Chng 5

RI RO V T SUT SINH
LI
5.1 L thuyt danh mc hiu qu Markowitz
5.2 M hnh nh gi ti sn vn (CAPM)
5.3 M hnh kinh doanh chnh lch gi (APT)
5.4 So snh m hnh CAPM v APT
5.1 L THUYT MARKOWITZ
CC GI NH C BN
Theo Markowitz, ri ro l mc bt n ca
TSSL. V th, thc o ri ro ph hp cho ri ro l
phng sai v lch chun.
TSSL tun theo phn phi chun.
Cc nh u t khng thch ri ro nhng s chp
nhn ri ro nhng mc khc nhau (khu v ri
ro).
Thi i vi ri ro l s khc bit trong TSSL
mong i ca nh u t trong tng quan nh
i ri ro.

5.1 L THUYT MARKOWITZ
CC GI NH C BN
Cc nh u t lun ti a ha li ch mong i
trong mt thi k nht nh.
ng cong hu dng ca nh u t l mt hm
s ca t sut sinh li mong i v phng sai
(hoc lch chun) ca t sut sinh li.
U = E(r) VAR(r)

5.1 L THUYT MARKOWITZ
NI DUNG CA L THUYT DANH MC
HIU QU MARKOWITZ
Danh mc hiu qu l danh mc u t c TSSL
ln nht cho mt mc ri ro hoc ri ro thp
nht cho mi mc TSSL.
Danh mc hiu qu l danh mc c mc nh
i gia t sut sinh li v ri ro ln nht.
ng bin hiu qu th hin tp hp cc danh
mc hiu qu.
Danh mc u t ti u ca nh u t l tip
im ca ng bin hiu qu v ng ng
dng cao nht


5.1 L THUYT MARKOWITZ
5.1 L THUYT MARKOWITZ
XY DNG L THUYT DANH MC MARKOWITZ
lch chun
T sut sinh li
mong i
5.1 L THUYT MARKOWITZ
lch chun
T sut sinh li
mong i
5.1 L THUYT MARKOWITZ
lch chun
T sut sinh li mong i
Hiu qu bin
5.1 L THUYT MARKOWITZ
Tt c cc kt hp c th xy ra ch gii hn bn
trong v bn di hnh qu trng v.
Khng c kh nng chn la mt danh mc c t
sut sinh li vt trn ng bin hiu qu.
Tt c nhng kt hp tt nht nm trn ng bin
hiu qu (ng bin ca hnh qu trng v).
Nh u t s chn danh mc ti u l tip im
ca ng bin hiu qu v ng hu dng cao
nht.
5.1 L THUYT MARKOWITZ
5.2 M HNH CAPM
CC GI NH C BN
Cc gi nh ca m hnh danh mc hiu qu
Markowitz.
Nh u t c th vay v cho vay li sut phi ri
ro.
Cc nh u t c k vng thun nht: nh u t
c lng cc phn phi xc sut t sut sinh li
trong tng lai ging ht nhau.
Khng c thu v chi ph giao dch lin quan ti
vic mua v bn cc ti sn.


5.2 M HNH CAPM
Khng c lm pht hay bt k thay i no trong
li sut, hoc lm pht c phn nh mt cch
y .
Cc th trng vn trng thi cn bng. iu ny
c ngha l chng ta bt u vi tt c cc ti sn
c nh gi ng vi mc ri ro ca chng.
Tt c cc khon u t c th phn chia ty , c
ngha l cc nh u t c th mua v bn cc t l
phn trm ca bt k ti sn hay danh mc no.
Gi thuyt ny cho php chng ta tho lun cc kt
hp u t hp thnh cc ng cong lin tc.

5.2 M HNH CAPM
KT QU CA M HNH CAPM


TSSL chng khon = TSSL phi ri ro + phn b
ri ro chng khon.
Phn b ri ro chng khon = Thc o ri ro x
Phn b ri ro th trng.
Phn b ri ro th trng = TSSL th trng
TSSL phi ri ro.

) r R ( r ) R ( E
f M i f i
| + =
5.2 M HNH CAPM
XY DNG M HNH CAPM
L thuyt th trng vn: th trng tn ti 2 loi
ti sn: ti sn ri ro v ti sn phi ri ro.
Ti sn ri ro: l mt ti sn c t sut sinh li
khng chc chn trong tng lai. Ri ro ti sn
c o lng trn c s phng sai/ lch
chun.
Ti sn phi ri ro: l ti sn c t sut sinh li chc
chn. V th c lch chun bng 0.
Hip phng sai ca ti sn phi ri ro vi bt k
ti sn khc bng 0.
5.2 M HNH CAPM
Kt hp ti sn phi ri ro vo danh mc:
T sut sinh li mong i:


Phng sai danh mc

) R ( E ). w 1 ( r . w ) R ( E
i f f f p
+ =
i f fi f f
2
i
2
f
2
f
2
f
2
p
) w 1 ( w 2 ) w 1 ( w o o + o + o = o
5.2 M HNH CAPM
Do phng sai ca TSSL phi ri ro bng 0.
ng thi h s tng quan ca ti sn phi ri ro
v danh mc cng bng 0.
lch chun danh mc:


Nh vy, lch chun ca danh mc kt hp gia
mt ti sn phi ri ro vi cc ti sn ri ro l t l
tuyn tnh ca lch chun danh mc cc ti sn
ri ro.


i f i f p
w w o o o ) 1 ( ) 1 (
2 2
= =
5.2 M HNH CAPM
5.2 M HNH CAPM
ng hiu qu ca th trng khng cn l
ng bin hiu qu Markowitz.
ng hiu qu mi l ng thng xut pht t rf
v tip xc ng bin hiu qu Markowitz ti M.
Nh u t c th m rng ng hiu qu trn
bng cch vay n vi li sut phi ri ro u t
ton b vo danh mc M.
ng hiu qu mi gi l ng CML (ng th
trng vn).

