I can add shadow to widget:
QGraphicsDropShadowEffect *bodyShadow = new QGraphicsDropShadowEffect;
bodyShadow->setBlurRadius(9.0);
bodyShadow->setColor(QColor(0, 0, 0, 160));
bodyShadow->setOffset(4.0);
ui->widget->setGraphicsEffect(bodyShadow);
But this shadow will be only at left and down. I need shadow around widget. How to add this?
You can create your custom effect. I'll share an implementation that works.
customshadoweffect.h
#ifndef CUSTOMSHADOWEFFECT_H
#define CUSTOMSHADOWEFFECT_H
#include <QGraphicsDropShadowEffect>
#include <QGraphicsEffect>
class CustomShadowEffect : public QGraphicsEffect
{
    Q_OBJECT
public:
    explicit CustomShadowEffect(QObject *parent = 0);
    void draw(QPainter* painter);
    QRectF boundingRectFor(const QRectF& rect) const;
    inline void setDistance(qreal distance) { _distance = distance; updateBoundingRect(); }
    inline qreal distance() const { return _distance; }
    inline void setBlurRadius(qreal blurRadius) { _blurRadius = blurRadius; updateBoundingRect(); }
    inline qreal blurRadius() const { return _blurRadius; }
    inline void setColor(const QColor& color) { _color = color; }
    inline QColor color() const { return _color; }
private:
    qreal  _distance;
    qreal  _blurRadius;
    QColor _color;
};
#endif // CUSTOMSHADOWEFFECT_H
customshadoweffect.cpp
#include "customshadoweffect.h"
#include <QPainter>
// #include <QGraphicsEffect>
CustomShadowEffect::CustomShadowEffect(QObject *parent) :
    QGraphicsEffect(parent),
    _distance(4.0f),
    _blurRadius(10.0f),
    _color(0, 0, 0, 80)
{
}
QT_BEGIN_NAMESPACE
  extern Q_WIDGETS_EXPORT void qt_blurImage(QPainter *p, QImage &blurImage, qreal radius, bool quality, bool alphaOnly, int transposed = 0 );
QT_END_NAMESPACE
void CustomShadowEffect::draw(QPainter* painter)
{
    // if nothing to show outside the item, just draw source
    if ((blurRadius() + distance()) <= 0) {
        drawSource(painter);
        return;
    }
    PixmapPadMode mode = QGraphicsEffect::PadToEffectiveBoundingRect;
    QPoint offset;
    const QPixmap px = sourcePixmap(Qt::DeviceCoordinates, &offset, mode);
    // return if no source
    if (px.isNull())
        return;
    // save world transform
    QTransform restoreTransform = painter->worldTransform();
    painter->setWorldTransform(QTransform());
    // Calculate size for the background image
    QSize szi(px.size().width() + 2 * distance(), px.size().height() + 2 * distance());
    QImage tmp(szi, QImage::Format_ARGB32_Premultiplied);
    QPixmap scaled = px.scaled(szi);
    tmp.fill(0);
    QPainter tmpPainter(&tmp);
    tmpPainter.setCompositionMode(QPainter::CompositionMode_Source);
    tmpPainter.drawPixmap(QPointF(-distance(), -distance()), scaled);
    tmpPainter.end();
    // blur the alpha channel
    QImage blurred(tmp.size(), QImage::Format_ARGB32_Premultiplied);
    blurred.fill(0);
    QPainter blurPainter(&blurred);
    qt_blurImage(&blurPainter, tmp, blurRadius(), false, true);
    blurPainter.end();
    tmp = blurred;
    // blacken the image...
    tmpPainter.begin(&tmp);
    tmpPainter.setCompositionMode(QPainter::CompositionMode_SourceIn);
    tmpPainter.fillRect(tmp.rect(), color());
    tmpPainter.end();
    // draw the blurred shadow...
    painter->drawImage(offset, tmp);
    // draw the actual pixmap...
    painter->drawPixmap(offset, px, QRectF());
    // restore world transform
    painter->setWorldTransform(restoreTransform);
}
QRectF CustomShadowEffect::boundingRectFor(const QRectF& rect) const
{
    qreal delta = blurRadius() + distance();
    return rect.united(rect.adjusted(-delta, -delta, delta, delta));
}
Applying it (to a graphics item):
// ...
CustomShadowEffect *bodyShadow = new CustomShadowEffect();
bodyShadow->setBlurRadius(20.0);
bodyShadow->setDistance(6.0);
bodyShadow->setColor(QColor(0, 0, 0, 80));
item->setGraphicsEffect(bodyShadow);
// ...
Applying it (to a child widget):
//...
CustomShadowEffect *bodyShadow = new CustomShadowEffect();
bodyShadow->setBlurRadius(20.0);
bodyShadow->setDistance(6.0);
bodyShadow->setColor(QColor(0, 0, 0, 80));
ui->widget->setAutoFillBackground(true);
ui->widget->setGraphicsEffect(bodyShadow);
// ...
Result:

I love mhcuervo's example of how to implement a custom effect. That said, fwiw, I was able to get a shadow around the child widget using your code, an offset of 0, and a large enough blur radius to spread it out around the child widget. (this, using Qt 5.4).
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