1/2/2013

1
CHNG IV
M HNH NH GI TI SN VN
(Capital Asset Pricing Model) - CAPM
Ni dung chnh
Trnh by nhng ni dung lin quan ti CAPM: l
thuyt&thc hnh nh gi ti sn
Gii thiu phng php c lng v kim chng
CAPM
M rng CAPM
Yu cu
Hiu r v nm vng mhnhCAPM
Bc u p dng CAPM i vi th trng chng
khon Vit nam
1. M hnh nh gi ti sn vn
(CAPM)
Lch s&vai tr ca CAPM
Lch s ra i CAPM
William Sharpe
William Sharpe: Capital Asset Prices: A Theory of Market
Equilibrium under Condition of Risk (J ournal of Finance
September 1964)
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 PricingModel
M hnh c xy dng trn c s p dng
phng php Phn tch trung bnh phng
sai ca H.Markorvitz kt hp vi iu kin cn
bng th trng ti chnh
Cc nghin cu b sung, m rng: J . Mossin
(1966), J . Lintner (1965, 1969), F.Black (1972):
CAPM hon chnh v l thuyt m hnh kinh
in trong nh gi ti sn
1/2/2013
2
Vai tr ca CAPM
S xut hin ca CAPM to bc ngot ln trong nghin
cu, phn tchth trng ti chnh
CAPMl m hnh phntch v nh gi ti sn ti chnh
xut hin u tinvi c s l thuyt kh hon chnh
CAPMmang tnh logic cao, d s dng v kim chng
v c bit l khng cn phi s dng qu nhiu kin
thc ton phc tp vn c th dn xut mhnh
CAPM l m hnh c s, da vo CAPM c th xy
dng, pht trin cc m hnh nh gi v phntch khc
trong nhiu lnh vc quan trng ca th trng ti chnh
c tm vi m v v m (s dng CAPM: c lng
chi ph vn, phn tch cu trc vn cng ty, ngnh,
quc gia)
M hnh CAPM
Cc bin s ca m hnh
Xt hot ng ca th trng ti chnh vi tt c cc ti
sn (trong c ti sn phi ri ro)
N: tng s cc ti sn ri ro
r
i
: li sut ca ti sn i
:li sut k vng ca ti sn i
r
f
: li sut phi ri ro
V: matrn hip phng sai ca cc ti sn ri ro
i
r
Cc gi thit
Gi thit i vi cc nh u t
Cc nh u t e ngi ri ro
Mc tiu: ti a ho li chk vng
Cc nh u t l tc nhn cnh tranh hon ho trn th
trng (gi c trn th trng l yu t ngoi sinh i vi
nh u t)
Cc nh u t u ng nht trong vic nh gi cc
thngtin, cc ch s phn nh hot ng ca th trng
ng nht trong vic nh gi li sut k vng cng
nh dao ng ca li sut cc ti sn trn th trng
Ni cch khc i vi cc nh u t u c chung thng
tinv cc c trng ca ti sn
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3
Cc gi thit v th trng v cc ti sn
Gi thit v th trng
Th trng l cnh tranh hon ho:
Mi thng tin xut hin trn th trng u c cung
cp min ph cho tt c cc nh u t
Th trng khng c cc hn ch v khi lng ti
sn giao dch, v iu kin bn khng
Khng c chi ph giao dch ti sn cng nh khng c
thu
Gi thit v ti sn
Trnth trng c ti sn ri ro v ti sn phi ri ro
Cc ti sn c khi lng c nh, c th chia nh khi
lng ny tu v mi ti sn u c th giao dch trn
th trng
i vi cc ti sn ri ro, li sut ca ti sn c phn b
chun
Dn xut kt qu phn tch MV i vi ton b
th trng
K hiu
Vect phn b ri roca cc ti sn ri ro:
Danh mc tip tuyn T:
Danh mc hiu qu P :
f 1 f 2 f N f
r [r ] = ( r - r , r - r ,..., r - r )
T T T
1 2 N
(w,w ,....,w )
P P P
1 2 N
(w ,w ,....,w )
Mt s kt qu
Nu P l danh mc hiu qu:
Nu i l ti sn, Q l danh mc:

T f
p f p
T
r r
r r

| |

= + |
|
\ .
i f iT T f
r = r + ( r - r )
Q f QT T f
r = r + ( r - r )
2
ov( , )
i T
iT
T
C r r

