chuong 5 loi suat va rui ro_thay ha

8/2/2019 Chuong 5 Loi Suat Va Rui Ro_thay Ha

1/6

13-Dec-1

CHNG 5:

LI SUT V RI RO

Ni dung nghin cu

1. Khi nim li sut v ri ro2. Mi quan h gia li sut v ri ro

3. Li sut d tnh v ri ro ca mt danh mcu t gm 2 chng khon

4. Xc nh li sut yu cu d tnh ca chngkhon bng m hnh CAPM

1. Khi nim li sut v ri ro

1.1. Li sut- Li sut danh ngha

- Li sut thc

- Li sut th trng

- Li sut d tnh (k vng)

1.2.Ri ro- nh lng ri ro

- Phn loi ri ro

1.1. Khi nim li sut(Rate of Return)

L phn trm (%) chnh lch gia thu nhp tchng khon c c sau mt khong thi gian(thng l mtnm) v khonvnut ban u.

Lisutca chng khon btngun t hai ngunthu nhp:

Li nhk(Ctc, tri tc)Li vn (Chnh lch gi bn v gi mua)

1.1. Khi nim li sut(Rate of Return)

1 01

0 0

P PDR

P P

T l lic tc

T l liVn

Li sut danh ngha v li sut thc

Lisutdanh ngha cho bit nh u ts

c bao nhiu tin sau mtnmnuhutvo hm nay

Li sut thc cho bit sc mua ca khonu t ban u tng ln bao nhiu sau mtnm


2/6

13-Dec-1

Hiu ng Fisher

Li sut danh ngha v li sut thc V d 1

Mt nh ut mua cphiuca cng ty AIGvo unmvi gi $102/cphiu. Cuinm

gi c phiu ny tng ln $155/c phiu vtrong nm AIG trctc l 1.46/cphiu.Tnh lisutcacphiu AIG?

V d 2:

Cng vi v d trn v AIG, nu lm pht canm 1999 l 2.7% th li sut thc c tnhnh sau:

Li sut th trng (Rm)

1

n

m i i

i

R w R

1

i i

i n

j j

j

P qw

P q

wil t trng ca c phiu i trn th trng

Pjl gi c phiu j

qjl lng c phiu j trn th trng

Rml li sut th trng

D tnh E(R) (Expected return)

Li sut k vngc tnh ton da trn c s d liu

thng k trong qu kh

1

1

1

n

i i i

i

n

i

i

E R p R

p

Pi l xc sut khi li sut l Ri

n

R

RE

n

i

i 1)(

1.2. Khi nim ri ro (Risk)

Ri ro trong utchng khon l khnng

xy ra ngoi dkin lm lisutthct khclisutdkin Kh nng sai bit cng cao v gi tr chnh

lch cng ln th ri ro cng caoQuan nim c: Ri ro l kh nng lm li sutgim so vi li sutd tnhQuan nimmi: Ri ro l khnng lm li sutlch so vi li sutd tnh


3/6

13-Dec-1

o lng ri ro

Ri ro c xc nh bng lch chun

Cng thc xc nh lch chun:

2

1

( )n

i i

i

p R E R

pil xc sutxy ra khi li

sut l Ri

E(R) l lisut kvng

o lng ri ro

lch chun phn nh mc chnh lch

trung bnh gia li sut k vng v li sutthct.

Nulchchun cng cao th chnh lchtrung bnh cng cao v ri ro cng ln.

V d 3: V d 3:

XYZ

( 4% - 10%)2 (0.2) = 7.2

(10% - 10%)2 (0.5) = 0

(14% - 10%)2 (0.3) = 4.8

Variance = 12

Stand. dev. = 3.46%

XYZ

( 4% - 10%)2 (0.2) = 7.2

(10% - 10%)2 (0.5) = 0

(14% - 10%)2 (0.3) = 4.8

Variance = 12

Stand. dev. = 3.46%

V d 3:

ABC

(-10% - 14%)2 (0.2) = 115.2

(14% - 14%)2 (0.5) = 0

(30% - 14%)2 (0.3) = 76.8

Variance = 192

Stand. dev. = 13.86 %

V d 3:


4/6

13-Dec-1

o lng ri ro

Da trn E(R) v vnchath ni nh utschnloichng khon no.

