Bi ging Qun tr ti chnh

Ths.ng Th Qunh Anh 1

CHNG 3
1
CHNG 3
QUAN H LI NHUN V RI RO
Ths. ng Th Qunh Anh
Khoa TTCK HNH TP.HCM
NI DUNG
1. NH NGHA LI NHUN V RI RO
2. O LNG LI NHUN V RI RO
3. LI NHUN V RI RO CA MT DANH
MC U T
4. A DNG HO DANH MC U T NHM
GiM RI RO
2
1. NH NGHA LI NHUN V RI RO
Li nhun (return) l thu nhp hay s tin thu
c t u t
3
T sut li nhun l t l % gia li nhun thu
c so vi vn u t
1. NH NGHA LI NHUN V RI RO
V mt nh tnh: ri ro v l s khng
chc chn v mt tnh trng c th xy
ra hoc khng xy ra
4
RI
RO
g y
V mt nh lng: ri ro l s sai bit
ca li nhun thc t so vi li nhun
k vng.
2 O LNG RI RO
2.1 T sut li nhun k vng (Expected return)
2.2 Phng sai v lch chun (variance and standard
deviation)
6
deviation)
2.3 H s bin i (coefficient of variation)
On tap
K vng ca bin ngu nhin

=
=
n
1 i
i i
p x ) X ( E
Hip phng sai
( ) ( )
i
n
1 i
2
i
2
p EX x EX X E ) X ( V

=
= =
Phng sai ca bin ngu nhin
( ) ( )( )p EY y EX x ) EY Y ( EX X E ) Y X ( Cov

= =
7
( ) ( )( )
ij
j , i
i i
p EY y EX x ) EY Y ( EX X E ) Y , X ( Cov

= =
Phng sai hai bin ngu nhin
) Y , X ( abCov 2 VY b VX a ) bY aX ( V
2 2
+ + = +
H s tng quan
Y X
jk
) Y , X ( Cov
o o
= 1 1
jk
s s
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 2
ngha
K vng ca bin ngu nhin: l gi tr trung bnh ca BNN, phn
nh gi tr trung tm ca phn phi xc sut ca BNN.
Phng sai ca bin ngu nhin: l lch gia gi tr ca BNN so
vi trung bnh ca n hay phng sai l trung bnh ca bnh phng
lch .
8
Phng sai c trng cho phn tn ca BNN quanh gi tr trung
bnh: phng sai nh, phn tn nh, tp trung ln. Trong kinh
doanh, phng sai c trng cho ri ro ca cc quyt nh.
lch tiu chun c cng n v o vi BNN
H s bin thin dng so snh mc phn tn ca cc BNN c
k vng v phng sai khc nhau
Trng hp Chng khoan A Chng khoan B
au t ban au 10.000 10.000
Ty suat sinh li
Xau nhat 13% 7%
Phan phoi xac suat
10
Bnh thng 15% 15%
Tot nhat 17% 23%
Khoang cach 4% 16%
Phan phoi xac suat
20%
30%
40%
50%
60%
20%
30%
40%
50%
60%
11
0%
10%
20%
13% 15% 17%
0%
10%
20%
7% 15% 23%
Phan phoi chun
Xc
sut
Chng khon A
Chng khon B
12
T sut
sinh li
2.1. T sut li nhuan ky vong ( Expected Return )
Trng hp T l nhn c hay mt i Xc sut
Sp + Sp 20% + 20% = 40% 25%
Vn u t ban u l 100$. Sau tung hai ng xu, mi mt sp
th bn s c hon vn cng thm 20%, mi mt nga nhn li
vn tr i 10%. Xc nh xc sut cc trng hp c th xy ra.
13
Sp + Nga 20% - 10% = 10% 25%
Nga + Sp - 10% + 20% = 10% 25%
Nga + Nga - 10% - 10% = -20% 25%
T sut li nhun ky vong = 0,25x40% + 0,5x10%+0,25x(-20%) = 10%
Trng
hp
Rat tot Tot Trung bnh Xau
Xac suat 0.1 0.2 0.5 0.2
TS thu
nhap ( R)
25% 20% 15% 5%
V du : Cac trng hp co the xay ra vi co phieu ABC
14
Tnh li nhuan ky vong E(R) ca c phiu ABC
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 3
2.1 Ty suat li nhun ky vong ( Expected Return )
Tnh thu nhap mong i t cac so lieu thc nghiem