=
2
v( , )
Q T
QT
T
Co r r

=
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4
Danh mc th trng v tnh hiu qu
Danh mc th trng (Market Portfolio)
- V
i
: Tng gi tr th trng ca ti sn i (V
i
=th gi ca mt
n v ti sn x tng khi lng ti sn)
- : tng gi tr th trng ca ton b ti sn ri ro
- Vect M:
- M: danh mc (danh mc ch gm ton cc ti sn ri ro
vi t trng ca mi ti sn bng t trng gi tr th trng
ca ti sn ny). M: danh mc th trng
1
N
i
i
V
=

M
i
1
w , i=1 N
i
N
i
i
V
V
=
=

N
M M
i i
1
w 0, 1 , w 1
i
i N
=
> = =

Cn bng th trng&tnh hiu qu ca danh mc th trng

iu kin cn bng th trng ti chnh (cn bng cung cu ti sn)
? M: danhmc hiu qu
Chng minh
ng th trng vn (Capital Market Line - CML)
K nh u t thamgia, nh u t th k c hmli ch theo li sut
ti sn l U
k
, chn danhmc P
k
(P
k
nm trnbinhiu qu)
P
k
nm trn bin hiu qu: P
k
s l t hp li ca danh mc F v T:
nh u t k s u t t vi trng w
k
vo danh mc T v (1 w
k
)
vo danh mc F
Danhmc T: T T T
1 2 N
(w ,w ,....,w )
CML
Li sut k
vng
T
F
rf
II
I
o
- T trng u t vo ti sn ri ro i ca nh u t k:
w
k
w
T
i
vi i =1N v k =1K
- V
k
: tng gi tr th trng ca tt c cc ti sn ri ro
- V
i
k
: tng gi tr th trng ca ti sn ri ro i nh u t k
nm gi:
- : tng gi tr ca ti sn i do tt c cc nh u t
nm gi: mc cu v ti sn ri ro i trnth trng
- Tac:
k k T k
i i
V =w w V
K
k
i
k=1
V

K K
k k T k
i i
k=1 k=1
V = w w V

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Mc cung ti sn i trn th trng: V
i
: tng gi tr th
trng ca ti sn i
- iu kin cnbng ca th trng: Cung =Cu:
vi i =1N
- Suyra:
-
K
k T k
i i
k=1
V w w V =

K
k T k
i
M i k=1
i N N K
k T k
i i
i =1 i=1 k=1
w w V
V
w =
V w w V
=


K
T k k
T i
M T k=1 i
i i N K N
T k k T
i i
i=1 k=1 i=1
w w V
w
w = =w
w w V w
=


Kt lun
Mtrngvi danh mc T
Do danh mc tip tuyn T l danh mc hiu qu nn
danh mc th trng Mcng l danh mc hiu qu
M hnh CAPM
ng th trng vn (CML)
P: danh mc hiu qu
-
M f
P f P
M
r r
r r

| |
= +
|
\ .
CML
M
F
r
f
P
o
o
P
o
M
Li sut k vng
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Phn tch ng CML
- r
f
: phn b ri ro ca danh mc P, - r
f
: phn b ri
roca danh mc th trng M
M bao gm tt c ti sn ri ro c trn th trng: - r
f
: phn
bri roth trng, o
M
: ri ro th trng
Cc i lng ny c xc nh trong iu kin cn bng th
trng nn s c cc nh u t chp nhn
i lng: gi 1 n v ri roca th trng
T phng trnh CML: Gi th trng ca ri ro danh mc P:
( - r
f
) =gi 1 n v ri rox ri ro ca danh mc (o
P
)
T phng trnhng th trng vn, ly o hmhai v:
M
r
P
r
M
r
M f
M
r -r

| |
|
\ .
P
r
-
M f P
P M
r r
dr
d
=
V tri: t l nh i gia ri ro v li sut k vng theo
nh gi ca nh u t
V phi: l t l nh i trn nhng do th trng nh
gi
T l hp l c mi nh u t chp nhn: do th trng
qui nh
Theo CAPM, gi th trng (gi cn bng hoc gi hp l)
ca mt danh mc hoc ca mt ti sn c xc nh
sao cho li sut ca danh mc hoc ca ti sn tho mn
phng trnhCML
-
M f
P
P M
r r
dr
d
=
ng th trng chng khon (SML)
Phng trnh SML:
i f i M f
r = r + ( r - r )
2
ov( , )
i M
i
M
C r r

