DANH MC HIU QU KHNG BN KHNG

TNH TON GI TR CHU RI RO

Financial Modelin
g

10.1 DANH MC HIU QU KHNG BN KHNG

nh 1 trong chng 9 cho php tm c mt danh mc u
t hiu qu bng cch tm kim mt danh mc tip tuyn vi
ng bin tp hp cc danh mc nm trong vng kh thi.
Gii php cho bi ton ti u ny l phi cho php t trng vn
u t c gi tr m; Khi xi <0, iu ny tng ng vi gi nh
sau:
Chng khon th i c bn khng bi nh u t.
Cc nh u t lc no cng c th thc hin vic bn khng.
Trn thc t vn bn khng khng d dng thc hin chng
hn vic bn khng khng lun lun c sn cho cc nh u t
vo bt k lc no h cn. iu ny cng c ngha l cc nh u
t c th gp phi nhng ro cn thc hin hnh vi bn khng.

Financial Mo

10.1 DANH MC HIU QU KHNG BN KHNG

Bi ton danh mc hiu qu khi khng bn khng:

E (rx ) c
Max
p
Sao cho
N

x
i 1

xi 0, i =1,N
Vi : E ( rx ) x * R
T

Financial Mo

x E(r )
i 1

v p x Sx
T

x x
i 1 j1

ij

10.1 DANH MC HIU QU KHNG BN KHNG

Bi ton danh mc hiu qu khi khng bn khng: c th gii
quyt bng cng c Solver ca Excel (chng 3).

Financial Mo

10.1 DANH MC HIU QU KHNG BN KHNG

Financial Mo

10.1 DANH MC HIU QU KHNG BN KHNG

Khi thay i gi tr ca hng s c, ta s c c mt danh mc
khc.
Khng phi tt c cc gi tr c u cho ra danh mc m rng
buc bn khng l c tc dng.
Khi c c gi tr qu thp hoc qu cao th rng buc v bn
khng s c tc dng.

Financial Mo

10.1 DANH MC HIU QU KHNG BN KHNG

ng bin hiu qu khi khng c bn khng:

Financial Mo

10.2 GI TR CHU RI RO VaR

Gi tr chu ri ro VaR (Value-at-Risk) o lng khon l mong
i xu nht c th xy ra trong mt khong thi gian xc nh,
vi mt mc tin cy cho trc.
Var tr li cho cu hi: nh u t c th b l bao nhiu vi
mc xc sut xy ra l x% trong khong thi gian trong tng
lai c xc nh trc.
Hai thng s c bn (1) khon thi gian T v (2) gi tr t c
ca bin s X ti mt mc xc xut cho trc l nhng thng s
ch yu nn c la chn s dng nh l mt phng php
thch hp o lng ri ro ca mt mc tiu chung no .

Financial Mo

10.2 GI TR CHU RI RO VaR

Khung tnh hung:
Mt nh qun l c mt danh mc ch bao gm mt chng khon,
t sut sinh li ca chng khon ny tun theo quy lut phn phi
chun v c t sut sinh li trung bnh l 20% v lch chun l
30%. Gi tr ca danh mc ny thi im hin ti l 100 triu$.
Gi tr ca danh mc ny vo cui nm l bao nhiu?
Xc sut xy ra khon l ln hn 20 triu$ vo cui nm (v d l
xc sut gi tr ca danh mc ny vo cui nm thp hn 80
triu$) l bao nhiu?
Vi xc sut 1% th khon l ln nht vo cui nm l bao nhiu?
Cu hi ny cn c ngha l chng ta hy tnh VaR ti mc xc sut
l 1%.

Financial Mo

10.2 GI TR CHU RI RO VaR

Hm Normdist c th a ra cc gi tr phn phi chun tch
ly (trong v d ny l cc gi tr danh mc c th t c)
v cc mc xc sut xy ra tng ng.