=
= =
n
1 i
i
R
n
1
R ) R ( E
E(R) T h h k
15
E(R) : T sut thu nhp k vng
Ri : La t le thu nhap trong thi k i
n : La tong so thi k co so lieu thu thap.
Thng Ngy AGF R(AGF)
1 31/01 137
2 28/02 155 13.14
3 30/03 139 -10.32
4 25/04 110 -20.86
5 31/05 136 23.64
16
Hay tnh ty suat li nhun ky vong cua co phieu AGF
6 29/06 104 -23.53
7 31/07 94 -9.62
8 31/08 97 3.19
9 30/09 103 6.19
2.2 Phng sai va o lech chuan cua li nhuan mong i:
Phng sai cua thu nhap mong i cua mot tai san la tong bnh
phng o lech cua thu nhap mong i co nhan trong so.
Goi o
2
la phng sai cua thu nhap ky vong
( ) | |
i
n
1 i
2
i
2
P R E R (

=
= o
17
( ) | |
i
n
1 i
2
i
P R E R (

=
= o
o lech chuan:
R
i
: T sut sinh li trong trng hp i
P
i
: Sac xuat hoac tan suat xay ra trng hp i
E (R): T sut li nhun ky vong
2.1. Li nhuan ky vong ( Expected Return )
T sut
sinh li
(R
i
)
R
i
E(R) Xc sut
(P
i
)
R
i
* P
i
[R
i
- E(R)]
2
(P
i
)
40% +30 0,25 0,1 225
10% 0 0 5 0 05 0
Tnh ton phng sai v lch chun
18
10% 0 0,5 0,05 0
- 20% -30 0,25 - 0,05 225
Tng = 1 E(R) = 0,1 Phng sai = 450
lch chun = 21
Phan phoi chun
Xc
sut
68,26%
19
T sut
sinh li
95,46%
99,74%
E(R) o 1 o 2 o 3
o 1 o 2 o 3
10% 31% 52% 73% -11% -32% -53%
2.2 Phng sai va o lech chuan cua li nhuan mong i:
Trng hp phng sai va o lech chuan c tnh toan t cac gia
tr ty suat li nhuan thc nghiem:
o
2
la phng sai cua thu nhap ky vong
o lech chuan:
( ) | |

= o
n
1 i
2
i
2
R E R (
1 n
1
20
( ) | |

= o
n
1 i
2
i
R E R (
1 n
1
R
i
: T sut sinh li trong trng hp i
E (R): T sut li nhun ky vong
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 4
2.3 He so bien oi (CV)
La thc o rui ro tren moi n v ty suat li nhuan mong i.
V du :
) R ( E
CV
o
=
D an B D an A Ch tieu
23
0,33 0,75 He so bien oi
0,08 0,06 o lech chuan
0,24 0,08 Li nhuan ky vong E (R)
D an B D an A Ch tieu
Y ngha cua cac ch tieu
Ty suat li nhuan ky vong: ty suat li nhuan bnh quan co
trong so cua cac li nhuan co the xay ra, trong o trong so la
xac suat xay ra.
o lech chuan o lng s sai biet gia li nhuan so vi li
nhuan ky vong, do o o lng rui ro au t
24
nhuan ky vong, do o o lng rui ro au t
He so bien oi (CV) dung e o lng rui ro tng oi, dung
e so sanh rui ro cua d an nay so vi d an kia.
Thai o nha au t oi vi rui ro
CE (certainty equyvalent) so tien chac chan tng ng
CE < gia tr ky vong: nha au t ngai rui ro
CE = gia tr ky vong: nha au t bang quan rui ro
CE > gia tr ky vong: nha au t thch rui ro
25
3. LI NHUAN VA RUI RO CUA DANH MUC AU T
Danh muc au t (porfolio) la s ket hp cua hai
hay nhieu chng khoan hoac tai san trong tong gia
tr au t.
Tai sao phai au t ket hp e hnh thanh danh
26
muc au t?
3. LI NHUN V RI RO CA DMT
3.1 Li nhun ca DMT
Li nhuan cua danh muc au t la trung bnh co trong so
cua cac li nhuan ky vong cua tng chng khoan trong danh
muc au t.
( )

=
m
) R ( E W R E
27
( )

=
=
1 j
j j p
) R ( E W R E
Vi - E
j
(R) la t le li nhuan mong i cua chng khoan j
- W
j
la t trong cua chng khoan j trong danh muc au t
V d
C phiu BMC co li nhuan ky vong la 20,4%, co
phieu STB co li nhuan ky vong la 18%. Ong
Chng Khoan au t 200 trieu ong vao co phieu
BMC, 600 trieu ong vao co phieu STB. Hoi li
nhuan ky vong cua danh muc au t nay la bao
hi ?
28
nhieu?
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 5
3.2 Ri ro ca DMT
La kha nang bien ong trong tng lai ve ket
qua thu c cua viec au t hay la s sai biet
gia li nhuan ky vong cua DMT so vi li
nhuan thc te thu c.
Rui ro cua DMT c o lng bang phng
30
Rui ro cua DMT c o lng bang phng
sai va o lech chuan cua danh muc au t.
3.2 Rui ro ca danh muc au t
Phng sai cua DMT co 2 chng khoan j va k:
2
k
2
k k j
2
j
2
j
2
p
W ) k , j ( Cov W W 2 W o + + o = o
- W
j
la t trong cua chng khoan j trong danh muc au t
o
31
j
- W
k
la t trong cua chng khoan k trong danh muc au t
- o
2
j
, o
k
2
la phng sai chng khoan j, k trong danh muc au t
- o
j,k
=(Cov(j,k) : hiep phng sai cua hai chng khoan j, k
o
3.1 Rui ro cua DMT
( ) ( ) ( ) ( ) | |

=
=
n
k k j j
)] R ( E r )][ R ( E r [ p
R E R R E R E ) k , j ( Cov
Hiep phng sai (Covariance-he so tch sai) o lng mc o
bien ong theo chieu hng song song cua hai bien ngau nhien
(li nhuan cua hai loai tai san au t)
32

=
=
1 i
k ki j ji i
)] R ( E r )][ R ( E r [ p
p
i
: Xac suat xay ra tnh huong i.
E
j
(R) : ty suat li nhuan ky vong cua chng khoan j
E
k
(R) :ty suat li nhuan ky vong cua chng khoan j
r
ji
: ty suat sinh li cua CK j tai tnh huong i
r
k,i
: ty suat sinh li cua CK k tai tnh huong i.
3.2 Rui ro cua DMT
Hiep phng sai cua hai bien ngau nhien (li nhuan cua hai
loai tai san au t) s dng s liu thc nghim
( )( )
n
) R ( E r ) R ( E r
) k , j ( Cov
k ki j ji

=

33
CoV (j,k) : Hiep phng sai cua 2 CK j va k
E
j
(R) : ty suat li nhuan ky vong cua chng khoan j
E
k
(R) :ty suat li nhuan ky vong cua chng khoan k
r
ji
: ty suat sinh li cua CK j tai tnh huong i
r
k,i
: ty suat sinh li cua CK k tai tnh huong i.
n : tng s thi k thng k
V du :
Co tnh huong ve t le li nhuan cua 2 cong ty nh sau :
10% 3% Cong ty than
Nang
Xac suat 0.7
Ma
Xac suat 0.3
Tnh huong
LN mong i
34
a.Hay tnh hiep phng sai va he so tng quan cua cac cong ty tren
b. Nha au t A co 100 trieu ong trong o 40 trieu ong dung e co
phieu cua cong ty than va phan con lai mua co phieu cong ty kh ot,
tnh li nhuan ky vong, phng sai cua danh muc au t.
4% 9% Cong ty kh ot
V du 2:
Cong ty A chuyen san xuat kem chong nang va cong ty B
chuyen san xuat ao ma.
Yeu to Mua nang Mua ma

36
Xac suat 50% 50%
Ty suat li nhuan A 25% - 6%
Ty suat li nhuan B -8% 18%
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 6
3.2 Rui ro ca danh muc au t
Danh mu c a u t E(R) o le ch chuan
1. Tat ca co phieu A
2. Tat ca co phieu B
3. 50% vao A va 50% vao B
37
Y ngha cua he so hiep phng sai
Hiep phng sai dng ( Positive Covariance ) : ty suat ) li
nhuan (gia ca) cua hai chng khoan bien ong cung chieu
vi nhau.
Hiep phng sai am ( Negative Covariance ) : ty suat ) li
nhuan (gia ca) cua hai chng khoan bien ong ngc chieu
41
nhuan (gia ca) cua hai chng khoan bien ong ngc chieu
vi nhau.
Hiep phng sai zero ( Zero Covariance ) : ty suat li nhuan
cua hai chng khoan la hai bien ngau nhien oc lap.
He so tng quan
jk
) k , j ( Cov
o o
=

j,k
he so tng quan trong danh muc au t (correlation
coefficient) cho biet moi quan he cung chieu hay ngc chieu cua
ty suat sinh li hai chng khoan theo thi gian.
1 1
jk
s s
43
k j
o o
2
k
2
k jk k j k j
2
j
2
j
2
p
W . . . W . W 2 W o + o o + o = o
0 <
j,k
< 1 Neu ty suat sinh li cua chng khoan th nhat tang len
th ty suat sinh li cua chng khoan th hai cung co xu hng tang
len.
-1 <
j,k
< 0 Neu ty suat sinh li cua chng khoan th nhat tang len
th ty suat sinh li cua chng khoan th hai lai co xu hng giam
Y ngha cua he so tng quan
44
th ty suat sinh li cua chng khoan th hai lai co xu hng giam
xuong.

j,k
= 0 ty suat sinh li cua hai chng khoan oc lap lan nhau.

j,k
= 1: ty suat sinh li hai chng khoan tng quan xac nh hoan
toan

j,k
= -1: ty suat sinh li hai chng khoan tng quan phu nh hoan
toan

j,k
= 0 ty suat sinh li cua hai chng khoan oc lap lan nhau.

j,k
= 1: ty suat sinh li hai chng khoan tng quan xac nh hoan toan
Phng sai cua DMT
( )
2 2 2 2 2 2
W W W W W 2 W o + o o + o o + o o
2
k
2
k
2
j
2
j
2
p
W W o + o = o
45

j,k
= -1:ty suat sinh li hai chng khoan tng quan phu nh hoan toan
( )
k k j j k k k j k j j j p
W W W W W 2 W o + o = o + o o + o = o
( )
2
k k j j
2
k
2
k k j k j
2
j
2
j
2
p
W W W W W 2 W o o = o + o o o = o
2
j
2
j
w o
k j k , j k j
k j
w w
) k , j ( Cov w w
o o =
) k j ( Cov w w
Chng khoan j Chng khoan k
Chng khoan j
46
2
k
2
k
w o
k j k , j k j
k j
w w
) k , j ( Cov w w
o o =
Chng khoan k
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 7
V DU
Ten CK T trong LN Ky vong o lech chuan
REE 0.7 10% 15%
SAM 0 3 12% 11%
Co danh muc au t gom hai chng khoan nh sau:
47
SAM 0.3 12% 11%
Xac nh li nhuan ky vong cua danh muc au t
Tnh phng sai va o lech chuan cua danh muc biet
rang he so tng quan cua hai chng khoan nay la 0,3
LN ky vong cua ca danh muc au t :
E
p
(R) = 0,1 x 0,7 + 0,12 x 0,3 = 0,106
0049 , 0 1 , 0 x 7 , 0
2 2
=
001386 , 0
11 , 0 . 15 , 0 . 4 , 0 . 3 , 0 . 7 , 0
w w
k j k , j k j
=
=
o o
REE SAM
REE
48
SAM
001296 , 0 12 , 0 x 3 , 0
2 2
=
001386 , 0
11 , 0 . 15 , 0 . 4 , 0 . 3 , 0 . 7 , 0
w w
k j k , j k j
=
=
o o
Phng sai cua DMT: o
2
= 0,008968
o lech chuan DMT: o = 0,0947
Phng sai cua DMT gom m chng khoan .
a. Cong thc :
j k W l t t h kh j

= = =
+ o = o
m
1 j
m
1 k
k j
m
1 j
2
j
2
j
2
p
) k , j ( Cov w w 2 . w
49
j k va W
j
: la t trong cua chng khoan j
W
k
: la t trong cua chng khoan k
Cov (j,k ) La hiep phng sai cua hai chng khoan j,k
Chng
khoan
CK1
w
1
CK2
w
2
CKn
w
n
CK1
w
1
o
2
1
w
2
1
w
1
w
2
Cov (r
1
, r
2
)
............. w
1
w
n
Cov (r
1
, r
n
)
CK2
w
2
w
1
w
2
Cov (r
1
, r
2
)
o
2
2
w
2
2
W
2
w
n
Cov (r
2
, r
n
)
50
.
.
.
.
.
.
.
CKn
w
n
w
1
w
n
Cov (r
1
, r
n
)
W
2
w
n
Cov (r
2
, r
n
)
o
2
n
w
2
n
Phng sai cua danh muc au t gomm chng khoan.

= =
= o
m
1 j
m
1 k
k j
2
p
) k , j ( Cov W W
o le ch chuan cu a DMT m chng khoan
51

= =
= o
m
1 j
m
1 k
k j p
) k , j ( Cov W W
5. a dng ho danh mc u t nhm gim ri ro
a dang hoa danh muc au t la mot qua trnh ket
hp cac tai san au t, cac chng khoan vao mot
danh muc au t vi muc ch lam giam tong t le
rui ro ma khong phai hy sinh hoac hy sinh mc
o toi thieu, ty suat li nhuan cua danh muc au

52
t.
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 8
a. ng cong hieu qua cua danh muc au t gom
hai chng khoan.
E(R) (%)
9,5
7 25
A
MV
53
0
lch chun (%)
15,5
13 1,25
5
7,25
C
B
1 1 1
Anh hng cua a dang hoa au t vi nhng he so tng
quan khac nhau
1 =
5 , 0 =
0 =
Li nhuan ky
vong (%)
55
5 , 0 =
1 =
o lech chuan
cua DMT
DMT gom nhieu loai chng khoan
LN ky vong
Tap hp DMT hieu qua
A
Y
56
o lech chuan
0
MV
X
Mo hnh Markowitz
ng cong hieu qua (efficient frontier) tap hp tat ca cac
DMT mang lai li suat cao hn vi cung mc rui ro
hoac rui ro t hn cung mc li nhuan
LN ky vong
57 o lech chuan
Minimum
variance
port.
0
Y ngha cua ng cong hieu qua
Vi bat c mc o rui ro nao, nha au t luon chon nhng
danh muc tren ng bien mang en li nhuan d tnh cao
nhat co the hoac ng bien hieu qua cha cac danh muc co
phng sai thap nhat vi bat ky mc li nhuan d tnh nao.
Viec chon DMT nao nam tren ng bien hieu qua phu
58
thuoc vao mc o a thch rui ro cua nha au t.
5. a dng ho danh mc u t nhm gim ri ro
Phan loai rui ro
Rui ro he thong (systematic risk or market risk)
con goi la rui ro th trng hoac rui ro chung
Rui ro khong he thong (unsystematic risk or
unique risk) con goi la rui ro cong ty hoac rui
60
unique risk) con goi la rui ro cong ty hoac rui
ro ca biet
Tong rui ro = Rui ro toan he thong + Rui ro
khong toan he thong
Bi ging Qun tr ti chnh
Ths.ng Th Qunh Anh 9
5. a dng ho danh mc u t nhm gim ri ro
Li nhuan
au t
Li nhuan
au t
Li nhuan
au t
61
Thi gian
Thi gian Thi gian
Chng khoan A
Chng khoan B Ket hp A va B
Ri ro ca DMT
t
o
n
g

t
h
e

Rui ro
62
Rui ro
he thong
Rui ro khong
he thong R
u
i

r
o

So lng CK trong DMT
Mt s nguyn nhn dn n ri ro
Ri ro h thng do:
Thay i trong li sut
Thay i trong sc mua (lm pht)
Nhng thay i trong k vng ca nh u t v trin vng
ca nn kinh t
Ri ro khng h thng do:
63
g g
Nng lc v quyt nh qun tr
nh cng
Ngun cung ng nguyn vt liu
Nhng qui nh ca chnh ph v kim sot mi trng
Nhng tc ng cnh tranh nc ngoi
Mc s dng n by ti chnh v n by kinh doanh
a dang hoa danh muc au t
- Ket hp au t vao nhieu loai chng khoan co tng
quan ngc chieu
- S sut giam li nhuan cua chng khoan nay c bu
ap bang s gia tang li nhuan cua chng khoan kia =>
64
cat giam rui ro
- a dang hoa ch giam c rui ro khong he thong ch
khong giam c rui ro he thong
Cac ham trong Excel
Ham AVERAGE : tnh li t suat li nhuan trung bnh cua cac
chng khoan va DMT. T suat LN trung bnh nay cung chnh
la t suat li nhuan k vong.
HamVAR : tnh phng sai cua DMT
Ham STDEV hoac SQRT ( can bac hai cua Var ) : tnh o lech
65
Ham STDEV hoac SQRT ( can bac hai cua Var ) : tnh o lech
chuan cua DMT.
HamCOVAR : tnh he so tch sai ( tng quan bien thien )
HamCORREL : tnh he so tng quan