=
SML
M
rf
| 1
Ti sn i
Li sut
|i
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Phn tch ng SML
Mi ti sn,danh mc u c h s | ring
- r
f
: phn b ri roca ti sn i
- r
f
: phn b ri roth trng
Phn b ri ro ca ti sn =H s | ca ti sn x phn b
ri ro th trng
M hnh CAPM: ri ro ca ti sn (hoc ca danh mc)
c o bi mt h s | ca ti sn hoc danh mc Ti
sn no c h s ln hn s c nh gi cao hn
Danh mc Q (gm S ti sn ri ro): (w
1
, w
2
,,w
s
) ?? h s |
ca Q:
Phng trnhSML i vi danh mc Q (bt k):
i
r
M
r
1
w
S
Q i i
i

=
=

( )
Q f Q M f
r r r r = +
Dng ngu nhin ca m hnh CAPM
i vi ti sn ri ro i:
Vi E(c
i
) =0; Cov(r
i
,r
M
) =0
i vi danh mc Q:
Vi E(c
Q
) =0; Cov(r
Q
,r
M
) =0
Dng Phn b ri ro dng ngu nhin ca ti sn:
( )
i f i M f i
r r r r = + +
( )
Q f Q M f Q
r r r r = + +
i
( )
i f M f i
r r r r = +
ng dng CAPM
nh gi ti sn, danh mc
CAPM nh lng c ri ro ca ti sn s dng
nh gi hp l (gi cnbng)
Gi ti sn: thnh phn phi ri ro v phn b ri ro
tronggi
T phn b ri ro trong li sut tnh theo CAPM ta tnh
phn b ri rotrong gi do tnhc gi ti sn
Cngthc nh gi:
t =0, t v S
0
, S
t
: thi im v gi ti sn ti hin ti,
tng lai
E
0
: ton t k vng (tnhti t =0) v
( )
f M f
r r r r = +
0 0
( ) (1 )
t
E S r S = +
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8
Cng thc nh gi v ngha
Cc cng thc (*) v (**) cho cch nh gi ti sn ty tnh
hung thc t:
Nu ta bit gi hin ti S
0
cth s dng c lng ca
(t CAPM) c lng gi k vng trong tng lai
(E
0
(S
t
)) theo (*)
Nu t cc kt qu phn tch khc ta d bo gi ti sn
trong tng lai l E
0
(S
t
) th gi hp l hin ti ca ti sn
c tnhtheo (**)
C th s dng cng thc nh gi ti sn nh gi
danh mc vi cc thng s thay i cho ph hp
0 0
0
0
( ) (1 ) (*)
( )
(**)
1 ( )
t
t
f M f
E S r S
E S
S
r r r
= +
=
+ +
r
(**): gi hin ti ca ti sn ri ro bng k vng gi
tng lai chit khu theo li sut c b ri ro (Risk
AdjustedDiscount Rate)
Cngthc nh gi tng ng:
Gi (k vng) ca ti sn trong tng lai bng mc
gi tng lai phi ri ro (hng t th nht ca v phi)
cng vi mc bri ro (hng t th hai)
0 0
0
0
( ) (1 ) (*)
( )
(**)
1 ( )
t
t
f M f
E S r S
E S
S
r r r
= +
=
+ +
0 0 0
( ) (1 ) ( )
t f M f
E S r S r r S = + +
Cng thc nh gi tng ng:
Theo (**): gi hin ti ca ti sn ri ro bng k vng gi tng lai chit
khutheo li sut c b ri ro
Theo (**): gi hin ti ca ti sn ri ro bng k vng gi tng lai khu
tr phnb ri ro sau chit khutheo li sut phi ri ro
0 0
0
0
( ) (1 ) (*)
( )
(**)
1 ( )
t
t
f M f
E S r S
E S
S
r r r
= +
=
+ +
0 0
0
( ) ( )
(**')
(1 )
t M f
f
E S r r S
S
r