5.2 M HNH CAPM
ng th trng vn CML gi 3 ch im:
Nguyn l phn cch:
Danh mc th trng (M)
Thc o ri ro mi


5.2 M HNH CAPM
Nguyn l phn cch:
Tobin gi s tch bit quyt nh u t ra quyt
nh ti tr l nguyn l phn cch.
CML dn tt c cc nh u t u t vo mt
danh mc cc ti sn ri ro nh nhau, l danh
mc th trng M.
Cc nh u t ch khc nhau cc v tr trn
ng CML, v tr ny ty thuc vo s thch ri
ro ca nh u t.
Cch thc m cc nh u t t n mt im
trn CML ph thuc vo cc quyt nh ti tr ca
h.

5.2 M HNH CAPM
Danh mc th trng:
Danh mc M nm ti im tip tuyn nn n c
ng kh nng kt hp ca v th danh mc M
phi bao gm tt c cc ti sn ri ro.
V th trng cn bng, nn M cha ng cc ti
sn ri ro vi t trng gi tr th trng ca chng.
Danh mc th trng bao gm tt c cc ti sn ri
ro nn n l danh mc a dng ha hon ton c
ngha l tt c cc ri ro ring ca mi ti sn trong
danh mc u c a dng ha.

5.2 M HNH CAPM
L thuyt: danh mc th trng phi bao gm tt
c ti sn c ri ro: khng ch bao gm cc c phn
thng m cha tt c cc ti sn ri ro, chng hn
nh, cc c phiu nc ngoi, cc tri phiu,
quyn chn, bt ng sn, tranh ngh thut, c.
Thc t: mt danh mc c phiu c a dng ha
tt phi c t nht 30 c phiu i vi mt nh u
t i vay v 40 c phiu i vi mt nh u t
cho vay
5.2 M HNH CAPM
Thc o ri ro mi:
S xut hin ca danh mc th trng cho bit
trong danh mc a dng ha tt, ri ro phi h
thng b loi tr, ch c ri ro h thng l ng
quan tm i vi nh u t.
Thc o ri ro h thng ng tin cy ca cc ti
sn ri ro l hip phng sai ca chng vi danh
mc th trng.

5.2 M HNH CAPM
T sut sinh li ca danh mc th trng, RM, s
tng ng vi ri ro ca n, chnh l hip
phng sai ca th trng vi chnh n.
Phng trnh ca ng ri ro t sut sinh li
(SML) l
) ( ) (
2
,
f M
M
M i
f i
r R
Cov
r R E + =
o
) r R ( r ) R ( E
f M i f i
| + =
2
M
M , i
i
Cov
o
= |
5.2 M HNH CAPM
E(r
i
) = r
f
+ | x (E(r
m
) - r
f
)
T sut sinh li k vng = TSSL phi ri ro + phn
b ri ro ca chng khon.
Phn b ri ro chng khon = ri ro h thng
chng khon (|) x phn b ri ro th trng.


5.2 M HNH CAPM
E(R
i
) = r
f
+ |
i
(R
M
r
f
). Vi r
f
= 6% v R
M
= 12%
E(R
A
) = 0,06 + 0,70(0,12 0,06) = 10,2%
E(R
B
) = 0,06 + 1,00(0,12 0,06) = 12%
E(R
C
) = 0,06 + 1,15(0,12 0,06) = 12,9%
E(R
D
) = 0,06 + 1,40(0,12 0,06) = 14,4%
E(R
E
) = 0,06 + (0,30)(0,12 0,06) = 4,2%
5.3 M HNH APT
M hnh mt nhn t

E(R
i
) = r
F
+ |
1

1


E(R
i
): TSSL mong i ca chng khon
r
F
: TSSL phi ri ro
|
1
: Beta nhn t th nht ca chng khon i.

1
: Phn b ri ro nhn t th nht.


5.3 M HNH APT
M hnh a nhn t:
E(R
i
) = r
F
+ |
1,j

1
+ |
2,j

12
+. . .+ |
k,j

k
|
k,i
: Beta nhn t th k ca chng khon i.

k
: Phn b ri ro nhn t th k.
Hoc
E(R
i
)

= r
F
+ |
1,j
(o
1
r
F
) + |
2,j
(o
2
r
R
) + . . .+ |
k,j
(o
k

r
F
)

o
k
: TSSL nhn t th k.


5.4 SO SNH M HNH CAPM
V APT
M HNH CAPM M HNH APT
Nhn t Th trng Ty chn
TSSL thc hin R
i,t
= a
i
+|
I
R
M,t
+ c
it
R
i,t
= a
i
+|
I
F
I,t
+ c
it
TSSL k vng E(R
i
) = r
f
+|
i
[E(R
M
)-r
f
] E(R
i
) = r
f
+|
I,j