Financial Mathbook 1

SPUTNIK EDUCATION
gii thiu
NHP MN TON TI CHNH
GS. Nguyn Tin Dng v GS. c Thi
H Ni Toulouse, 2014
Quyn sch ny c son tho trong qung thi gian 2009-2011. Bn ebook ny, vi
s gip ca Sputnik Education, c cng b min ph cho bn c, nhm ng gp
vo s nghip gio dc Vit Nam. N c th dng lm ti liu cho mt kho hc v
ton ti chnh dnh cho nhng ngi theo cc ngnh ton hc hay kinh t v ti chnh.
Bn quyn thuc v cc tc gi.
Sputnik Education, do mt nhm nhng chuyn gia c trnh cao v rt tm huyt
vi nn gio dc lp nn, vi mc ch em li cc ti liu hc tp c cht lng cao nht
cho hc sinh, v c ngi ln, gip cho vic hc tr nn vui v hiu qu hn. Xin mi tm
c cc sch do Sputnik Education xut bn!
iii
Li gii thiu
Mc ch ca cun sch ny l nhm gip cc bn sinh vin cc ngnh kinh t, ti
chnh, v ton hc nm bt c mt s kin thc c bn ca ton ti chnh, vi cc ng
dng thc t trong ti chnh, qua c th tip tc tm hiu su thm v lnh vc ny.
Do nhm phc v c sinh vin ton cn thiu kin thc v ti chnh, ln sinh vin kinh
t - ti chnh cn thiu kin thc v ton, chng ti thit k quyn sch ny vi nhng
chng c tnh cht b tc v ti chnh, v ng thi c gng gim nh v mt hnh
thc ton hc so vi mt s ti liu cao cp bng ting Vit khc [14, 20, 28].
Vo thi im chng ti bin son cun sch ny, ton ti chnh l mt ngnh cn
kh mi m Vit Nam, tuy rng trn th gii n tr thnh mt ngnh ln v rt
quan trng, c th coi l khng th thiu trong cc hot ng ca cc t chc ti chnh
nh ngn hng, bo him, u t, cng nh trong vic qun l ti chnh ca cc chnh
ph, cc doanh nghip ln. H thng ti chnh quc t ngy cng tr nn tinh vi v phc
tp, v cnh tranh trong h thng ny, ngy cng cn nhiu n cc cng c ton hc
m hnh ha, phn tch v tnh ton. Khng ch i vi cc t chc v doanh nghip
ln, m cc c nhn cng cn c nhng hiu bit ti thiu v ti chnh v ton ti chnh,
s rt c ch trong cc quyt nh ti chnh ca mnh, nhm t c mt tng lai m
bo hn v t do hn v ti chnh, trnh c cc ri ro.
Nhn thy nhu cu pht trin o to ngnh ton ti chnh Vit Nam, Khoa Ton
trng i hc S phm H ni di s h tr ca Trung tm Ton Ti chnh v Cng
nghip H ni gn y m ra m ngnh o to bc c nhn v ton ti chnh. Quyn
sch ny ra i cng l nhm phc v cho trng trnh o to c nhn ny.
Cu trc ca quyn sch ny nh sau: n gm c 8 chng, c th chia lm 3 phn.
Phn th nht gm 2 chng u, l chng v tin t v chng v th trng ti chnh.