=
+
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9
ng dng CAPM - c lng ma trn hip phng
sai, phn tch ri ro ca ti sn, danh mc v tnh VaR
V hnh thc, c bit l i vi dng ngu nhin ca
CAPM (dng ngu nhin ca ng SML), CAPM ging
nh SIM, ch vic thay vai tr ca ch s I trong SIM
bng danh mc th trng M
p dng cc cng thc c lng trong phn ng dng
SIM(chng 3)
c lng ma trn hip phng sai
| |
2
M
V ' + V

=
Phn tch ri ro ca ti sn, danh mc
2 2 2 2
i
i i
M

= +
-
2
i

: tng ri ro ca ti sn

2 2
i M

: ri ro th trng (ri ro h thng)

2
i

: ri ro ring (ri ro phi h thng)

Tnh VaR ca ti sn
Cngthc tnhVaR ca ti sn i:
VaR(1 ngy, *100% ) =
i
+N
-1
()
i
Thc t p dng, cho
i
=0:
VaR(1 ngy, *100% ) =N
-1
()
i
Nh u t nm gi ti sn i tr gi x:
Gitr trn: VaR tng hp (Total VaR) ca ti sn
Nhnt th nht: VaR do ri ro th trng
Nhnt th hai: VaR ring ca ti sn
VaR(1 ngy, P&L, *100% ) =
x*N
-1
()*
( )
1/ 2
2 2 2
i
i M

+
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10
Tnh VaR ca danh mc
- Danh mc P: Nti sn i (i=1N)
- Gi thit Cov(
i
,
j
) =0 i j, ph hp vi thc t khi s
dng CAPM
- Ma trn hip phng sai V ca cc ti sn:
- Suyra:
- P c dng gi tr (cc khon tin u t vo N ti sn):
X =(x
1
, x
2
, ., x
N
)
| |
2
* '
M
V V

= +
| | ( )
2 2
* ' ' '
P M
w w w V w

= +
VaR(1 ngy, P&L, *100% ) =
N
-1
()*
1/ 2
2
'( ') '
M
X X X V X

(
+


c lng v kim nh CAPM
c lng cc tham s ca CAPM
Phng trnhc bn ca CAPM:
c lng cc tham s ca CAPM tng ng c
lng ng SML
CAPMdng ngu nhin:
( )
i f i M f
r r r r = +
( )
it f i Mt f it
r r r r = + +
Xc nh danh mc th trng
Xc nh danh mc th trng theo nh ngha: phi s
dng s liu v gi tr ca tt c ti sn ri ro giao dch
trnth trng
c lng t trng:
Cc t trng c th tnh theo chu k t: ngy, tun, thng
Khiu: w
M
it
(i: tt c cc ti sn ri ro)
Tnhcc c trng ca M:
Trong thc t khng th xc nh theo cch trn chn
danh mc i din cho danh mc th trng (Market
Proxy) v thng dng ch s th trng
M
i
w
i
i
V
V
=

M 2 M M
it
w ; w ' w
Mt it M
i
r r V = =

1/2/2013
11
c lng (xc nh) li sut phi ri ro
Cch 1: Nhiu th trng ti chnh trn th gii dng li sut
ca tri phiu chnh ph, hoc li sut ca ngn hng TW
lmli sut phi ri ro
M: li sut tn phiu kho bc Nh nc (T-Bill) ngn hn
lmli sut phi ri ro
Anh: li sut lin ngn hng (LIBOR: London Interbank
Offered Rates)
? Vit nam: li sut huy ng lin ngn hng, li sut tri
phiu Chnhph
Cch 2: c lng r
f
t phng trnh ng th trng vn
CML
CML:
M f
i f i
M
r r
r r

| |
= +
|
\ .
c lng r
f
t CML
Dng ngu nhin:
Tng ng vi mhnhhi quy n:
Dng phng php OLS (hoc mt s phng php
ph hp khc) c lng hi quy trn i vi mi ti
sn i ta thuc c lng ca h s chn
S dng c lng ny lmc lng ca r
f
i f i i
r r = + +
i i i
r = + +
c lng h s ca ti sn
CAPMdng ngu nhin:
vi
Phng trnhtrn: m hnhhi quy n
Chn phng php thch hp c lng |
i
tng t
nh khi c lng mhnhSIM
Khi bit li sut phi ri ro r
f
,ta c th c lng
phng trnhphn b ri ro:
it i Mt it
r r = + +
(1 )
i f
r =
( )
it f i Mt f it
r r r r = +
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12
Th d
c lng CAPM i vi c phiu LAF
S dng s liu theo ngy giao dch ca c phiu LAF v
Vn-Index c lng h s |
LAF
ca c phiu LAF
Kt qu:
Dependent Variable: LSLAF
Method: Least Squares
Sample(adjusted): 1/06/200411/25/2005
Included observations: 494 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000405 0.001615 -0.251007 0.8019
LS_VNINDEX 0.550083 0.147355 3.733052 0.0002
R-squared 0.027544 Mean dependent var 0.000266
Adjusted R-squared 0.025568 S.D. dependent var 0.036136
S.E. of regression 0.035671 Akaike infocriterion -3.824931
Sumsquared resid 0.626022 Schwarz criterion -3.807917
Log likelihood 946.7580 F-statistic 13.93568
Durbin-Watson stat 1.958804 Prob(F-statistic) 0.000211

Nhn xt kt qu
Thc hin cc kim nh v khuyt tt ca m hnh: 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
khngng k)
H s |
LAF
: 0,550083 nh hn so vi c phiu REE: |
REE
=
1,101501(theo Th d trong chng 3)
T kt qu trn: trong giai on 2004 2005 c phiu REE
c ri ro cao hn LAF tuy nhin mc gi trung bnh trong giai
on trnca LAF: 29.580 cnca REE: 26.255!
Theo CAPM: c phiu LAF c th trng nh gi cao
trongkhi REE b nh gi thp
By thng u nm 2006 th trng iu chnh cc mc
gi trn ph hp vi CAPM, mc gi trung bnh ca LAF
gim xung cn23.571 v ca REE tng ln thnh69.685
chnh xc ca c lng
V k thut, chnh xc ca c lng h s | ph thuc:
Chn danh mc th trng, i vi cc th trng ti chnh trong c
nhiu ch s i din vic chn ch s no c c lng tin cy ph
thuc vo kinh nghim thc t: chn ch s ring cho tng nhm, loi
hnhti sn
S lng v chu k quan st: theo kinh nghim thc t cc cng ty:
Merrill Lynch, Bloomberg, Value Line, BARRA thng s dng s liu
theo tun hoc thng ca 5 nm gn nht c lng. tng mc
chnh xc ca c lng Cng ty Bloomberg a ra cch tnh h s
| c hiu chnh theo cng thc sau:
|
Adjust
=0,66 |
uocluong
+0,34
i vi Vit nam, do th trng chng khon hot ng trong thi gian
cha di nn, theo tc gi, ta c th s dng s liu theo ngy c
lng
Nu s dng cng thc iu chnh ca Bloomberg i vi h s | ca
REE v LAF:
|
REE(Adj)
: 1,0669
|
LAF(Adj)
: 0,7031
Vic s dng s liu tun hoc thng i hi c s d liu tng ng
cngcc phng phpphntch, tng hp d liu phhp
S dng m hnhGARCHv cc bin th c lng
1/2/2013
13
Kim nh CAPM
M hnh kim nh
Kim nh CAPM (Test of the CAPM): kim nh s ph hp ca ng
SML (lthuyt) vi s liu thc t
CAPMdng ngu nhin:
Gi ER
i+
=r
i
r
f
v ER
M
: r
M
r
f
: li sut tri (Excess Return) ca ti sn i,
ca th trng
( )
i f i M f
r r r r = +
i
( )
i f M f i
r r r r = +
(*)
i M i i
ER ER = +
0 1
(**)
i i i
ER = + +
Tiu chun ph hp ca CAPM
So snh (*) vi (**): nu CAPM ph hp vi thc t
(CAPM: ng) th sau khi c lng hi quy (**) theo h
s |
i
ca tt c cc ti sn v thc hin kim nh i vi
cch s hi quy
0
v
1
s phi c cc kt lun:
H s ct
0
=0 v nu
0
= 0 chng t rng ngoi h s |
(ri ro th trng) cn c cc yu t khc tc ng ti li
sut ti sn
Hi quy (**) l ph hp (ch c h s | l bin gii thch
duynht)
H s gc
1
=ER
M
(theo ngha thng k)

