Bi 9. M hnh CAPM v l thuyt th trng vna dng ha u t nhm gim thiu
ri ro M hnh nh gi ti sn vn (CAPM) L thuyt th trng vn Quan h gia l
thuyt th trng vn v CAPM Danh mc u t ti u
I. a dng ha u t gip ct gim ri ro
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Mi quan h gia ri ro v s lng chng khon trong danh mc
nh hng ca a dng ha u t
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nh hng ca a dng ha u t
nh hng ca a dng ha u t
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nh hng ca a dng ha u t vi nhng h s tng quan khc nhau
ng gii hn danh mc hiu qu
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II. M hnh CAPM1. Gi nh: Th trng vn l hiu qu v hon ho Nh u t k
vng nm gi chng khon trong mt nm v c 2 c hi u t: u t vo chng khon
phi ri ro v u t vo danh mc c phiu thng trn th trng.
II. M hnh CAPM2. Ni dung ca m hnh 2.1. Quan h gia li nhun c bit
v li nhun th trng -ng c th chng khon (The security characteristic
line) 2.2. c lng trn thc t 2.3. Quan h gia ri ro v li nhun
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2.1. Quan h gia li nhun c bit v li nhun th trng - ng c th chng
khon Gi s li nhun ca c phiu Remico v danh mc th trng TSE 300
(Toronto Stock Exchange 300 Index-Canada) ng vi 4 tnh hung khc nhau
vi 2 trng thi nn kinh t
2.1. Quan h gia li nhun c bit v li nhun th trng - ng c th chng
khon Li nhun k vng ca Remico
Xc nh ?
Gi s xc sut xy ra tnh trng nn kinh t tng trng v suy thoi bng
nhauVLH 11
ngha ca h s ?
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th m t quan h gia li nhun c phiu Remico v li nhun th trng
2.2. c lng trn thc t
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2.2. c lng trn thc t
2.3. Quan h gia ri ro v li nhun Kh nng thanh khon Kh nng sinh
li: M hnh nh gi ti sn vn (The Capital Asset Pricing Model CAPM) Rj
Rj : Rf : Rm : j : = Rf + ( Rm - Rf ) * j
T l sinh li k vng ca chng khon j. T l li sut khi khng c ri ro. T
sut sinh li k vng ca th trng. Mc ri ro ca chng khon j.
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2.3. Quan h gia ri ro v li nhun1. Gi nh:
III. L thuyt th trng vnGi nh lin quan n hnh vi ca nh u t Nh u t
ra quyt nh da theo hai tham s: li nhun k vng v phng sai ca li nhun
Nh u t l ngi ngi ri ro Gi nh v th trng vn Th trng cnh tranh hon ho
Khng c chi ph giao dch Nh u t c th vay v cho vay mc li sut phi ri
ro
th biu din quan h gia li nhun c phiu v h s VLH 17 VLH 18
2. ng th trng vn (Capital market line-CML) lineng th trng vn
(Capital market line-CML) L thuyt th trng vn xem xt danh mc u t bao
gm ti sn phi ri ro v danh mc u t hiu qu M (theo nh ngha ca
Markowitz) Tp hp nhng s kt hp ca danh mc ny nm trn ng thng k t trc
tung im c li nhun phi ri ro n im tip xc vi ng gii hn danh mc u t
hiu qu
2. ng th trng vn (Capital market line-CML) line-
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ng th trng vnVLH 20
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2. ng th trng vn (Capital market line-CML) line ngha ca ng th
trng vn? ng th trng vn phn nh quan h gia li nhun k vng v lch chun
ca danh mc u t gm ti sn phi ri ro v danh mc chng khon ri ro Li nhun
k vng v ri ro ca danh mc u t?
2. ng th trng vn (Capital market line-CML) lineCng thc biu din
ng th trng vn
wF + wM = 1 (hay wF = 1 - wM) RP = wF RF + wM RM RP = (1 - wM)
RF + wM RM = RF + wM (RM - RF )Trong : wF: T trng u t vo ti sn phi
ri ro wM : T trng u t vo danh mc th trng
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Phng trnh biu din ng thng th trng vn
IV. Quan h gia l thuyt th trng vn v CAPM Thay danh mc u t bng mt
chng khon c bit j
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V d
V d Xc nh li nhun k vng v ri ro ca danh mc Gi s c A vay $200 vi
li sut phi ri ro kt hp vi $1.000 vn gc u t vo c phiu P. Li nhun k
vng v ri ro ca danh mc mi thay i nh th no? Gii thch?
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Danh mc u t gm ti sn phi ri ro v mt chng khon ri ro
V. Danh mc u t ti u Nh u t thng kt hp danh mc u t gm ti sn phi
ri ro v danh mc chng khon ri ro. Danh mc ti u nm trn ng thng k t im
li sut phi ri ro tip xc vi ng gii hn u t hiu qu.
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V. Danh mc u t ti u
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