Phn ny hu nh khng c ton, v mc ch chnh ca phn ny l nhm lm quen cc
sinh vin ngnh ton vi cc khi nim c bn v ti chnh. Phn th nht ny cng c
mt s thng tin cp nht v th trng ti chnh th gii, c th th v i vi bn c
c kin thc v ti chnh. Phn th hai gm 4 chng tip theo, v kinh doanh chnh
lch gi, phn tch tri phiu, phn tch c phiu, v qun l danh mc u t. Phn ny
bt u c nhiu cng thc ton hc v nh l, nhng mc phc tp va phi, cc
sinh vin kinh t v ti chnh chc cng s khng gp kh khn g c bit v ton khi
c phn ny, c bit nu c mt s kin thc c s v gii tch v xc sut thng
iv
k. nh l v kinh doanh chnh lch gi (arbitrage), c gii thiu trong chng 3, cn
c gi l nh l c bn ca ton ti chnh, bi v cc nh l v nh gi trong ton
ti chnh l da trn c s ca nh l ny. Chng 4 v Chng 5 l gii thiu v phn
tch c phiu v tri phiu t quan im nh u t, v Chng 6 l v mt s nguyn
tc nh tnh v nh lng c bn trong vic qun l danh mc u t. Phn th ba,
gm hai chng cui, l phn nng v ton. Chng 7 l chng v gii tch ngu nhin,
lm c s cho vic m hnh ha cc bin ng gi c trn th trng v ton. Mt s
khi nim c bn ca gii tch nhu nhin, trong c martingale, chuyn ng Brown,
tch phn It, v thay i phn b xc sut, c bn n y. Cc tc gi c gng
vit chng ny mt cch nh v ton v d hiu hn so vi cc sch chuyn kho v gii
tch ngu nhin, v cho cc lin h trc tip vi gi chng khon, vi hy vng l cc bn
c khng phi ngi hc ngnh ton cng c th hiu c v thy c ng dng ca
gii tch ngu nhin. Chng 8 l chng v vic nh gi cc quyn chn, l cc chng
khon phi sinh tr thnh rt ph bin trn th trng ti chnh. Cc m hnh nh
gi c bn n trong chng ny, c th l m hnh BlackScholes v m hnh nh
phn CoxRossRubinstein, u da trn kin thc v gii tch ngu nhin c trnh
by trong Chng 7.
hiu tt quyn sch ny, bn c s cn mt s kin thc c s v gii tch ton
hc, i s tuyn tnh, v xc sut thng k. Tt c cc khi nim xc sut thng k c
dng trong quyn sch ny, m khng c gii thch chi tit y, u c th tm thy
trong quyn sch [7] do chng ti bin son. Ngoi ra, nu c thm mt s kin thc ton
cao cp khc, v d nh khi nim v tp compact, v nhn t Lagrange trong ti u ha,
v.v., th s d hiu hn cc chng minh ca cc nh l c tnh ton hc trong quyn sch
ny. Nu khng, th c th tm thi b qua chng minh ca cc nh l, m ch trng
vo vic hiu ngha ca cc nh l , c th dng c chng.
Do khun kh ca cun sch c hn, v mc ch l sch nhp mn cho sinh vin
i hc c th c hiu c, nn c rt nhiu vn quan trng ca ton ti chnh m
chng ti b qua khng cp ti trong sch. Chng ti hy vng s c th vit cc quyn
sch khc, chuyn su hn, ni tip quyn sch ny. y l ln u chng ti vit sch
v ton ti chnh, mt ngnh m i vi bn thn chng ti cng cn tng i mi m,
bi vy quyn sch ny chc s khng trnh khi nhiu thiu st. Chng ti mong c
bn c gp , c th chnh sa li sch cho c tt hn.
v
Li cm n
Mt phn ca quyn sch ny c vit khi tc gi Nguyn Tin Dng n thm v
lm vic ti Trung tm Lin khoa Bernoulli (Centre Interfacultaire Bernoulli), i hc
Bch khoa Lin bang Lausanne (EPFL), Thy S, mt thi gian trong nm 2010, theo
li mi ca GS. Tudor Ratiu. Chng ti chn thnh cm n GS. Ratiu v Trung tm
Bernoulli to iu kin lm vic rt tt vit quyn sch ny. Mt phn ca quyn
sch cng c son tho khi tc gi c Thi n thm v lm vic ti Khoa Ton,
i hc Toulouse, Cng ho Php, mt thi gian trong nm 2010, theo li mi ca GS.
Thomas Pascal v tc gi NTD. Chng ti chn thnh cm n GS. Thomas Pascal v
H Toulouse to iu kin cho chng ti lm vic v hp tc cht ch hn trong vic
son tho cun sch.
