tháng năm 2008, VDSC, vievved November 2008, http://www.vdsc.com.vn/lntroduction/SearchResult.aspx> Beste, A., Leventhal, D., Williams, J., D r Qin Lu 2002, ‘The M arkowitz Model: Selecting an Efficient Investment Portíịlio’, Lafayette C ollege Mathematics R E U Program, vievved Novem ber 2008, Davis, J L 2001, ‘Explaining Stock Retums: A Literature Survey’, D im ensionalFundA dvìsors Inc., viewed Novem ber 2008, < http://www.ifa.com/Library/Support/Articles/Scholarly/ExplainingStockRetur ns.pdf> Chang, A K., Chen, c , ‘Applying Grey Forecasting M odel on the Investm ent Performance o f Markowitz EíTiciency Frontier: A Case o f tíie M SCI W orld Index’, viewed Novem ber 2008, Elton, E J., Gruber, M J., Padberg M w (1976) Simple C riteria For Optimal Portíolio Selection TheJournal ofFinance, 31, (5) Favre, L G a le a n o , J (2002) Mean -m odiĩied Value-at-Risk optim ization W iứi Hedge Funds Joum al o fA ltem a tìve Investment, Goldstein, L J., Lay, D c , Schenider, D I (1999) Calculus and Its Applications 8* edn, Prentice Hall Gụjarati, D N (2003) Basic Econometrics 4* edn, McGraw-Hill Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Cìraduation T h esis D e c e m b e r 2('08 Hartley, M., Gurdip, Bakshi, G s 1998, ‘Markowitz Model of Portíblio Selection: The Inverse Problem ’, viewed November 2008 http://www.rhsmith.umd.edu/faculty/gbakshi/Hartleyl.pdf> Information on interest rate,SBV,viewed 27th October 2008 < http://www.sbv.gov.vn/vn/CdeCSTT-TD/tracuu.jsp> Kaplan, p 1998, ‘Asset Allocation M odels Using the Markowitz Approach’, M om ingstar, viewed Novem ber 2008, < http://corporate.momingstar.com/ib/html/pdf.hùn? /documents/MethodologyD ocuments/IBB Associates/MarkowitzApproach pdf> Kheirollah, A., Bjăm bo, o 2007, ‘A Quantitative Risk Optimization o f Markowitz Model: An Empirical Investigation on Svvedish Large Cap List’, diva-portaỉ, viewed 12 October 2008, Konno, H., Yamazaki, H (1991) M ean-Absolute Deviation Portfolio Optimization Model and Its Appilcations to Tokyo Stock Market M anagement Science, 37, (5), 519-531 Shachmurove, Y 1997, ‘Formulating Optimal Portíolios in South American Stock M arkets’, CARESS ĩVorking P aper 97-06, viewd Novem ber 2008, < http://www.econ.upenn.edWCenters/CARESS/CARESSpdf/97-06.pdf> Markowitz, H M (1952) Portíblio Selection The J o u m a ỉ ofFinance, 7, (1), 77-91 Markowitz, H M (1956) The optim ization o f a quadratic íiinction subject to linear constraints Naval Research Logistics Quarterly, Markowitz, H M (1959) Portíịlio Selection: E ổícient Diversiĩication o f Investments W iley, Yale University Press, 1970, Basil Blackwell, 1991 Markowitz, H M (1987), ‘M ean-Variance Analysis in Portíolio Choice and Capital M arkets’, viewed 10 October 2008, Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn