1/2/2013

1
CHNG III
PHN TCH & QUN L DANH MC U T
- Phn tch v qun l danh mc u t (Portfolio
Management): nguyn tc, phng php (chin lc) u
t theo danh mc mt cchc hiu qu
- Nghin cu l lun, thc tin trong qun l danh mc: L
thuyt v danh mc u t (Portfolio Theory)
- Phn tch&nh gi ti sn ti chnh : trnh by nhng
ni dungc bn
Qu trnh qun l danh mc gm 3 khu lin hon: la
chn (Selection), iu chnh (Adjustment) v nh gi
thc hin (Performance) danh mc
CHNG III
PHN TCH & QUN L DANH MC U T
Ni dung chnh
- Phng php phn tch Trung bnh Phng sai (Mean
Variance Analysis - MVA) trong qu trnh la chn danh mc ti u
ca nh u t
- Phntchdanh mc hiu qu (Efficient Portfolio)
- M hnh Ch s n(SIM) v thut ton Elton Gruber Padberg
(EGP) trong vic xc nh danh mc hiu qu
- Trnh by qu trnh iu chnh, nh gi vic thc hin danh mc
v phn tch, qun tr ri ro danh mc bng m hnh VaR (Value at
Risk)
Yu cu
- Nm vng cch tip cn v phn tch Trung bnh Phng sai v
bc u ng dng trong qu trnhchn danhmc
- Bit s dng kt hp cc m hnh SIM, EGP v VaR trong qu
trnhqun l danhmc
1. Danh mc v li ch ca nh u t
Nh u t thc hin u t theo danh mc gm nhiu ti
sn nhm a dng ha gim thiu ri ro
Thng tin cn thit ban u lm cn c thit lp danh
mc:
gi (hoc li sut) ca tng ti sn
mi quan h gia gi (hoc li sut) ca cc ti sn d
kin c trong danh mc
Phng php MV s dng cc thng tin trn kt hp vi tiu
chun ti u ph hp s xc lp nguyn tc la chn danh
mc cho cc nh u t
xc nh mc cu v cc loi ti sn trnth trng
xy dng cc m hnh nh gi ti sn theo dng m
hnhcnbng th trng (cnbng cung- cu)
Phng php MVA (m hnh MVA) l m hnh c s, t
nn mng cho rt nhiu m hnh khc c s dng trong
phntchth trng ti chnh
1/2/2013
2
Phn tch mt s c trng c bn ca danh mc u t
Ti sn v cc c trng c bn
Gi thit v k hiu
Xt mt nhmgm N ti sn ri ro (nh s th t t 1 n
N) c giao dch trnth trng
Khiu:
r
i
: li sut (trong mt chuk u t) ca ti sn i
: li sut k vng (li sut trungbnh) ca ti sn i
o
i
2
: phng sai li sut ti sn i (phng sai ca ti sn i)
o
ik
: Cov(r
i
, r
k
) : hip phng sai gia li sut ti sn i v
ti sn k (hip phng sai ca ti sn i v k)
V =[o
ik
] (i, k =1N) : matrn hip phng sai cc ti sn
? V: matrn vung, i xng cp N, bn xc nh dng
i
r
Ti sn v cc c trng c bn
Gi thit v k hiu
Gi thit: nhm bin ngu nhin r
i
(i = 1N) c lp tuyn
tnh ? V: xc nh dng ? tn ti ma trn nghch o:
V
-1
(?V
-1
: i xng, xc nh dng)
r

(r
1
, r
2
,.,r
N
): vect li sut cc ti sn trong nhm
(vect dng)
: vect li sut k vng cc ti sn
trongnhm(vect dng)
o
i
: vect ct i ca V ( V i xng: o
i
cng l vect dng i)
r
f
: li sut phi ri ro (cngchuk u t vi ti sn ri ro)
'
1 2
( , ,......., )
N
r r r r
Danh mc v mt s c trng
Danh mc kh thi
P: (w
1
, w
2
,., w
N
): danh mc lp t N ti sn ri ro
P: danh mc kh thi (danh mc c th giao dch trn th
trng)
Nu th trng khng cho php bn khng ti sn ri ro (cm
bn khng): 0 w
i
1, nu cho php bn khng: w
i
<0 (bn
khng ti sn i)
Khiu P: tp cc danhmc kh thi
?P : tp li
danh mc ca cc danh mc kh thi l danh mc kh thi. Nu
cm bnkhng ?P : tp li compact
: th trng quy nh khch quan v khng ph
thuc vo mun ch quan ca nh u t
S dng P) : phn tch qu trnh la chn danh mc ti
u t nhmti sn c xemxt
( , , ) r r V
1
1
N
i
i
w
=
=
( , , , r r V
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3
Cc c trng c bn ca danh mc
Li sut, phng sai v dao ng
Danhmc (kh thi) P: (w
1
, w
2
,., w
N
)
Li sut danhmc P:
Li sut k vng ca danhmc P:
Phng sai ca danhmc P:
o
P
2
=WV W
daong ca danhmc P:
N
P i i
i 1
r w r (W',r)
=
= =

N
P i i
i 1
r wr (W',r)
=
= =

W'VW
P
o =
Minh ha
Pe P cp (
P
r ,
2
P
o ) (hoc (
P
r ,
P
)) biu
din hnh hc danh mc P trn mt ta
(
P
r ,
P
)
dao ng (o)
Li sut k vng
Danh mc P
Ti sn i
Phn tch quan h gia li sut ca ti sn v danh mc
Cc danh mc: P: W=(w
1
, w
2
,., w
N
), Q: U=(u
1
, u
2
,., u
N
) v ti
sn k
? mi quan h gia cc li sut r
P
, r
Q
v r
k
. Do r
P
, r
Q
v r
k
: cc
bin ngu nhinmi quan h: hip phng sai:
Cov(r
k
, r
P
), Cov(r
k
, r
Q
) v Cov(r
Q
, r
P
)
Hip phng sai gia ti sn k v danh mc P:
Cov(r
k
, r
P
) o
kP
=(w,o
k
) ?
o
k
: Vect ct k (? Vect dngk) ca V
Xt hai ti sn j, k c trong danh mc P: nu o
kP
>o
jP :
ti sn k c
hip phng sai cao (so vi ti sn j trong cng danh mc P) v
ti sn j c hip phng sai thp
o
kP
: bnh qun gia quyn (theo trng s w
i
) ca hip phng sai
gia ti sn k v cc ti sn i c trong danh mc
Hip phng sai gia danh mc P v Q:
P: W=(w
1
, w
2
,., w
N
) v Q: U=(u
1
, u
2
,., u
N
)
Cov(r
P
, r
Q
) o
PQ
=(WVU) ?
1/2/2013
4
Phn tch cn bin i vi cc c trng c bn ca
danh mc
XtP: (w
1
, w
2
,., w
N
)
Phn tch tc ng khi nh u t iu chnh danh mc
(iu chnh W)ti r
P
v o
P
2
Danh mc t cni P(c):(w
1
, w
2
, ...w
j
- c,...,w
k
+c,
,
..., w
N
)
P()
k j
=0
2
P()
P k j kP jP
=0
dr
=(r - r)
d
d
=2Cov[r ,(r - r )] =2( - )
d
o
o o
Nguyn tc s b v phng thc iu chnh danh mc
Nu nh u t tng u t vo ti sn c li sut k
vng cao v gim u t vo ti sn c li sut k vng
thp th c th lm tng li sut k vng ca danh mc
Nu nh u t tng u t vo ti sn c hip phng
sai thp v gim u t vo ti sn c hip phng sai
cao th c th lm gim phng sai (do gim dao
ng) ca danh mc
Nu nh u t tm c cp ti sn (k, j) m k c li
sut k vng ln hn v hip phng sai nh hn so vi
j th nn tng u t vo k v gim vo j v s tng li
sut k vng v gim phng sai ca danh mc
Li ch k vng ca nh u t khi nm gi danh mc
Cc gi thit
Gi thit v cc ti sn
Li sut ca cc ti sn ri ro trong nhm N ti sn
xemxt c phn b chun, r
i
~
li sut ca danh mc P: r
P
~
Gi thit v nh u t
Nh u t ngi ri ro v c hm li ch theo li sut r:
u = u(r)
Nh u t lp v nm gi danh mc P: (w
1
, w
2
, ..., w
N
)
t nhmNti sn xemxt
r
P
: phn b chun li chk vng ca nh u t:
U(P)
U(P): tng theo li sut k vng , gim theo phng sai
(hoc dao ng o
P
) ca danh mc
Nh u t s chn danh mc sao cho li ch k vng ca
mnh t ti a (chn danh mc ti a ha li ch k
vng): danh mc ti u
2
( , )
i i
N r o
2
( , )
P P
N r o
2
( , )
P P
U r o
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5
2. Phng php phn tch Trung bnh Phng sai (MV)
v qu trnh la chn danh mc ti u
Harry Markowitz
Hnh vi ca tc nhn khi c yu t ri ro ca J ames
Tobin(1958)
Quy hoch li ton phng
Bi bo: Portfolio Selection: Efficient Diversification of
Investment (Yale University Press 1959): xut phng
phpMV trong la chn danh mc ti u
Ni dung c bn: m hnh hai bi ton ti u: phng
phpMV: M hnhMarkowitz trong la chn danh mc
S lc tiu s
Harry Markowi tz
Harry Markowitz was born on August 24, 1927 in Chicago
Markowitz is a professor of finance at the Rady School of Management at the University
of California, San Diego (UCSD). He is best known for his pioneering work in Modern
Portfolio Theory, studying the effects of asset risk, return, correlation and diversification
on probable investment portfolio returns
Markowitz won the Nobel Memorial Prize in Economic Sciences in 1990
Phng php phn tch Trung bnh Phng sai (M
hnh Markowitz) la chn danh mc ti u
Mc tiu ca nh u t: Mc tiu: ti u l tng
Mc tiu: ti u Pareto
Nh u t vi mc tiu la chn danh mc ti u Pareto
th danh mc ti a ha li ch (li sut k vng) vi mc ri
ro n nh trc cng s l danh mc ti thiu ha ri ro vi
li ch (li sut k vng) cho trc (T c)
1/2/2013
6
Phng php phn tch Trung bnh Phng sai (M
hnh Markowitz) la chn danh mc ti u
Trong u t ti chnh, danh mc ti u c chn theo
MV: danh mc hiu qu (Efficient Portfolio)
Vi cc nh u t khc nhau (vi hmli ch theo li
sut u =u(r) khc nhau) s c danh mc hiu qu khc
nhau
Vi cng nh u t nhng yu cu v mc ri ro
(hoc li sut) khc nhau s tng ng vi danh mc
hiu qu khc nhau
Tp danh mc hiu qu i vi cc nh u t: bi n
hiu qu (Efficient Frontier)
M hnh xc nh bin hiu qu - Trng hp xt nhm
ti sn ri ro
S dng k hiu:
K hiu [a] l vect (ct) N chiu vi cc thnh phn u
la
Th d:
Trong cc php nhn ma trn, vect vi k hiu du ' l
vect dng
1
1
1
[1] =.
.
.
1
(
(
(
(
(
(
(
(
(
(

M hnh xc nh bin hiu qu
vi li sut k vng cho trc:
Xcnh danh mc P: (w
1
, w
2
, ..., w
N
) (=W) sao cho:
Trong nhiu ng dng, li sut cho trc: li sut yu
cu, li sut d kinca nh u t v n th hin mong
mun ca h v li sut u t
1
W'.V.W
2
Min
N
i i P
i=1
N
i
i=1
w r r
w 1

P
r
1/2/2013
7
M hnh xc nh bin hiu qu - Dng ma trn
1
W'.V.W
2
Min
P
( W', r) r
( W',[1]) 1
=

Phn tch m hnh

M hnh: bi ton quy hoch li ton phng,tp phng
n: compact c nghim duy nht:
HmLagrange ca bi ton:
P P
P(r ) : W(r )
P
1
L(W,,)= W'VW+(r - (W', r )+(1- (W', [1])
2
iu kin cn i vi nghim (cng l iu kin ?)
Tn ti *, * : ,*, * tha mn h iu kin:
P
W(r )
P
W(r)
| |
| |
W
P
L =VW - r - 1 = 0 (i)
L
= r - (W', r) = 0 (ii)

L
=1 - (W', 1 ) = 0 (iii)

1/2/2013
8
Thc hin phn tchchi tit (t c)
t:
| | | |
| |
| |
| |
-1
-1
-1
2
-1 -1
-1 -1
1 ' V 1 A
r 'V r C
r 'V 1 B
A C - B D
1
= C (V 1 ) - B (V r )
D
1
= A (V r) - B (V 1 )
D

(

(

g
h
Kt qu
Cng thc:
A,B, C, D (do g, h) ch ph thuc vo ma trn V v
vect li sut k vng ca cc ti sn ri ro: c hai yu t
nydo th trng quyt nh
i vi mi nh u t u c chungA,B, C, D, g v h
P P
W( r ) +r = g h
Danh mc bin duyn&Tp danh mc bin duyn
vi li sut k vng cho trc:
lun xc nh duy nht danh mc
Danh mc bin duyn (Frontier Portfolio)
Tp danh mc bin duyn (Portfolio Frontier) ng vi
nhmti sn ri ro ang xt
P
r
P P
P(r ):W(r )
P
P(r ):
{P( ): ( , )}:
P P
r r e +
1/2/2013
9
Cc c trng ca danh mc bin duyn
Li sut k vng:
P
r
P
P(r ):
Phng sai:
2
2 P P
P P
Ar - 2Br +C
(r )=
D

i vi danh mc bin duyn
dao ng:
2
P P
P P
Ar - 2Br +C
(r )=
D

Mt s danh mc bin duyn c bit
P
r = 0:P(0) = g g: danh mc bin
duyn c li sut k vng bng 0
P
r 1 = : P(1) =g +h (g +h): danh mc
bin duyn c li sut k vng bng 1
Danh mc bin duyn c phng sai nh nht (Minimum
Variance Portfolio - MVP)
Xcnh danh mc P: (w
1
, w
2
, ..., w
N
) (=W) sao cho:
1
W'.V.W
2
Min
| | (W', 1) 1 =
Danh mc MVP v cc c trng
Cng thc tnh danh mc:
Li sut k vng, phng sai& dao ng:

-1
1
V [1]
A
A
A
A
B
r
MVP
MVP
MVP
1
1
2
=
=
=
o
o
1/2/2013
10
Cu trc hnh hc ca tp danh mc bin duyn
Danh mc bin duyn P( P
r
) thuc tp
danh mc bin duyn (
P
r ,
2
P
) hoc
(
P
r ,
P
) nn ta c th biu din hnh
hc danh mc trn mt ta (
P
r ,
2
P
)
hoc (
P
r ,
P
)
Danh mc bin duyn trn mt phng
ta (
P
r ,
P
)
MVP
P
r
P
P

Li sut k vng
1
A
B
A
Tp danh mc bin duyn
Danh mc bin duyn trn mt phng ta (
P
r ,
2
P
)
P
r
MVP
1/A
2

2
P

B
A
P
Li sut k vng
Tp danh mc bin duyn
1/2/2013
11
Cc tnh cht ca danh mc bin duyn
Tnh cht 1
Danh mc bin duyn c cm sinh t hai danh mc
bin duyn P(0) v P(1) Danh mc ca cc danh mc
binduyn l danh mc bin duyn
Tnh cht 2
P: (w
1
, w
2
,,w
N
) l danh mc bin duyn khi v ch khi
(w
1
, w
2
,,w
N
)l nghim ca h phng trnhsau:
vi k: hng s
| |
i
N i
i
i=1
V x=r - k
x
w = i=1 N
x

Tnh cht 3
Cho P l danh mc bin duyn khc danh mc MVP, khi
tn ti duy nht danh mc bin duyn khng tng
quan vi P - k hiu ZC(P) (Zero Covariance) v li
sut k vng ca danh mc ZC(P):
ng thi ta c ZC(ZC(P)) =P
2
ZC (P )
P
D
B
A
r = -
B
A
r -
A
Minh ha
MVP
P
Li sut k vng
Tp danh mc bin duyn
ZC(P)
P
r
ZC(P)
r
1/2/2013
12
Tnh cht 4 (Mi quan h gia hai
danh mc)
Cho Q l danh mc bt k, P l danh
mc bin duyn:
) (
) ( ) ( P ZC P QP P ZC Q
r r r r + = |
vi:
2 2
) , (
P
QP
P
P Q
QP
r r Cov
o
o
o
| = =
Biu din di cc dng khc
P QP P ZC QP Q
r r r | | + =
) (
) 1 (
Dng ngu nhin
c
Q
: bin ngu nhin c k vng: 0

Q QP P QP ZC(P) Q
r = r +(1 - )r +
Ch khi tnh danh mc bin duyn
tmcc danh mc bin duyn, gii h phng trnh:
k: ly cc gi tr khc nhau
tmdanh mc MVP, gii h phng trnhsau
| |
i
N i
i
i =1
Vx=r - k
x
w = i=1 N
x

| |
i
N i
i
i=1
Vx=1
x
w = i=1 N
x

1/2/2013
13
Danh mc hiu qu&Bin hiu qu
Danh mc bin duyn P( P
r
) c li sut
k vng ln hn li sut k vng ca
danh mc MVP: danh mc hiu qu
(Efficient Portfolio)
Tp hp danh mc hiu qu v MVP: l bin hiu
qu (Efficient Frontier)
Cc danh mc khng thuc bin hiu qu: danh
mc phi hiu qu
M hnh xc nh bin hiu qu
Xcnh danh mc P: (w
1
, w
2
, ..., w
N
) (=W):
A
B
P
P
r
W
r r W
Min VW W
>
=
=

1 ]) 1 [ , ' (
) , ' (
'
2
1
Minh ha hnh hc bin hiu qu
MVP
P
Li sut k vng
Bin hiu qu
Phi hiu qu
1/2/2013
14
Tnh cht ca danh mc hiu qu
Tnh cht 1
Bin hiu qu l tp li
t hp li ca cc danh mc hiu qu l
danhmc hiu qu
Tnh cht 2
Nu P l danh mc hiu qu th ZC(P) l
phi hiu qu
Kt lun
Vi mt nhm gm N ti sn ri ro cho trc
lun tn ti bin hiu qu

Nh u t ngi ri ro vi hm li ch k
vng U(P) = U( P
r
,
2
P
o
) khi chn mt
nhm N ti sn ri ro u t s chn
mt danh mc hiu qu (chn mt im
trn bin hiu qu)
Minh ha
MVP
P*
Li sut k vng
Bin hiu qu
1/2/2013
15
Bin hiu qu khi b sung thm ti sn
MVP
P
Li sut k vng
Bin hiu qu ca N ti sn
Bin hiu qu ca N ti sn
Bin hiu qu khi cm bn khng
P
Li sut k vng
Bin hiu qu khi cm bn khng
Bin hiu qu khi c bn khng
P
Th d vi nhm c phiu VN
Xt nhm6 c phiu AGF, BBC, CAN, DPC, HAP v REE:

AGF BBC CAN
DPC HAP REE
Li sut k vng 0.0289% 0.0352% - 0.0037% -0.0049%
0.0705% 0.0656%
dao ng 1.8612% 2.2079% 2.1074%
2.4406% 2.1645% 1.9334%

1/2/2013
16
Ma trn hip phng sai V ca 6 c phiu

AGF BBC CAN DPC HAP REE
AGF 0.000346 0.000169 0.000154 0.000153 0.000194 0.000193
BBC 0.000169 0.000487 0.000165 0.000185 0.00023 0.000186
CAN 0.000154 0.000165 0.000444 0.000217 0.000207 0.000143
DPC 0.000153 0.000185 0.000217 0.000595 0.000215 0.000157
HAP 0.000194 0.00023 0.000207 0.000215 0.000468 0.000212
REE 0.000193 0.000186 0.000143 0.000157 0.000212 0.000374

Xc nh danh mc MVP v mt s danh mc bin
duyn
k: -0.009 -0.008 -0.005 -0.002 -0.001 -0.08 -0.01
Danh mc MVP P1 P2 P3 P4 P5 P6 P7
AGF(%) 28.01% 26.51% 26.33% 25.38% 21.95% 17.30% 27.83% 26.66%
BBC(%) 13.82% 13.41% 13.36% 13.10% 12.16% 10.88% 13.77% 13.45%
CAN(%) 20.16% 17.30% 16.96% 15.14% 8.60% -0.30% 19.83% 17.58%
DPC(%) 10.50% 8.54% 8.30% 7.05% 2.55% -3.56% 10.28% 8.73%
HAP(%) 4.60% 8.24% 8.68% 10.99% 19.34% 30.68% 5.02% 7.89%
REE(%) 22.91% 26.00% 26.37% 28.33% 35.40% 45.01% 23.27% 25.70%
L/sut k
vng
0.0300% 0.0342% 0.0347% 0.0374% 0.0470% 0.0602% 0.0305% 0.0338%
dao
ng
1.4850% 1.4883% 1.4892% 1.4953% 1.5391% 1.6485% 1.4850% 1.4877%
Bin hiu qu ca nhm c phiu
Bin hiu qu
MVP
P1
P4
P5
AGF
BBC
REE
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
0.07%
0.50% 0.70% 0.90% 1.10% 1.30% 1.50% 1.70% 1.90% 2.10% 2.30%
dao ng
L

i s
u

t

1/2/2013
17
M hnh xc nh bin hiu qu - Trng hp c ti
sn phi ri ro
M hnh xc nh danh mc bin duyn khi c ti
sn phi ri ro
Danh mc P: (w
1
, w
2
,...,w
N
,w
0
), w
0
: t trng ca ti sn
phi ri ro
K hiu W =(w
1
, w
2
,...,w
N
): vect t trng ti sn ri ro
trongdanh mc P
Li sut k vng ca danh mc P:
Phng sai ca danh mc P:

N N N
P i i 0 f i i i f
i=1 i=1 i=1
r w r+w r w r+(1- w) r = =


P f
r (W',r) +[1 - (W',[1])]r =
2
P
o
=WVW
M hnh xc nh danh mc bin duyn
Cho trc li sut k vng P
r
, xc nh
W: (w
1
, w
2
,

..., w
N
):

1
W'.V.W
2
Min


f P
(W',r) +[1 - (W',[1])]r r =

Kt qu
t H
2 -1
f f f f
Ar - 2r B + C =(r - [r ])' V (r - [r ]) )

2 2
P P f
1
= ( r - r )
H
f
(r - [r ])

-1 P f
P f
( r - r )
W(r ) = V (r - [r ])
H
Danh mc bin duyn
Phng sai
Phn b ri ro
Vect phn b ri ro ca cc ti sn
Phn b ri ro ca danh mc P
P f
(r - r )
1/2/2013
18
Tp danh mc bin duyn
Tp danh mc bin duyn
P f P
r =r + H
nu P f
r r >

P f P
r =r - H
nu P f
r <r

Minh ha
-
Bin hiu qu v danh mc tip tuyn
Gi thit f MVP
r r <

Danh mc hiu qu l danh mc bin duyn
P( P
r
) c
f P
r r >

Xt danh mc T c: w
0
= 0 v
-1
f
f
1
W= V (r - [r ])
(B-Ar )
, T ch gm cc ti
sn ri ro: danh mc tip tuyn (Tangent
Portfolio)
1/2/2013
19
Danh mc tip tuyn
T l danh mc hiu qu khi ch xt nhmti sn ri ro
(T nm trnbin hiu qu khi xt N ti sn ri ro)
Li sut k vng v phng sai ca T:
f
f
T
Ar B
Br C
r

=
2
f
2
) Ar (B
H

=
T
o
Bin hiu qu
K hiu F: danh mc ch gm ti sn phi ri ro (w
0
=1),
khi bin hiu qu l na ng thng FT c phng
trnh:
P f P
r r + H =
Li sut k vng
T
F(r
f
)
dao ng (o
P
)
Bin hiu qu
ng th trng vn (Capital Market Line - CML) ca
nhm ti sn
Phng trnh ca CML
T f
p f p
T
r r
r r o
o
| |
= +
|
\ .

CML
Li sut k vng
T
F
rf
II
I
o
1/2/2013
20
Tnh cht ca danh mc hiu qu
Tnh cht 1
Mi danh mc hiu qu P u c t hp t hai danh
mc F v T: P =aT +(1- a)F vi a > 0
Ch: Cc trng hp 0 a 1v a >1
T trng:
P T
i i
P T
k k
w w
i k
w w
= =
Nu nh u t nh trc li sut yu
cu P
r
, vi danh mc ti u P:
T f
w ;w
P f
T P
T f T f
r r
r r
r r r r

= =

Tnh cht 3
Cho P l danh mc hiu qu, Q l danh mc bt k khi
tac phng trnhsau:
Q f QP P f
r =r + (r -r )
P Q
QP
2
P
Cov(r ,r )
=

Dng ngu nhin

trong c
Q
l bin ngu nhin c
( ) 0, ( , ) 0
Q P Q
E Cov r c c = =

Q QP f QP P Q
r =(1- )r + r +
1/2/2013
21
p dng i vi ti sn
Danhmc hiu qu P: T
Danhmc bt k Q: ti sn i
E(c
i
)=0, Cov(r
i
, r
T
) =0
i f iT T f
r = r + ( r - r )
i T
iT 2
T
Cov(r ,r )
=

Dng ngu nhin

i iT f iT T i
r =(1- )r + r +
ng th chng khon (Security Market Line -
SML) ca nhm ti sn
Li sut k vng ca ti sn i s ph thuc vo h s |
iT
ring c i vi tng ti sn: H s bta ca ti sn i (i
vi nhmti sn ri ro ang xt
ng biu din mi quan h gia li sut k vng v
h s bta ca ti sn: ng th trng chng khon
SML c h s gc ( dc) bng phn b ri ro ca danh
mc tip tuyn v h s ct bng li sut phi ri
ro r
f
( )
T f
r r
Minh ha
SML
Li sut k vng
H s |
1
T
Ti sn i
|iT
rf
i f iT T f
r = r + ( r - r )
1/2/2013
22
3. M hnh ch s n M hnh SIM
(Single Index Model)
Wi l l i am Sharpe
Willi am Sharpe (born June 16, 1934) is the STANCO 25 Professor of
Finance, Emeritus at Stanford University's Graduate School of Business and
the winner of the 1990 Nobel Memorial Prize in Economic Sciences.
He was one of the originators of the Capital Asset Pricing Model, created
the Sharpe ratio for risk-adjusted investment performance analysis,
contributed to the development of the binomial method for the valuation of
options, the gradient method for asset allocation optimization, and returns-
based style analysis for evaluating the style and performance of investment
funds
Dn xut
Theo tnhcht 3 ca danh mc hiu qu vi ti sn i:
c
i
: bin ngu nhin,
T: danh mc tip tuyn ca nhmti sn ang xt
t (1-|
iT
)r
f
=
i
:
li sut ca ti sn i c mi quan h tuyn tnh vi li
sut danh mc tip tuyn T
T l i din cho nhm; nu nhm ti sn xem xt l
ton b ti sn ri ro c trn th trng: danh mc tip
tuyn T: i din cho th trng
Ch s th trng (Market Index): i din cho th trng
SIMging nh mhnhhi quy n
i iT f iT T i
r =(1- )r + r +
( ) 0, ( , ) 0
i T i
E Cov r c c = =
i i iT T i
r= + r +
M hnh SIM
Cc gi thit v m hnh:
I: ch s ca th trng, r
i
, r
I
li sut ti sn i, ch s I
(Vit nam: ch s Vn-Index cho sn HOSE, ch s HNX
chosn giao dch H ni Market Proxy)
(1) Quan h tuyn tnh gia li sut ti sn i v li
sut ch s v c dng:
(2) E(
i
) =0
(3) Cov(
i
, r
I
) =0
(4) Cov(
i
,
k
) =0 vi i = k
Phng trnh(*): phng trnhc bn ca SIM
T m hnh SIM i vi cc ti sn ta c th (?) xc
nh mhnhSIMi vi danh mc
i i iI I i
r= + r + (*)
1/2/2013
23
ngha cc tham s v gi thit trong m hnh SIM

i
: li sut c nh, ring c ca ti sn i

i
: h s bta ca ti sn, o mc nhy cm ca li sut
ti sn i i vi bin ng ca th trng
Theo SIM, nu
i
>1: i ti sn nng ng (Aggressive
Asset) v ti sn ny phn ng mnh i s bin ng ca
th trng; nu
i
<1:i ti sn th ng (Defensive Asset)

i
:phn li sut bin ng ngu nhin ringc ca ti sn i
E(
i
) =0: xt v xu hng bnh qun, phn li sut bin
ng ngu nhin s bng khng (s tng, gim gi ti sn
do tc ng ca cc yu t ngu nhin ngoi th trng s
bng khng)
Cov(
i
, r
I
) =0: s bin ng ngu nhin ring c ca ti sn
khnglin quan n bin ng ca th trng
Cov(
i
,
k
) =0: s bin ng ngu nhin ring c ca cc ti
sn khng lin quan vi nhau
c lng v kim nh m hnh SIM
Phng trnh c bn ca SIM:
SIM: m hnh hi quy tuyn tnh n,bin c lp: li
sut ch s th trng: r
I
(li sut th trng), bin ph
thuc: li sut ti sn i: r
i
v sai s ngu nhin:
i
Phng php c lng SIM:
- SIM di dng m hnh kinh t lng (m hnh hi
quyn):
r
it
=
i
+
iI
r
It
+
it
(**)
Hmhi quy tng th (PRF) phng trnh (**): ng
c trng(Characteristic Line) ca ti sn i
i i iI I i
r= + r +
c lng v kim nh m hnh SIM
Cc chui li sut {r
it
}, {r
It
}trong ti chnh: cc chui thi
gian, trnhhi quy gi mo: {r
it
}v {r
It
}: cc chui dng
Quy trnh c lng SIM
Thu nhp, tnh chui s liu v li sut ti sn, li sut th
trng (c th tnhtheo ngy, tun, thng)
Kim nh tnh dng ca cc chui li sut (bng kim
nh ADF)
Nu chui li sut khng dng: s dng cc m hnh kinh
t lng AR, MA, ARMA, ARIMA c lng
Hi quy (**) bng phng php:
OLS nu cc gi thit ca OLS c tha mn
Hiu chnh m hnh nu gi thit ca OLS b vi phm
(phng sai khng thun nht, t tng quan)
ARCHhoc GARCH
Panel Data Analysis
Kim nh m hnh: kim nh (**) c c nh dng
ng? (kim nh Ramsay)
1/2/2013
24
Th d i vi c phiu REE v VnIndex
Kim nh tnh dng ca cc chui li sut
Li sut ch s Vn-Index
Chui dng!
ADF Test Statistic -8.384113 1% Critical Value* -3.4459
5% Critical Value -2.8677
10%Critical Value -2.5700
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LS_VNINDEX)
Method: Least Squares
Sample(adjusted): 1/13/2004 12/02/2005
Included observations: 494 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
LS_VNINDEX(-1) -0.668454 0.079729 -8.384113 0.0000
D(LS_VNINDEX(-1)) -0.014711 0.074586 -0.197230 0.8437
D(LS_VNINDEX(-2)) -0.154915 0.065646 -2.359868 0.0187
D(LS_VNINDEX(-3)) -0.116051 0.054515 -2.128792 0.0338
D(LS_VNINDEX(-4)) -0.036212 0.045236 -0.800511 0.4238
C 0.000759 0.000475 1.596754 0.1110
R-squared 0.379716 Mean dependent var -1.86E-05
Adjusted R-squared 0.373361 S.D. dependent var 0.013075
S.E. of regression 0.010350 Akaikeinfo criterion -6.291558
Sumsquared resid 0.052277 Schwarz criterion -6.240515
Loglikelihood 1560.015 F-statistic 59.74736
Durbin-Watsonstat 2.001364 Prob(F-statistic) 0.000000

Li sut REE
Chui dng!
ADF TestStatistic -7.363887 1% Critical Value* -3.4468
5% Critical Value -2.8681
10% Critical Value -2.5703
*MacKinnoncritical values for rejectionof hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LSREE)
Method: Least Squares
Sample(adjusted): 1/13/2004 12/02/2005
Included observations: 459
Excluded observations: 35 after adjustingendpoints
Variable Coefficient Std. Error t-Statistic Prob.
LSREE(-1) -0.635385 0.086284 -7.363887 0.0000
D(LSREE(-1)) -0.128182 0.080826 -1.585906 0.1135
D(LSREE(-2)) -0.261634 0.072259 -3.620796 0.0003
D(LSREE(-3)) -0.120086 0.059310 -2.024720 0.0435
D(LSREE(-4)) -0.076797 0.045889 -1.673537 0.0949
C 0.001061 0.000664 1.597197 0.1109
R-squared 0.413556 Meandependent var 3.64E-05
AdjustedR-squared 0.407083 S.D. dependent var 0.018160
S.E. of regression 0.013983 Akaike info criterion -5.688924
Sumsquaredresid 0.088576 Schwarz criterion -5.634950
Log likelihood 1311.608 F-statistic 63.89046
Durbin-Watsonstat 2.000856 Prob(F-statistic) 0.000000
c lng m hnh SIM i vi c phiu REE
Dependent Variable: LSREE
Method: Least Squares
Sample(adjusted): 1/06/2004 12/02/2005
Included observations: 489
Excluded observations: 10after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 7.48E-05 0.000402 0.186195 0.8524
LS_VNINDEX 1.101501 0.037502 29.37218 0.0000
R-squared 0.639186 Mean dependent var 0.001469
Adjusted R-squared 0.638445 S.D. dependent var 0.014668
S.E. of regression 0.008820 Akaike info criterion -6.619621
Sumsquared resid 0.037881 Schwarz criterion -6.602474
Log likelihood 1620.497 F-statistic 862.7252
Durbin-Watsonstat 1.834361 Prob(F-statistic) 0.000000
1/2/2013
25
Kim nh m hnh SIM i vi c phiu REE
Thc hin cc kim nh v khuyt tt ca m hnh cho
kt qu m hnh khng c khuyt tt v c nh dng
ng (c th b h s ct khi m hnh nhng cc c
lng thay i khng ng k)
SIMi vi c phiu REE:
r
REE
=0,0000748 +1,101501r
Vn-Index
+c
REE
Do |
REE
= 1,101501 > 1 nn REE l c phiu nng ng
trn th trng, khi th trng tng (gim) im th mc
tng (gim) ca li sut (do ca gi) c phiu REE s
ln hn t l tng (gim) im ca Vn-Index
Mt s ng dng khc ca m hnh SIM
Phn tch ri ro ca ti sn - Tng ri ro, ri ro h
thng v phi h thng
Nu li sut ti sn i tuntheo SIM:
r
i
=
i
+
iI
r
I
+
i
K hiu:
2
i

,
2
I

,
i
2

: phng sai li sut ti sn

i, li sut ch s th trng I v ca nhiu ngu
nhin c
i
. thun tin trong s dng ta s k hiu
phng sai ca nhiu c
i
:
i
2

2
i

vi mi ti sn i
2 2 2 2
i iI I i
= + q
Phn tch ri ro ca ti sn
2 2 2 2
i iI I i
= + q
Tng ri ro ca
ti sn i
Ri ro h thng
Ri rophi h thng
=
+
1/2/2013
26
c lng v phn tch ri ro c phiu REE
Dependent Variable: LSREE
Method: Least Squares
Sample(adjusted): 1/06/2004 12/02/2005
Includedobservations: 489
Excluded observations: 10after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 7.48E-05 0.000402 0.186195 0.8524
LS_VNINDEX 1.101501 0.037502 29.37218 0.0000
R-squared 0.639186 Mean dependent var 0.001469
Adjusted R-
squared
0.638445 S.D. dependent var 0.014668
S.E. of regression 0.008820 Akaike info criterion -6.619621
Sumsquaredresid 0.037881 Schwarz criterion -6.602474
Log likelihood 1620.497 F-statistic 862.7252
Durbin-Watson stat 1.834361 Prob(F-statistic) 0.000000

lch chun ca nhiu ci: i
q
( lch chun hi quy) i
q
: 0,00882 tnh
c
2
i
q
=0,000078)
lch chun ca li sut ti sn i: i

( lch chun ca bin ph thuc)
REE

= 0,014668
2
REE

=0,000215 ~ 0,0215%
Tng ri ro ca c phiu: 0,0215%
Kt lun
i vi c phiu REE:
Tng ri ro: 0,0215%
Ri ro phi h thng: 0,0078%
Ri ro h thng: 0,013715%
H s xc nh R
2
ca hi quy cho ta bit t l
ri ro h thng trong tng ri ro
Ta thy ri ro ca c phiu REE ngoi yu t th
trng cn c phn ng k l yu t ring gy
ra (chim khong 36,25%)
Phn tch ri ro ca danh mc
Danh mc P: (w
1
, w
2
,..., w
N
)
M hnh SIM i vi li sut danh mc:
, , : cc vect c cc thnhphn tng ng
i
,
iI
,
i
P P PI I P
r = + r +
N
P i i
i=1
= w ( ' ) w =

,
N
PI i iI
i=1
= w ( ' ) w | =

v
N
P i i
i=1
= w ( ' ) w c =

1/2/2013
27
Phn tch ri ro ca danh mc
2 2 2 2
P PI I P
= + q
Tng ri ro ca
danhmc P
Ri ro h thng
Ri rophi h thng
=
+
Dng ma trn ca cng thc phn r ri ro
: vect cc h s beta ca ti sn:
1
,
2
.,
N
2
1
2
2 2
( )
2
N
0........... 0
0 0........ 0
( )
.........................
0 ...............
NxN
q
q
q c
q
(
(
(
( =
(
(
(

| |
2 2 2
( ' ' )* ' ( )
P I
w w w w o || o q c ( = +

Ch
Ri ro h thng:ri ro khng a dng ha c; ri ro
phi h thng: ri ro a dng ha c
Danh mc P: a dng ha tt (a dng ha hon ho)
nu ch c ri ro h thng
Trong thc t kh c th lp danh mc a dng ha tt
theo ngha trn v vy nu danh mc c ri ro phi h
thng kh nh cng c xeml danh mc a dng ha
tt (theo ngha xp x)
Nh u t c th a dng ha gim ri ro h thng
ca danh mc nn khi nh gi danh mc, th trng ch
tnhn ri ro h thng
1/2/2013
28
ng dng SIM c lng ma trn hip phng sai li sut
cc ti sn
Ma trn hip phng sai:
Nu li sut ti sn tun theo mhnhSIM:
r
i
=
i
+
iI
r
I
+
i
Dng matrn
j=1N
jk
k=1N
V = (

2
j k j I kI I
=
2 2 2 2
k kI I
=
k
q +
| |
2 2
I
V ' + () ( =

ng dng SIM v thut ton Elton Gruber Padberg
(thut ton EGP) xc nh danh mc tip tuyn
1976: Edwin Elton, Martin Gruber v Manfred Padberg
:Simple criteria for optimal portfolio selection (J ournal
of Finance 31) s dng SIM xy dng tiu chun
la chn ti sn trong danh mc tip tuyn
Tiu chun ny gi l Thut ton Elton Gruber
Padberg (thut ton EGP) xc nh danh mc ti u
(danh mc tip tuyn)
Gi thit v tnh ton ban u
Gi thit
Li sut ti sn i tuntheo SIM:
r
i
=
i
+
iI
r
I
+
i
Li sut phi ri ro: r
f
Tnh ton cc tham s
Xt mt nhmgm N ti sn, thu thp dy s liu v
li sut ca cc ti sn v ch s th trng
S dng b s liu c lng N hmhi quy:
r
it
=
i
+
iI
r
It
+
it
Ta thu c cc c lng ca:
iI
,
2
I

,
2
i

v
i
r

1/2/2013
29
Thut ton EGP
Bc 1: Tnh t s ERB
i
ca ti sn i ( Excess Return to
Beta):
Sp xp cc ch s ERB
i
theo th t gim dn tng
ng vi tng ti sn
iI
f i
i
r r
ERB
|

=
Bc 2: Tnhcc h s C
i
:
vi i =1 N
(
(
(
(
(

|
|
.
|

\
|
+
|
|
.
|

\
|

=

=
=
i
j j
jI
I
i
j
jI
j
f j
I i
r r
C
1
2
2
2
1
2
2
1
*
q
|
o
|
q
o
Bc 3: Xc nh h s ngng C
*
(Cut-off)
So snh ERB
i
vi C
i
tms th t k: C
*
=C
k
vi k
sao cho: ERB
i
C
i
vi i k v ERB
i
<C
i
vi i >k
Khi danh mc ti u (danh mc tip tuyn) s bao
gm cc ti sn xp t 1 n k. Cc ti sn t th t
k+1tr i s khng cmt trong danh mc
Bc 4: Tnht trng cc ti sn trong danh mc tip tuyn
*
2
i f
iI
i
i iI
r r
z C
|
q |
(

=
(
(

1
w
i
i N
i
i
z
z
=
=

1/2/2013
30
Ch khi vn dng thut ton
Thut ton trnpdng cho trng hp cmbnkhng ti sn
Trng hp cho php bn khng, nu h s bta ca cc ti sn
khngmth cng c th s dng thut ton
thun tin trong thc hnh tnh ton ta s lp bng sau (c th lp
trnExcel) ( n gin trongkhiu ta b ch s I trong h s bta)
Ti sn
i
r
i
|
2
i q ERBi Ci
1 1
r 1
|
2
1 q ERB1 C1
2 2
r 2
|
2
2 q ERB2 C2
... . . . . .
k k
r k
|
2
k q ERBk Ck
...
N

Th d
Gi s ta xt 10 ti sn c li sut tun theo SIM vi
ccs liu cho trong bng di y:
Cho r
f
: 5%v o
I
2
: 10%
Bng s liu
Ti sn 1 2 3 4 5 6 7 8 9 10
i
r (%)
15 17 12 17 11 11 11 7 7 5,6
i 1 1,5 1 2 1 1,5 2 0,8 1 0,6
2
i
(%)
50 40 20 10 40 30 40 16 20 6
Theo thut ton EGP ta lp bng tnh
Ti sn
i
r(%) i 2
i
(%) ERBi Ci
1 15 1 50 10 1,67
2 17 1,5 40 8 3,69
3 12 1 20 7 4,42
4 17 2 10 6 5,43
5 11 1 40 6 5,45
*
6 11 1,5 30 4 5,3
7 11 2 40 3 5,02
8 7 0,8 16 2,5 4,91
9 7 1 20 2 4,75
10 5,6 0,6 6 1 4,52

Gi tr ngng: C
5
=5,45
Danh mc tip tuyn s ch gm 5ti sn u
Tnht trng cc ti sn:
w
1
: 23,5%, w
2
: 24,6%, w
3
: 20%, w
4
: 28,4%, w
5
: 3,5%
1/2/2013
31
4. Qun l danh mc u t
Phng php MV trong mc 2. s gip nh u t
chn danh mc hiu qu
Qutrnhqun l danh mc?
Ni dung&chin lc?
Quytrnh?
Khi nim qun l danh mc
Qun l danh mc u t
Xcnh mc tiuu t
Xy dng danh mc cc loi chng khon, ti sn u
t p ng tt nht mc tiuca ch u t
Thc hin theo di, iu chnh danh mc theo din bin
th trng (Market Timing) nhm ti ti u ho danh mc
nh k nh gi vic thc hin danh mc
- Vic thc hin qun l danh mc u t c th do mt t
chc hoc c nhn:nh qun l danh mc (Portfolio
Manager) tin hnh
- Nghip v qun l danh mc u t chng khon: qu
trnh qun l ti sn ca mt nh ch ti chnh hoc ca
mt c nhn u t bao gm: nh gi, phn tch chng
khon, la chn phn b vn u t, theo di v nh
gi kt qu u t
Ni dung (chc nng) qun l danh mc -
Chc nng, nhim v ca nh qun l danh mc
Bc 1: Xc nh mc tiu u t
- Nh u t th (Gross): quan tmn li sut u t: s la
chn danh mc t c li sut k vng cao nht vi
mc ri ro chp nhn c (nh u t ti a ha li ch)
- Nh u t rng (Net): quan tmn vic p ng kp thi
cc khon chi tr trong tng lai: cn c s n khp gia
cc khon n v c trong bng cn i ti chnh (nhm trnh
tnh trng v n). Nguyn tc ca nh u t rng l an
tonl trnht, mc tiunh u t rng l phngh
Ngi qun l: xc nh mc tiu u t ca khch hng v
phi xemxt khch hng thuc dng nh u t no: phng
h ri ro, u c hay c li.
Trn c s tha thun vi khch hng, nh qun l c th c
th ha mc tiu u t thnh mt s tiu ch. Cc tiu ch
lin quan ch yu ti vic qun l li nhun k vng v ri ro
d kin
1/2/2013
32
Bc 2 - Lp v phn tch danh mc u t
Tm hiu th trng
Nh qun lu t nntp trung vo cc thngtinsau:
Qutrnhpht trin ca th trng (n nh hay khng?)
Cc bin c lch s ca th trng v l gii cc bin c

Cc nhn t (v m v vi m) c th gy nh hng ti
th trng
Hin trng ca th trng
Xc nh chng khon mc tiu
Thng qua vic tmhiu th trng v phn tch s b da
trn nhng thng tin i chng v/hoc thng tin ring, nh
qun l danh mc tin hnh s b lc ra cc m chng khon
c kh nng u t da trn nhng hiu bit, phn on v
mc tiuca khch hng
La chn danh mc u t
Vi nhmchng khon tim nng c la chn trn,
nh qun l c th tp trung thu thp v phn tch thng tin
chi tit hn v s dng cc m hnh ph hp la chn
danh mc ti u cho khch hng
Vic a dng ha danh mc gip cho nh u t trnh c
ri ro h thng khi trong danh mc xut hin qu nhiu (hoc
tonb) chng khon c cngmt tp tnhvn ng
Chn chin lc qun l danh mc ph hp
Bc 3 - iu chnh danh mc
Khi cc iu kin trn th trng thay i hoc khi mc
tiu nh u t thay i th cn phi iu chnh danh mc
choph hp vi iu kin mi
Vic iu chnh danh mc thc hin trn c s cc tiu
ch u t ra
Bc 4 - nh gi vic thc thi danh mc
Theo tha thun trong hp ng vi khch hng, kt qu
thc thi danh mc s c nh gi nh k hoc t xut
- nh gi, s so snh vic thc hin danh mc u t
ti u lp vi mt danh mc i chng theo cc ch
tiuthngdng
- m bo tnh khch quan th qu trnh nh gi s do
mt t chc hoc c nhn khc vi nh qun l danh mc
thc hin
1/2/2013
33
Chin lc qun l danh mc
Chin lc qun l th ng (Passive)
- Chin lc qun l th ng: chin lc mua bn theo
mt chun mc no .
- Mc ch ca chin lc ny khng phi to ra danh
mc vt tri so vi ch s chun trn th trng m to
ra mt danh mc c s lng v chng loi gn ging
vi ch s chun (ch s mc tiu) nhm t c
mc sinh li d kin tng ng vi mc sinh li
chun
- Khi cc nh u t nhn nh, nh gi v li sut v ri
ro ca ti sn u cho rng cc ti sn c nh gi
ng v khi thay i danh mc s khng em li li
ch g v vy h thc hin chin lc qun l danh mc
u t th ng cn gi l chin lc mua v nm gi
(Buyand Hold)
Chin lc qun l ch ng (Active)
- Chin lc qun l ch ng: chin lc mua bn nhm
thu c mc li sut d kin u t cao hn mc li
sut ca danh mc th ng chun hoc thu c mc
li nhun trn mc trung bnh ng vi mt mc ri ro
nht nh
- Nu nh qun l cho rng cc ti sn b nh gi sai
hoc l qua phn tch d bo li sut ri ro ca cc ti
sn khc s ng th khi c th iu chnh danh mc
kim li
- Nh u t c th s dng cc phng php c
lp danh mc u t ti u i vi cc ti sn c s
chn
Chin lc qun l bn ch ng (Semi Active)
Chin lc qun l th ng n thun ch c tc dng a
dng ho danh mc, khng c tc dng phng trnh ri ro
h thng
danh mc t c cc mc tiu ra v phng trnh
c c ri ro h thng, cc nh qun l danh mc mt
mt thit lp danh mc theo phng php th ng, mt
mt qun l danh mc theo phng php ch ng
Chin lc ny gi l qun l bnch ng
1/2/2013
34
nh gi vic thc hin danh mc
Danh mc i chng (danh mc tham chiu)
Chn mt hoc mt s danh mc khc lmchun so snh
Danh mc chun:Danh mc i chng (Benchmark
Portfolio)
Tu thuc vo cng ty t vn, nh u t c th tha thun
a ra cc danh mc thamchiu khc nhau
Sau khi xc nh danh mc i chng s tnhmt s ch tiu
sau ca danh mc P v danh mc i chng so snh
Trong thc hnhdanh mc i chng c th l:
- danh mc tng hp phn nh tnh cht chung ca th
trng nn c th s dng ch s th trng
nu dng danh mc T th vic tnh ton danh mc ny
thng phc tp nn thng s dng danh mc xp x
danh mc T
Mt s h s (ch s) so snh
Ch s Sharpe
Ch s (H s) Sharpe ca danh mc (Sharpe Ratio)
Tng t ta c th tnh ch s Sharpe ca danh mc i
chng B: S
B
Nu S
P
>S
B
th danh mc P thc thi tt.
Trong thc t, li sut, li sut thng c tnh theo
trung bnh hnh hc (trung bnh nhn) ca 20 qu cui (5
nm); dao c tnh theo trung bnh cng ca 20
qucui
K hiu P
r
, P
o
: li sut trung bnh, dao ng ca danh
mc P, rf: li sut phi ri ro
P f
P
P
r r
S
o

=
Ch s Treynor
|
P
: h s bta ca danh mc P
Ch s (H s) Treynor ca danh mc P
Tng t ta tnhch s Treynor ca danh mc i chng
B: T
B
. Nu T
P
>T
B
th danh mc P thc thi tt
P f
P
P
r r
T
|

=
1/2/2013
35
H s - Jensen ca danh mc
Phng trnhng th trng vn (CML):
P
r
P f
P f P
T
r r
r r o
o
| |

= + |
|
\ .
F
CML
T
Li sut k vng

T
r
r
f
dao ng
P
r
P
r
o
P
o
P
o
T
Tnh:
o
P
: H s o J ensenca P
Nu o
P
>0: thc thi P tt
P P P
r r o =
5. Qun tr ri ro ca danh mc Phng php (M hnh)
phn tch gi tr ri ro (Value at Risk - VaR)
Ri ro ti chnh v tn tht
Ri ro ti chnh
Ri ro ti chnh (Financial Risk): hu qu ca s thay i,
bin ng khng lng trc c ca gi tr ti sn
hoc gi tr cc khon n i vi cc t chc ti chnh v
nh u t trong qu trnh hot ng ca th trng ti
chnh
Tn tht ti chnh
Xy ra ri ro ti chnh, hu qu rt kh lng; nu cc t
chc ti chnh, chnh ph khng c i sch hu hiu s
gy nh hng tiu cc n hot ng ca ton b nn
kinht
Nhng thit hi i vi nh u t do ri ro ti chnh: tn
tht ti chnh (Financial Loss)
Tn tht ny xy ra i vi nhiu nh u t: dn n s
khng hong, v (Financial Crash, Crisis) ca cc nh
ch; ti t hn l ca th trng ti chnh
1/2/2013
36
Phn loi ri ro ti chnh
Nguyn nhn, ngun gc gy ra ri ro - nhn t ri ro
(RiskFactor):
Ri ro th trng: ri ro pht sinh do s bin ng v
gi c trn cc th trng ti chnh
- Ri ro thanh khon: do tnh thanh khon cc ti sn
khngc thc hin
- Ri ro tn dng: do i tc trong hot ng tn dng
khng c kh nng thanh ton.
- Ri ro hot ng: do con ngi hoc do k thut gy ra
cc s c
- Ri ro php l: do cc giao dch khng ng php lut
Qun tr ri ro (Risk Management)
Xy ra tn tht do ri ro ti chnh, thit hi l rt ln v c
tnh lan truyn nh hiu ng omino (t c phn th d cc
trng hp trong thc t)
Cc nh ch ti chnh v c quan qun l cn phi phng
nga tn tht thngqua qu trnh:
- Nhn din r ro (Risk Assessing): pht hin, nhn bit cc
loi ri ro phi i mt, ngun gc, nhn t ny sinh ri ro v
mi linh gia cc loi ri ro
- o lng, nh gi, cnh bo sm (Risk Measurement,
EarlyWarning) v nguy c cc loi ri ro
- X l, phng h ri ro :
ha gii ri ro (Cancel Risk)
gim thiu ri ro
hon chuyn ri ro
c lng tn tht lp qu d phng ri ro
Qutrnhthc hin:Qun tr ri ro
Phng php (M hnh) Gi tr ri ro VaR): phng php
ph bin: qun tr ri ro th trng ca ti sn, danh mc.
M hnh VaR
- Sau s kin Ngy th hai en ti, nm 1988 t chc
Ngn hng thanh ton quc t BIS (Bank for
International Settlement) cng b Hip nh Basel1 (Basle
AccordI)
- 1996 c b sung gi l Hip nh Basel2 quy nh: cc t
chc ti chnh ngn hng v phi ngn hng phi lp qu d
phng (phng h ri ro tn dng) vi quy m ti thiu bng
8%vn an ton (vn iu chnh ri ro)
- T l 8%: t s Cook (Cook Ratio)
- thit lp qu d phng chnh xc cc ngn hng v nh
u t phi c tnh c tn tht ca ti sn hoc danh
mc ang nm gi do ri ro th trng
- VaR c khuyn ngh s dng
- T chc ti chnh u tin s dng phng php VaR:
Ngnhng J PMorgan (M, 1994)
1/2/2013
37
Khi nim VaR
VaR ca danh mc hoc ti sn th hin mc tn tht c
th xy ra trong mt khong thi gian nht nh vi mc
tincy nht nh
Xcnh VaR:
cc nh hoch nh chnh sch qun l tt hn hot
ng th trng
cc nh u t, t chc ti chnh c tnh c nguy c
tn tht ti chnh
M hnh VaR l thuyt
V
t
, V
k
: gi tr danh mc P (hoc lng ti sn) ti thi im
hin ti t v tng lai (t +k); k: di chuk
V(k) =V
k
- V
t
V(k): s thay i gi tr ca danh mc P
V(k): hml - li (Profit&Loss P&L(k)) k chu k ca danh
mc
- Nh u t v th trng i vi P: V(k) <0 (P&L(k) <
0) s b tn tht
- Nh u t v th on i vi P:V(k) >0 (P&L(k) >0)
s b tn tht
V
k
: bin ngu nhin P&L(k): bin ngu nhin
F
k
(x): hmphn b xc sut ca P&L(k)
0< <1 Pr(P&L(k) x

) =,
Vi kh nh:
x

<0do P&L(k) <0: nh u t trng v s b tn tht

Xt Pr(P&L(k) > x

): Pr(P&L(k) > x

) =1 - Pr(P&L(k) x

) =1 - : nh
u t on v s b tn tht

t
Vt
t+k
Vk
k
Minh ha

..
x
fk(x)
xo
o
1/2/2013
38
M hnh VaR
VaR ca mt danh mc (hoc ca mt lng ti sn) vi
chu k k (n v thi gian) v tin cy (1- )100% l phn
v mc ca hmF
k
(x)
K hiu: VaR(k, ), du mca VaR biu th tn tht (thua
l) Pr(P&L(k) VaR(k, )) =
ngha ca VaR(k, ): nh u t nm gi danh mc P sau
chu k k, vi tin cy (1-)100% , kh nng tn tht mt
khon ti a s bng trong iu kin th trng hot
ng bnhthng
VaR(k, )
Ch
Ta c th p dng cch tnh VaR trong trng hp on v
bng cchs dng hmphnb xc sut ca P&L(k)
chnhxc ca c lng VaR ph thuc vo cc yu t:
gi tr hin ti ca danh mc
mc tincy nh trc ()
chuk tnh(k)
s liu v phng php s dng tnh
Trong thc t, theo tiu chun quc t (theo khuyn co ca
BIS):
Nu chuk tnhk=1ngy th =1%hoc 5%
Nu chuk tnhk=10ngy th =1%
Li sut danh mc trong chu k k: r
t
=P&L(k)/V
t
suy ra
P&L(k) =r
t
V
t
Do V
t
bit nn tnh VaR ca danh mc ta cn tnh
VaR ca li sut r
t
M hnh VaR trong thc hnh
M hnh VaR tham s
M hnh VaR s dng ph bin i vi li sut: gi nh li
sut danh mc (hoc ti sn) c phn phi chun
S dng hai thams: k vng () v lch chun (o) (hoc
s dng cc c lng ca chng) cth tnhc VaR
M hnh VaR i vi li sut v ti sn
Gi thit: Chui li sut (theo ngy) ca ti sn: r
t
: dng, c
phnb chun:
Cngthc tnhVaR:
VaR(1 ngy, *100% ) = +N
-1
()
o: 1%, 2,5%, 5%: N
-1
(0,01) =-2,33; N
-1
(0,025) =-1,96; N
-1
(0,05) =-1,65
2
-
: ( , ) : (0,1)
t
t
r
r N N

o
o

1/2/2013
39
M hnh VaR i vi danh mc
Danh mc P: dng gi tr (Cash Portfolio):
P: x =(x
1
, x
2
,.,x
N
), x
i
: khon tin u t vo ti sn i
Cngthc tnhVaR:
VaR(1 ngy, *100% ):

P&L
+N
-1
()
P&L
=
P&L
+N
-1
()* (xVx)
1/2
VaR(1 ngy, *100%) =N
-1
()*(xVx)
1/2
Cc ti sn c li sut r khng phn phi chun,c th l
phn phi c ui dy th d: phn phi T- Student chun
ho vi s bc t do (k hiu l T
*(s)
); s bc t do s ch trong
khong t 3n 6
Nu t
o
(s)
l phn v mc ca phn phi T- Student (thng
thng) vi s bc t do khi phn v mc ca phn phi
T- Student chun ho vi s bc t do:
( )
*( )
/( 2)
s
s
t
t
s s
o
o
=

Ch
Cc ti sn c li sut r khng phn phi chun,c th l
phn phi c ui dy th d: phn phi T- Student chun
ho vi s bc t do (k hiu l T
*(s)
); s bc t do s ch trong
khong t 3n 6
Nu t
o
(s)
l phn v mc ca phn phi T- Student (thng
thng) vi s bc t do khi phn v mc ca phn phi
T- Student chun ho vi s bc t do:
Cngthc tnhVaR:
VaR(1 ngy, *100% ) = + t
o
*(s)

( )
*( )
/( 2)
s
s
t
t
s s
o
o
=

M hnh kinh t lng c lng VaR

M hnh ARMA(m,n) v GARCH(p,q)
M hnh chui {r
t
}c iu kin: (r
t
/F
t-1
) dng ARMA(p,q)
v GARCH(p,q):
0
1 1
m n
t i t i t i t i
i i
r r u u | | u

= =
= + + +

u
t
=
t

t
2 2 2
0
1 1
p q
t j t j j t j
j j
u o o o |o

= =
= + +


1/2/2013
40
c lng&D bo
S dng phn mm thch hp c lng, d bo 1-bc (1- Step) (d
bo1ngynu s liu s dng c lng theo ngy)
Cngthc c lng VaR:
Nu
t
~IIDN(0,1),
t
~N(0,1):
VaR(1 ngy, *100% ) =
r
+N
-1
()*
o

Nu t ~IIDT
*
(0,1) t c phn phi T-
Student chun ho vi s bc t do:
VaR(1 ngy, *100% ) =
r
+
* ( ) s
t
o *
o

- Nu mun c lng VaR k ngy:
- Thay cc c lng
r
,
o
bng cc d bo k -
bc
- S dng Quy tc cn bc 2 theo thi gian (Square
Root of Time Rule):
1
*
k
k o o =


Hu kim (Backtesting) m hnh VaR
Theo hip nh Basle 2, BIS khuyn co cc t chc ti
chnh c th xy dng cc m hnh VaR ring ca mnh
c lng P&L dng trong qun l ri ro
Thng xuyn hu kim tnhchun xc ca mhnh
S dng s liu thc t ca t nht 250 ngy gn nht
thc hin hu kim i vi m hnh VaR vi mc ngha
(xc sut) =1%
C s l thuyt ca hu kim m hnh VaR (t c)
Thc hin hu kim
Bc 1: S dng cng thc VaR(P&L): tnh P&L tng
ngyca ti sn (P&L lthuyt theo VaR)
Khi tnh VaR(P&L) ca tng ngy ta phi s dng gi
tr thc t ca ti sn trong ngy trc
Bc 2: TnhP&L thc t ca tng ngy
Bc 3: So snh P&L l thuyt v thc t ca tng ngy
tm s ngy c P&L thc t (P&L m: ngy l) vt
qu P&L l thuyt
Nu s ny khng vt qu
M hnhl chun xc vi tincy (1- )%
Quy nh ca BIS: n =250, =1%: s ngy P&L thc
t ln hn P&L l thuyt khng qu 5, =5%th con
s trnl 19
( ) / 2
(1 ) n z n
o
o o o +
1/2/2013
41
Th d
c lng VaR ca c phiu BBC
T s liu gi ng ca sau mi phin ca c phiu BBC
trn sn HOSE t ngy 2/5/2002 n 31/7/2006 (1057
quan st) tnhli sut (LSBBC)
-.08
-.06
-.04
-.02
.00
.02
.04
.06
250 500 750 1000
LSBBC
c lng m hnh GARCH(1,1) i vi LSBBC
Kimnh tnhdng ca chui LSBBC:
Chui LSBBC dng

ADF Test Statistic
-11.84720 1% Critical Value* -2.5677
5% Critical Value -1.9397
10%Critical Value -1.6158
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LSBBC)
Method: Least Squares
Sample(adjusted): 71050
Includedobservations: 1044 after adjustingendpoints
Variable Coefficient Std. Error t-Statistic Prob.
LSBBC(-1) -0.679369 0.057344 -11.84720 0.0000
D(LSBBC(-1)) -0.128238 0.052949 -2.421908 0.0156
D(LSBBC(-2)) -0.136396 0.047007 -2.901626 0.0038
D(LSBBC(-3)) -0.116288 0.039737 -2.926459 0.0035
D(LSBBC(-4)) -0.091686 0.031077 -2.950269 0.0032
R-squared 0.406646 Meandependent var -4.89E-05
AdjustedR-squared 0.404361 S.D. dependent var 0.023782
S.E. of regression 0.018355 Akaike info criterion -5.153091
Sumsquared resid 0.350031 Schwarz criterion -5.129381
Loglikelihood 2694.914 Durbin-Watsonstat 2.001010
Lc t tng quan ca chui LSBBC
AFC v PAFC sau tr 1 k u bng 0: phng trnh k vng i vi
LSBBC c nh dng lAR(1):
Phng trnhphng sai i vi LSBBC nh dng:
0 1 1 t t t
LSBBC LSBBC u | |

= + +
2 2 2
0 1 1 1 1 t t t
u o o o | o

= + +
1/2/2013
42
Kt qu c lng
Dependent Variable: LSBBC
Method: ML - ARCH (Marquardt)
Sample(adjusted): 31050
Included observations: 1048 after adjustingendpoints
Convergence achieved after 18iterations
Coefficient Std. Error z-Statistic Prob.
AR(1) 0.143198 0.035611 4.021148 0.0001
Variance Equation
C 1.59E-05 1.93E-06 8.242223 0.0000
ARCH(1) 0.276724 0.034694 7.976073 0.0000
GARCH(1) 0.699912 0.023200 30.16900 0.0000
R-squared 0.035417 Mean dependent var 0.000307
AdjustedR-squared 0.032645 S.D. dependent var 0.018760
S.E. of regression 0.018451 Akaike info criterion -5.505925
Sumsquared resid 0.355437 Schwarz criterion -5.487014
Loglikelihood 2889.105 Durbin-Watson stat 1.883467
Cc phng trnh
1
0,143198* (*)
t t t
LSBBC LSBBC u

= +
2 2 2
1 1
0,0000159 0,276724 0,699912 (**)
t t t
u o o

= + +
D bo VaR mt ngy ca BBC
T chui c lng u
t
v
2

t
o
:
1050
u
=-0,050523 v
2
1050
o
= 0,000533
Thay LSBBC
1050
=-0,046792, 1050
u
=-0,050523 v
2
1050
o
= 0,000533
vo (*), (**) ta c lng c LSBBC
1051
v
2
1051
o
:
1051
0,143198*(-0,046792) LSBBC =
=-0,0067
2 2
1051
0,0000159 0,276724* (-0,050523) 0,69912*0,000533 o = + +
=0,001095
Suy ra 1051
o
=0,033089
c lng VaR ca danh mc c phiu BBC
Ngy20/7/2006gi c phiu BBC l 35.000
Gi s nh u t nm gi 10.000 c phiu tng ng
danh mc tr gi 350.000.000
Nu LSBBC c phn phi chun:
VaR(1 ngy, 5%):
350.000.000*(LSBBC
1051
- 1,64*) =
350.000.000*(-0,00671,64*0,033089)=-21.338.086
- Nu LSBBC c phn phi T chun ho 5 bc t do (tra
bng T ta c t
(5)
0,05
=-2,015):
VaR(1 ngy, 5%)
1051
o
350.000.000*(LSBBC
1051
-
1051
2,015
*
5/ 3
o
)=
350.000.000*(-0,00671.5608*0,033089) =
-20.420.859
1/2/2013
43
Hu kim m hnh VaR(1 ngy, 5%) ca c phiu BBC
Mu: 22/7/2005 n 24/7/2006 gm 250 phin (ng vi
ccquan st c th t 803 n 1052) ta c kt qu:
Date
P&L thc
t
VaR(5%)
7/22/2005 0 -2820059
7/25/2005 -2000000 -3370514
7/26/2005 -1000000 -3906340
7/27/2005 -1000000 -3685949
7/28/2005 2000000 -3074461
.. ..
7/20/2006 9000000
-
11195663
7/21/2006
-
16000000 -9410970
7/24/2006
-
16000000 -8520873

Minh ha
Trong s 250 phin trn c 22 phin P&L thc t cao
hn P&L theo VaR
-40
-30
-20
-10
0
10
20
30
1
100
Triu VND
P&L thc t P&L theo VaR(5%)
50 150 200
250
th P&L thc t v c lng theo VaR ca c phiu BBC
Bi tp
Bi tp cui chng: 3, 7, 8,9 v 10
Bi tp thc hnh nhm