CHNG 9

DANH MC U T HIU QU
C BN KHNG

Financial Modeling

MC TIU CA CHNG
Nm bt c kin thc & k nng xy
dng v:
Danh mc u t hiu qu
ng hiu qu
Trong trng hp c bn khng

Financial Modeling

NI DUNG CA CHNG
1. Danh mc u t hiu qu l g
2. Cc nh v DMT hiu qu (5 nh )
3. Tnh ton ng bin hiu qu
4. Danh mc th trng
5. Beta v ng SML

Financial Modeling

Nhc li mt s kin thc

Ti sn phi ri ro: mc li nhun, TSSL do ti sn em li
c th tnh trc c, ngoi ra TS khng c ri ro tn
dng (vd: tri phiu kho bc, tri phiu chnh ph,..)
c im: lch chun TS phi RR = 0 mi tng quan
ca TSSL ca TS phi ri ro (rf) vi cc TS c RR khc u
= 0.
ng th trng vn CML: tp trung tt c cc DMT
kh thi kt hp gia DMTT & TS phi RR
dc CML =

Financial Modeling

E (rM ) Rf
M
4

Nhc li mt s kin thc

ng cong hu dng (U): ca 1 NT ch cc kt hp
u t m h sn lng chp nhn gia ri ro & TSSL.
ng cong hu dng tip xc vi ng bin hiu qu
ng cong hu dng xc nh DM ph hp nht i
vi NT trn ng bin hiu qu.
DM ti u: l DM nm trn ng bin hiu qu c mc
hu dng cao nht i vi NT.
U = E(r) . Var

E(r) = Umax + .Var

: dc mc thn trng ca NT

.Var: chi ph cho RR; = 0 NT bt chp RR

Financial Modeling

DANH MC U T HIU QU
DMT hiu qu: DM c TSSL cao nht ng vi
lch chun cho trc hoc DM c lch chun thp
nht ng vi TSSL cho trc.
DM hiu qu: DM c mc nh i gia TSSL &
ri ro ln nht.
DM hiu qu: DM c dc ln nht, l tip im ca
1 im cho trc trn trc tung vi ng bin hiu
qu th trng.

Financial Modeling

9.1 CC NH NN TNG

nh 1

c: hng s bt k ma trn hng sau:

E (r1 ) c
R c E (r2 ) c
E (rN ) c

Bt k ma trn X tun theo mu hnh sau u l DM hiu

qu
Z= S-1{R c}
x = {x1,,xN}, xi: t trng VT vo DM ca CK i
Vi

xi

zi
N

z
j1

Financial Modeling

9.1 CC NH NN TNG

Financial Modeling

9.1 CC NH NN TNG
nh 2
Vi bt k 2 DMT hiu qu no ta cng u c th
thit lp nn ton b cc DM hiu qu.
Gi 2 DMT hiu qu bt k x = {x1,,xN} &
y = {y1,.,yN}. DM sau l kt hp gia DM x & y
cng l DM hiu qu:

ax 1 (1 a ) y1
ax (1 a ) y
2
ax (1 a ) y 2
.............

ax

(
1

a
)
y
N
N

Financial Modeling

9.1 CC NH NN TNG
nh 3
y: DMT hiu qu bt k, vi bt k DMT x no (c
th l hiu qu hoc khng), ta c mi quan h sau:
E(rx) = c + x[E(ry) c]
Vi

Cov( x , y)
2y

c: l TSSL mong i ca DM z (nh 1): DM c hip

phng sai vi y bng 0
c = E(rz); Vi Cov(y,z) = 0

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9.1 CC NH NN TNG

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9.1 CC NH NN TNG
nh 4:
Nu tn ti 1 ti sn phi ri ro c TSSL: rf, khi tn ti 1
DMT hiu qu M sao cho:
E(rx) = rf + x[E(rM) rf]; Vi

