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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
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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
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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:
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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
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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.
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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