THI U T TI CHNH

Cu 1: Hy lun gii gia m hnh CAPM v m hnh APT trong vic cc i ho thu
nhp ca cc nh u t theo mc ri ro? Hy nu ngha ca vic la chn cc
tham s ph hp vi m hnh APT? im hn ch ca m hnh APT l g?
Cu 2: Trong qun tr danh mc u t theo CAPM, th no l danh mc th trng M,
ng SML l g? ngha ca danh mc M, ng SML i vi nh u t trong qun
tr ri ro?
Cu 3: Anh (ch) hy kim nh m hnh APT ca c phiu A c kt qu sau v mc b
p ri ro h thng trong giai on 2002-2008:
Tham s Fij

ij
Bin ng CPI
1.09
Bin ng li sut CB
-1.25
Bin ng t gi USD/nhm ngoi t
0.8
Bin ng ca GDP thc
0.17
Bin ng ca mc lm pht
-0.22
Bin ng ca ch s th trng NYSE
0.48
Hy xc nh TSSL c phiu A theo m hnh APT, nu rf = 7%

Tham s Fij tc ng ri
5.8%
-0.94
0.59
0.56
-0.92
7.2

Cu 4: Gi nh c phiu DCL, DHG c TSSL nh sau:

Xc sut

Rj
DCL

0.2
0.3
0.15
0.35

-6%
5%
12%
20%

DHG
-4%
8%
15%
24%

1. Hy xc nh TSSL v lch chun ca cc c phiu DCL, DHG.

2. TSSL v lch tiu chun ca danh mc P vi t trng xDCL=0.25; 0.5; 0.75; 0.8; 1 vi
h s tng quan ca danh mc l p = 0.6. V th ng bin hiu qu.
3. Gi s h s tng quan ca danh mc l p = 0.6, hy la chn danh mc hiu qu P
trn c s ri ro thp nht.