Tnh trng nn kinh t

Tng trng
Bnh thng
Suy thoi

xc sut (pj)
0.3
0.5
0.2

T sut li nhun k vng ca tng c phiu

phng sai v TSLN ca tng c phiu
lch chun
H s bin thin
Hip phng sai
H s tng quan
Ty suat loi nhuan cua DMDT
Phuong sai cua DMDT
do lech chuan cua DMDT
He so bien thien cua DMDT
He so beta cua co phieu A
He so beta cua co phieu B
He so beta cua DMDT

RAj(%) RBj(%) RMj(%)

70
10
40
35
30
25
-25
40
5
33.5
1085.25
32.94
0.98
-336.0
-0.92
30.50
571.81
23.91
0.78
2.70
-0.87
1.28

26.00
124
11.14
0.43

Tri phiu Chnh ph

Tri phiu tp on Microsoft
Tri phiu tp on FPT
Tri phiu tp on Hoa Sen
1.Hy cho bit nh u t s phi chp nhn nhng ri ro g khi u t
vo cc loi ti sn ti chnh?
2.Tri phiu no trong 4 tri phiu trn c ri ro cao nht?
3.Li sut ca tri phiu no trong 4 tri phiu trn l cao nht?

25.50
147.25
398.25 -128.00

Nm
2006
2007
2008
2009
2010

TSLN CP X TSLN CPY TSLN TT

-10
-5
-7
8
10
15
7
8
5
24
25
20
-20
-15
-13

TSLN tb
1.80
4.60
208.92
208.92
Phng sai
293.20
233.30
0.8
lch chun
17.12
15.27
H s bin thin
9.51
3.32
Hip phng sai
208.92
he so tuong quan
0.8
T sut li nhun trung bnh ca danh mc u t
3.76
2.64 Y rui ro cao hon X
Phuong sai cua danh muc dau tu
X rui ro cao hon Y
228.45
252.41
15.11
15.89

Trng thi TT
XS (pj)
TSLN CP 1
TSLN CP 2 COV(R1,R2)
Tng trng
0.2
60%
5%
267% 2
Bnh thng
0.5
30%
35% H s tng quan - CORR (R1,R2)
Suy thoi
0.3
-10%
40%
0.83
Ty suat loi nhuan trung bnh k vng cua tung co phieu
cp 1
cp 2
-267.000
24%
30.50%
31.89
phuong sai ve ty suat loi nhuan cua tung co phieu
5.65%
624.0000
167.2500
do lech chuan
24.98%
12.93%
H s bin thin
1.04
0.42
Ty sut li nhun k vng ca danh mc u t bao gm 2 c phiu 1 v 2

R p 24% * 0,4 30,5% * 0,6 27,9%

Phng sai v t sut li nhun ca danh mc u t bao gm c phiu 1 v 2

p2 0,42 (24,98)2 2 x0,4x0,6 x(2,67) 0,62 (12,93)2

Min xc nh ca h s tng quan [-1;1]
Khi kt hp c hai c phiu c h s tng quan CORR(Rx,Ry) = -1.0
Hai c phiu X v Y tng quan nghch hon ton
Ri ro ca DMT c trit tiu hon ton ( lch chun =0)
0.04
Khi kt hp c hai c phiu c h s tng quan CORR(Rx,Ry) = +1.0
Hai c phiu X v Y tng quan thun hon ton
Ri ro ca DMT giu nguyn
Khi kt hp c hai c phiu c h s tng quan CORR(Rx,Ry) = - 0,6
Hai c phiu X v Y tng quan nghch khng hon ton
Ri ro ca DMT c trit tiu phn nhiu
Khi kt hp c hai c phiu c h s tng quan CORR(Rx,Ry) = +0,6
Hai c phiu X v Y tng quan thun khng hon ton
Ri ro ca DMT c trit tiu phn nh
Bi tp minh ha cho s kt lun trn l bi 4 chng 5

CPX
CPX
CPY
CPZ

wx2 x2

wX wY Cov( X ,Y )

CPY

CPZ

wY wX Cov(Y , X ) wZ wX Cov(Z , X )
w Y2 Y2

wZ wY Cov(Z ,Y )

wX wZCov( X , Z ) wY wZ Cov(Y , Z )

1
( X j X ) *(Yj Y ) Cov( X ,Y )
n

wZ2 Z2

1
(Y j Y ) * ( X j X ) Cov(Y , X )
n

CP 1
T sut li nhun
lch chun
H s bin thin

28
16
0.57

CP2
37
19
0.51

Kh nng Xc sut Tin thngchi ph

1
0.167
0
1000
2
0.167
2000
1000
3
0.167
0
1000
4
0.167
2000
1000
5
0.167
0
1000
6
0.167
2000
1000

Xj
-1000
1000
-1000
1000
-1000
1000

Xj
-166.67
166.67
-166.67
166.67
-166.67
166.67
0.00

TSLN
-100%
100%
-100%
100%
-100%
100%

-16.67%
16.67%
-16.67%
16.67%
-16.67%
16.67%
0.00%

Nm TSLN CP X TSLN CPY TSLN CPZ TSLN CP T

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
PS
TT
TSLN tb

10
12
9
15
20
-10
8
7
24
-20
175.17
0.25
7.5

Column 1
Column 2
Column 3

17
13
12
20
32
-5
10
8
25
-15
188.46
0.50
11.7

19
12
-10
15
22
13.50
24
12
23
11
96.00
0.25
14.15

Column 1
Column 2
157.65
158.25
169.61
-85.55
-120.23

76.69875
8.75778225

Column 1
Column 2
Column 3

-12
30
15
-15
-10
16
30
26
-5
14
317.21
0.25
8.9

76.69875
8.7577823

Column 1
Column 2
157.65
158.25
169.61
-85.55
-120.23

Nm TSLN CP X TSLN CPY TSLN CPZ TSLN CP T

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
PS
TT
TSLN tb

10
12
9
15
20
-10
8
7
24
-20
175.17
0.25
7.5

17
13
12
20
32
-5
10
8
25
-15
188.46
0.25
11.7

-12
30
15
-15
-10
16
30
26
-5
14
317.21
0.25
8.9

19
12
-10
15
22
13.50
24
12
23
11
96.00
0.25
14.15

Column 1
Column 2
Column 3
Column 4

Column 1
Column 2 Column 3 Column 4
157.65
158.25
169.61
-85.55
-120.23
285.49
32.075
38.595
-43.535
86.4025