Quyt nh li ph thuc vo mc chpnhnri ro cami nh ut

Mts nh u t tnh chs/E(R)ara quytnhut

C cu ri ro trong u t CK

Ri ro lm pht/sc mua

Ri ro li sutRi ro th trng

Khch hng thay i th hiu Gi nguyn vt liu tng caonh cng

RI RO H THNG

RI RO PHI H THNG

RI RO

Bin php gim ri ro

Cng nhiu chng khontrong danh mc u t, ri ro cng gim

2. Mi quan h gia li sut v ri ro

Quan h gia ri ro v li sut

Risk-Return

0.00%

5.00%

10.00%

15.00%

20.00%

0.00% 10.00% 20.00% 30.00% 40.00%

Standard Deviation

AverageReturn

Small-Company Sto cks

T-Bills

Corporate Bonds

T-Bonds

Large-Company Stocks

3. Li sut d tnh v ri ro ca mt DMT(gm 2 chng khon)

Li sut d tnh ca 1 DMT

Ri ro ca 1 DMT

L thuyt a dng ho DMT ca Markowitz


5/6

13-Dec-1

Li sut d tnh v ri roca danh mc u t

Lisutd tnh ca mt DMT l bnh qun giaquyn (theo t trong vn u t vo tng loi ti

sn,khiu w) ca lisut thu ctmichngkhon trong danh mcut.

Gi s mt danh mc c hai chng khon vi ttrngcamiloi trong danh mcut l 50% vlisutc tnh tngng l 10.5% v 5% th lisutc tnh ca danh mcut l:

E(Rp) = 0.5 x 10.5 + 0.5 x 5 = 7.75%

Li sut d tnh v ri ro cadanh mc u t

i vi danh mc u t c 2 chng khon

1 1 2 2

2 2 2 2

1 1 2 2 12 1 2 1 2

12

( ) ( ) ( )2

1 1

p

p

E R w E R w E Rw w w w

12 H s tng quan gia 2 chng khon

Hip phng sai (covariance)

o s bin thin cng nhau ca 2 bin ngu nhin(li sut ca 2 chng khon)

Cov(R1,R2) > 0 : Hai chng khon bin ng cngchiu vi nhau

Cov(R1,R2) < 0 : Hai chng khon bin ng ngcchiu vi nhau

))())(((),cov( 221121 RERRERERR ))())(((),cov( 221121 RERRERERR ))())(((),cov( 221121 RERRERERR

))())(((),cov( 221121 RERRERERR

H s tng quan (Correlation)

12 = corr(R1, R2) = cov(R1, R2)/1 . 2

12 = 1 Hai chng khon hon ton c giao ngging nhau

12 = -1 Hai chng khon quan h hon ton

ngc chiu nhau12 = 0 Hai chng khon khng c tng quan vi

nhau

V d

Mt nh u t mun lp mt danh mc u t gm

25% vn mua cphiu A v 75% mua B. 2 cphiu nyc hstng quan =0.5. Tnh lisutd tnh v riro ca danh mcut.

A B

Li sut d tnh 10% 15%

lch chun 5 6

Bin php gim ri ro

Ri ro khng h thngsgim khi u t vo

mt danh mc u t (t nht 2 loi chngkhon).

Lachn hai chng khon c lisutbinitheo hngngcchiu nhau.

Cng nhiu loi chng khon trong danh mcut th ri ro khng hthng cng gim.


6/6

13-Dec-1

D tnh E(R) bng m hnhCAPM

E(R) c tnh da trn:

Li sut tri phiu chnh ph (R f)

Li sut th trng (Rm)Beta

( ) s risk free s Market risk freek R R R

o lng ri ro th trng

Beta: l chsphn nh ri ro th trngcamtcphiu.

Beta cho bit li sut ca mt c phiu binng nh th no so vi li sut ca thtrng

Cc nh u t c th d on beta thngqua cc s liu qu kh cc li sut ca thtrng v cacphiu

i=im/m2

Gi nh ca CAPM

Th trng hiu qu

Nh u t lun s hu mt danh mc u ta dng ha

Kt qu ca m hnh CAPM

Mun c lisutd tnh cao, nh utphisn sng chpnhnri ro ln

Nu khng shumt danh mcu tadng ha, nh u tsphichumtphnri ro phi h thng m khng c b pbng li sut

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