1
>0 (theo ngha thng k) v
1
=ER
M
v do danh mc M
cri ro
Mt s kt qu kim nh trong thc t
Friend Blume (1970), Black J ensen Scholes (1972),
Fama Macbeth (1973):
S dng s liu theo thng ca cc c phiu giao dch trn th
trng NYSE,danh mc th trng: ch s SP 500 (c tc gi
s dng danh mc c tnh theo t trng gi tr ca tt c
cc c phiu trn th trng) c lng CAPM v rt ra
mt s nhn xt sau:
- i vi cc c phiu c h s | thp (| <1): li sut c
lng theo CAPM nh hn li sut thc t v ngc li, c
phiu c | cao (|>1): li sut c lng theo CAPM ln hn
li sut thc t; tc l SML c lng t dc hn so vi SML
lthuyt
- Li sut ca danh mc th trng khng gii thch y s
bin ng ca li sut cc c phiu (
0
>0)
-
1
<ER
M
- C mt s yu t khc cng nh hng n li sut ca c
phiu, chng hn nh: Quy m vn ho ca doanh nghip,
li sut 6 thng trc ca c phiu, t s B/M, lnh vc hot
ng ca doanh nghip pht hnh(Hi quy thiu bin)
1/2/2013
14
Minh ha
1
SML l
thuyt
SML c
lng
Li sut
M
r
f
H s |
Nhiu kt qu kim nh khng ng h CAPM
Mc chnh xc ca cc c lng cn ph thuc vo
nhiu vn thuc kinh t lng ny sinh trong qu
trnhc lng
Thc t c nhiu tc gi nghin cu tha nhn: li
sut ti sn ph thuc tuyn tnh vo li sut th trng
(ph thuc tuyn tnhvo h s | ca ti sn)
nh gi v kim nh CAPM ca Roll
R. Roll: A Critique of the Asset Pricing Theorys Tests (J ournal
of Financial Economics March 1977):nhn nh v vic kim
nh CAPM:
- Kh c th kim nh c m hnh CAPM v vn mu
cht ch danh mc M khng quan st c
- Cc c lng ca cc tc gi phi s dng mt danh mc
no i din cho M
Roll lp lun: quan h tuyn tnh gia phn b ri ro v h s |
luntn ti (theo kt qu trong chng III)
Khi kim nh CAPMdngdanhmc P thay th M:
P hiu qu: quan h (*) l ng trong khi CAPM c th khng
ng (sai lm loi 2 ca kim nh gi thuyt thng k)
P phi hiu qu, s khng c quanh (*) dn ti vic bc b s
ph hp (tnh ng n ca CAPM) trong khi CAPM c th
phhp (sai lm loi 1 ca kim nh gi thuyt thng k)
( )(*)
Q f QP P f
r r r r = +
1/2/2013
15
M rng CAPM
Trng hp li sut ca ti sn khng c phn b
chun
ngha: H s bt i xng (Skewness):

H s nhn (Kurtosis):
i vi vi phn phi chun: S(r)=0 v K(r)=3
3
3
( )
( )
r
S r E

(
=
(

4
4
( )
( )
r
Kr E

(
=
(

Phn 2 ui ca th hm mt rt gn vi trc
honh khi sang phi hoc tri (ui gy (ThinTail))
ngha: kh nng sau mt chu k gi ti sn tng (hoc
gim) vi bin ln l rt thp
Tnh cht i xng ca th hmmt : tn sut tng
v gim gi ca ti sn l nh nhau
f(r)
r +3o - 3o
Li sut ca ti sn khng c phn b chun
th hmmt khng i xng, c ui dy (Fat Tail)
Kh nng sau mt chu k gi ti sn tng (hoc gim) vi bin ln
lc vi xc sut ng k
Nu lch tri (S(r) <0): tn sut gim gi ca ti sn kh cao,nu lch
phi (S(r) >0): tn sut tng gi ca ti sn kh cao
E. Fama (1965): Nu li sut ca ti sn khng c phn b chun
nhng hoc l c phn b loga chun, hoc l thuc lp phn b n
nh (Stable) th mhnh CAPMvn ng

lch tri
lch phi
1/2/2013
16
Bi tp
Bi tp cui chng: 2,5,7, 15
Bi tp thc hnh nhm