THI MN M HNH TI CHNH
THI MN M HNH TI CHNHThi gian lm bi: 45 pht. Sinh vin khng c s
dng ti liu.
LU
QUY NH CN THC HIN TRC KHI LM BI1. Anh/Ch phi ghi y cc thng tin
sau vo trong bi lm ca mnh:
H, tn
Ngy thng nm sinh
Lp
2. Lu li bi lm vi tn File nh sau: XX_HO_TEN.XLS (XX l s bo danh
trong danh sch).
3. Th mc lu bi thi l:X:\ (trng vi th mc cha thi).V d:
X:\ 05_TRAN_VAN_BINHX:\ 12_LE_THI_HOA4. Bi thi khng thc hin ng
cc quy nh trn xem nh khng hp l.
NI DUNG THI 1Cho 3 chng khon A,B,C vi nhng thng tin sau:
Chng khonABC
lch chun14%18.7%13.45%
TSSL trung bnh12.4%15.3%11.2%
Ma trn h s tng quan ca cc chng khon trn l ((ij) l:
ABC
A1-0.10.2
B10.4
C1
1. Hy tnh ton ma trn phng sai hip phng sai TSSL ca 3 chng khon
trn.2. Vi hng s c = 2%, hy tnh Theta ( ca danh mc c t trng u t 50%
vo chng khon A, 25% vo chng khon B% v 25% vo chng khon C.3. Tm danh
mc u t hiu qu sao cho Theta ( ln nht vi cc rng buc sau:
Vn u t vo mi mt chng khon khng c vt qu 50% tng vn u t ca danh
mc.
Xem nh khng c mua bn khng.
Tng t trng vn u t vo cc chng khon = 100%4. Trnh by cc rng buc n
hn (binding) ca m hnh trn. Cho bit ngha ca chng
NI DUNG THI 2 D liu ch s VNI Index v gi c phiu ca MNC nh sau:Thi
imGi ng ca
VNI IndexMNC
31/12/1996340130
31/12/1997374154
31/12/1998392162
31/12/1999433226
31/12/2000510329
31/12/2001545367
31/12/2002615456
31/12/2003791743
31/12/2004810783
31/12/2005922940
31/12/200610691089
31/12/200712811191
Li sut tn phiu kho bc : 5%/nm. Th trng k vng VN-Index s tng trng
20% trong nm 2008. Li sut vay n di hn ca ABC l 10%, thu sut thu
TNDN l 28%
Cu trc vn mc tiu ca ABC l 40% n vay v 60% vn c phn
1. Tnh WACC ca MNC da trn m hnh CAPM.2. Nu cng ty c mt d n A nh
sau, theo tiu chun NPV v IRR, cng ty c chp nhn d n A hay khng, v th
NPV ca d n A.n v tnh: 1000 ng.012345
Cau san pham2020202020
Doanh so700,000700,000700,000700,000700,000
Chi ph co nh20,00020,00020,00020,00020,000
Chi ph bien oi525,000525,000525,000525,000525,000
Khau hao18,00018,00018,00018,00018,000
Li nhuan trc thue137,000137,000137,000137,000137,000
Thue54,80054,80054,80054,80054,800
Li nhuan sau thue82,20082,20082,20082,20082,200
Chi ph kt thc d n sau thu-378,000
Dong tien rong -145,000100,200100,200100,200100,200-277,800
Gi : (Doanh s = cu SP * 35.000; CP bin i = 75% doanh s; thu TNDN
= 40%; CF = Li nhun sau thu + khu hao).
3. Gi nh lng cu sn phm tun theo tun theo phn phi xc sut ng dng
(uniform) v c th nhn c 5 gi tr sau: 18 ;19; 20; 21 v 22. Hy nh gi
ri ro d n bng NPV trung bnh, lch chun NPV, xc sut u t c NPV