Financial Mo

10

10.2 GI TR CHU RI RO VaR

Financial Mo

11

10.2 GI TR CHU RI RO VaR

Gi tr danh mc vo cui nm ng vi mc xc sut xy ra
1% l bao nhiu? Ta c th s dng hm Solver tm cu tr
li: Vi xc sut 1% th gi tr danh mc vo cui nm thp
hn 50,20865, t suy ra VaR l 100 50,20865 =
49,79135.

Financial Mo

12

10.2 GI TR CHU RI RO VaR

Financial Mo

13

10.2 GI TR CHU RI RO VaR

Chng ta c th s dng cng c Solver tm cc gi tr
Quantile ng vi bt k loi phn phi no. Chng ta s dng
hai phn phi: phn phi chun (normal distribution) v phn
phi Loganormal (lognormal distribuition) tm VaR, v Excel
c nhng hm tng ng gip chng ta tm Quantile l
hm Norminv( ) v hm Loginv( ). Hm Normsinv v hm
Loginv gip tm gi tr chuyn i (t mt mc xc sut cho
trc tm gi tr t c ca bin s) ca phn phi chun
(normal), phn phi chun tc (Standard normal) v phn phi
lognormal.

Financial Mo

14

10.2 GI TR CHU RI RO VaR

Financial Mo

15

10.2 GI TR CHU RI RO VaR

Phn phi Lognormal s l mt phn phi hp l hn so vi
phn phi chun khi kho st bin ng gi ca cc chng
khon (i lng ny khng bao gi m).
Gi nh rng t sut sinh li ca danh mc tun theo quy lut
phn phi chun vi gi tr trung bnh hng nm l v
lch chun hng nm l , gi tr hin ti ca danh mc c
cho trc l V0.

2
ln(V0 )
2

Ln VT~Phn phi chun

Financial Mo

T, T

16

10.2 GI TR CHU RI RO VaR

Trng hp danh mc u t vi 3 ti sn:
Vic c lng cc thng s trong phn phi t sut sinh li
ca mt ti sn no . Trong th gii thc, c th tnh ton
VaR th chng ta phi c c cc c lng v gi tr trung
bnh, phng sai v s tng quan ca cc gi tr t sut sinh
li.
Nhng tnh ton thc t khi quy m giao dch ln.

Financial Mo

17

10.2 GI TR CHU RI RO VaR

Financial Mo

18

10.2 GI TR CHU RI RO VaR

M phng d liu:
Gi nh rng 10/01/1997 mt cng ty ang xem xt u t vo 2 ti sn:
Mua hai chng ch qu u t. Gi th trng ca mt chng ch qu u
t ny l 293$ v vy vn u t l = 2*293$ = 586$.
Bn mt tri phiu nc ngoi (bng ng Franc Thy s CHF). T gi hi
oi l 3.5. Tri phiu zero-coupon ny c mnh gi l l 100 CHF v thi
im o hn l vo ngy 08/05/2000. Nu li sut ng CHF hin ti l
5,3% th khi gi tr tri phiu bng ng CHF vo ngy 10/01/1997 l:
100*exp[5,3%*(08/05/2000 10/01/1997)/365] = 84,2166
Gi tr tri phiu tnh bng ng USD l 84,2166*3,40 = 286,3365, v
vy gi tr danh mc rng l = 586 286,3365 = 299,66.

Financial Mo

19

10.2 GI TR CHU RI RO VaR

Financial Mo

20

10.2 GI TR CHU RI RO VaR

Financial Mo

21

10.2 GI TR CHU RI RO VaR

Chng ta mun s dng nhng d liu ny lm nn tng
tnh ton cc gi tr t sut sinh li ngu nhin t c t
danh mc u t ny. Chng ta s s dng mt k thut c
gi l xo bi (xem ph lc ca chng ny) theo chng ta
s thay i ngu nhin cc d liu.
th trong bng tnh trn cho thy phn phi t sut sinh li
khc rt nhiu so vi phn phi chun. T ct L, M, v N ta c
th ni rng VaR ti 5% l khong 47% hay vi xc xut l
5%, cng ty c th b l 47% trn vn u t ca mnh.

Financial Mo

22