Cov( x, M )
2M

M: l 1 DM gm tt c ti sn (chng khon) c ri ro
trong nn kinh t, vi t l u t vo mi ti sn c
tnh theo gi tr ca chng so vi tng gi tr ca DM.

xi

Vi
N

V
h 1

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9.1 CC NH NN TNG
nh 5:
Gi nh c 1 DM y & 1 DM x c mi quan h sau:
E(rx) = c + x[E(ry) c]
Vi

Cov( x , y)
x
2y

Th DM y s l DM hiu qu

Financial Modeling

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9.2 TNH NG BIN HIU QU

Gi nh c 4 ti sn ri ro c ma trn TSSL mong
i & phng sai nh sau:

Vn dng nh 1 tnh 2 DM hiu qu x & y

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9.2 TNH NG BIN HIU QU

DM hiu qu x tng ng vi c = 0, DM hiu qu y
c hng s c = 6,5%

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9.2 TNH NG BIN HIU QU

Chng ta tip tc tnh ton TSSL TB, lch chun
& phng sai TSSL ca DM x & y:

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9.2 TNH NG BIN HIU QU

Sau tnh ng bin hiu qu: kt hp gia 2
DM hiu qu x & y
E(Rp) = aE(Rx) + (1 a)E(Ry)
p a 2 2x (1 a ) 2 2y 2a (1 a )Cov( x , y)

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9.2 TNH NG BIN HIU QU

S dng Data Table c d liu v TSSL &
lch chun DM khi t trng a thay i

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9.2 TNH NG BIN HIU QU

S dng th ca Excel c ng bin hiu qu

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9.3 DANH MC TH TRNG

Gi nh: tn ti cc ti sn phi ri ro & nhng ti
sn ny c TSSL: rf. Gi M: DM hiu qu tun theo
cc phng trnh sau:
R rf = Sz ;

Vi:

Mi

zi
N

z
i 1

ng CML l kt hp li gia danh mc th trng

& ti sn phi ri ro: E(rp) = arf + (1 a)E(rM)

p a (1 a) 2a(1 a)Cov(r f , M ) (1 a) M
2 2
rf

Financial Modeling

2
M

20

9.3 DANH MC TH TRNG

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9.3 DANH MC TH TRNG

Danh mc M c gi l DMTT v cc l do sau:
Gi nh NT c k vng thun nht & h ch quan tm n
ti a ha TSSL ca DM t 1 gi tr lch chun cho trc .
Khi tt c cc DM ti u s nm trn ng CML.
Trong TH trn, danh mc M ch l DM cc ti sn c ri ro bao
gm trong bt k DM ti u. Do DM phi bao gm tt c
cc ti sn c ri ro, vi t trng VT vo mi ti sn theo
GTTT, l:
Mi

zi
N

z
i 1

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9.3 DANH MC TH TRNG

Gi nh: li sut phi ri ro rf = 5%. Khi R rf = Sz
nh sau:

nh 4 cho thy rng khi c mt ti sn phi ri ro,

ta c mi quan h tuyn tnh (c hiu nh l ng
th trng chng khon SML) nh sau:
Cov( x , M )

E(rx) = rf + x[E(rm) rf] ; Vi x

2M
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9.4 BETA V NG SML

Cc quy tc chung kim nh CAPM:
Xc nh mt ng vin i din cho DMTT M.
Xc nh h s beta tng ng ca tng
C.Khon.
Hi quy gi tr TSSL trung bnh ca cc chng
khon theo h s beta tng ng ca chng.
Bc ny s gip tnh c phng trnh ng
SML.
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9.4 BETA V NG SML

Kim nh m hnh CAPM:
Bc 1: Chn danh mc th trng (tm thi chn VN-Index)
Bc 2: Tnh TSSL trung bnh & beta cc chng khon:
i

Co var( TSSL ch
ng khoa
n i, TSSL VN Index)
Varp (TSSL VN Index)

Tnh ton beta: s dng hm Covar( ) & Varp() hoc s

dng hm Slope( ) ca Excel.

ng SML ca m hnh CAPM cho rng:

E(Ri) = + i + i.

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9.4 BETA V NG SML

Bc 3: kim tra gi thuyt ny bng cch hi quy cc gi

tr TSSL theo h s beta ca n.

thc hin hi quy: dng hm Intercept( ), Slope( ) &

Rsq( ) c c cc kt qu hi quy c bn nh sau:

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9.4 BETA V NG SML

Hoc dng cng c Tools/Data/Analysis/Regression hi

quy mt cch chi tit hn & nhn c nhiu kt qu hn.

Cc kt qu ny cho thy rng ng SML c cho bi

cng thc E(Ri) = + i vi = 0,0766 & = 0,0545.

H s R2 ca hi quy (l % thay i trong cc gi tr TSSL

khi beta thay i) = 28%.

E(Ri) = 7,66% + 5,45%i , R2 = 27,93%.

Nu TSSL phi ri ro (danh mc c beta = 0) l 7,66% th

TSSL danh mc th trng l 13,11%.

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9.4 BETA V NG SML

Cc vn trong kim nh CAPM
V d trn cho thy R2 hoc t-statistic khng cho thy c
mi tng quan gia TSSL mong i & h s beta ca DM.
iu ny c th do cc nguyn nhn:
M hnh CAPM khng c gi vng. iu ny c th l do
nhng nguyn nhn sau:
Trn th trng vic mua bn khng b hn ch.
Khng phi tt c cc nh u t u c k vng thun
nht lin quan n gi tr TSSL, phng sai & hip
phng sai ca cc chng khon.
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9.4 BETA V NG SML

Cc vn trong kim nh CAPM
M hnh CAPM ch ng cho cc kt hp u t vo
cc DM hn l kt hp u t vo cc ti sn (chng
khon) ring l.
Tp hp cc la chn (ti sn) chng khon khng
ln: M hnh CAPM s dng thut ng tt c cc
ti sn c ri ro trong khi mu chn quan st ch l 1
tp hp con rt nh ca nhng ti sn ny.
C l danh mc th trng l khng hiu qu.
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9.4 BETA v NG SML

S khng hiu qu ca danh mc th trng
Thc t: DM VN-Index khng phi l DM hiu qu (ch c
6 chng khon).
Theo nh 3: nu hi quy cc gi tr TSSL ca 6 CK
ny theo mt DM hiu qu i vi cc chng khon th
kt qu h s tng quan R2 = 100%.
Theo nh 5: nu h s tng quan R2 = 100% th khi
DM c hi quy theo cc gi tr TSSL ca cc chng
khon nht thit phi l DM hiu qu i vi cc CK ny.

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9.4 BETA V NG SML

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9.4 BETA V NG SML

Tnh li danh mc th trng hiu qu:
Chng ta tm 1 DM hiu qu c cng lch
chun vi DMTT VN-Index. DM ny c th c
ly t bng tnh data table phn trc vi t
trng VT vo
x = 1,426 ; y= 2,4526.

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9.4 BETA V NG SML

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9.4 BETA V NG SML

Tnh li phng trnh ng SML:

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9.4 BETA V NG SML

Danh mc th trng thc s l g?

DM th trng trnh by c th l hiu qu i vi 6 CK

nhng DM ny khng th l DMTT ng ngha bi v CK B & CK
G c trong DMTT c t trng vn m. Cn m bo 1 DMTT l tt
c cc CK phi c t trng VT dng.

Roll (1977, 1978) xut rng cch kim nh duy nht cho m
hnh CAPM l tr li cho cu hi c phi 1 DMTT ng ngha l 1
DM c s nh i gia TSSL & phng sai ca n 1 cch hiu
qu? Nu cu tr li cho cu hi ny l ng th khi t nh
3 ta c mi quan h tuyn tnh gia TSSL TB ca mi CK & ca
n.

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