Trong qu trnh son tho quyn sch ny, chng ti c may mn c tho lun trc
tip vi nhiu chuyn gia v ton ti chnh v bo him, v mt s chuyn gia cao cp trong
cc tp on ti chnh, qua hiu r hn cc vn thc s ca ton ti chnh. Chng
ti xin chn thnh cm n tt c cc chuyn gia , c bit l ng Nguyn Nam Kim,
b ng Thu Hng, GS Trn Hng Thao, GS Adrien Blanchet, GS Jaksa Cvitanic, GS
Paul Embrechts, GS Jean-David Fermanian, GS. Max Hongler, GS Bernt Oksendal, GS
Juan-Pablo Ortega, GS Christian Y. Robert, GS Michel Simoni, GS Christine Thomas,
GS Anne Vanhems, v GS Stphane Villeneuve.
Trong qu trnh son tho quyn sch ny, cc ti liu dng tham kho, v cc
chng sch vit d hay cn ang sa cha, c em ra tho lun ti xmina ton ti
chnh thuc Trung tm Ton Ti chnh v Cng nghip H ni, xmina Ton ti chnh
t chc ti Toulouse, v ti xemina v ton ti chnh ti i hc Kinh T - Lut, HQG
TPHCM. Cc thnh vin tham gia ba xmina ny ng gp nhiu kin b ch cho
quyn sch ny. Chng ti xin chn thnh cm n tt c cc thnh vin ca ba xmina,
c bit l: PGS L Anh V, TS Lu Hong c, TS H Bnh Minh, TS Nguyn Thnh,
cc NCS L Hong Chinh, Phm Vit Hng, Nguyn Vn Minh, Trng Hng Minh, L
Vn Tun, Nguyn Thanh Thin, Phan Thanh Tng, L Hi Yn, v.v.
c bit, chng ti xin chn thnh cm n TS Nguyn Hng Hi, TS Trn Trng
Nguyn, v ThS L Vn Tun c k bn tho u ca quyn sch ny, v cho rt
nhiu kin ng gp v vic sa cha quyn sch sao cho tt hn. Nh cc kin ,
m chng ti nhn ra v sa cha rt nhiu ch cn thit trong sch.
vi
Mc lc
1 Mt s khi nim v tin t . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Cc tnh cht c trng ca tin . . . . . . . . . . . . . . . . . . . . . 1
1.2 Nguyn tc tng tin bng 0 . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Lng cung tin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.4 Lm pht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.5 Li sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.6 H thng ngn hng v chnh sch tin t . . . . . . . . . . . . . . . . 13
1.7 Ngoi t v t gi ngoi t . . . . . . . . . . . . . . . . . . . . . . . . 15
2 Th trng ti chnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.1 Chc nng v cu trc ca th trng ti chnh . . . . . . . . . . . . . 19
2.2 Cc sn phm n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
2.3 C phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2.4 Cc chng khon phi sinh . . . . . . . . . . . . . . . . . . . . . . . . 33
2.4.1 Hp ng k hn v hp ng tng lai . . . . . . . . . . . . . . . . . . . 33
2.4.2 Quyn chn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.4.3 Hp ng hon i . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.5 Cc trung gian ti chnh . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2.6 Qun l h thng ti chnh . . . . . . . . . . . . . . . . . . . . . . . . 43
3 Kinh doanh chnh lch gi . . . . . . . . . . . . . . . . . . . . . . . . . . 47
3.1 Khi nim kinh doanh chnh lch gi . . . . . . . . . . . . . . . . . . . 47
3.2 nh l kinh doanh chnh lch gi . . . . . . . . . . . . . . . . . . . . 50
3.3 nh l i ngu ca qui hoch tuyn tnh . . . . . . . . . . . . . . . 55
3.4 No-arbitrage v xc sut trung ha ri ro . . . . . . . . . . . . . . . . 58
3.5 nh gi hp ng k hn v hp ng tng lai . . . . . . . . . . . . 62
vii
viii MC LC
4 Li sut v tri phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.1 Cc cnh tnh li sut . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.1.1 Li n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.1.2 Li sut chit khu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
4.1.3 Li kp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
4.1.4 Li sut hiu dng v li sut tri phiu . . . . . . . . . . . . . . . . . . . 72
4.1.5 Qui c v tnh s ngy . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
4.1.6 Li kp lin tc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
4.2 Gi tr v li sut ca dng tin t . . . . . . . . . . . . . . . . . . . . 76
4.2.1 Cng thc dng tin chit khu . . . . . . . . . . . . . . . . . . . . . . . . 76
4.2.2 Dng nin kim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
4.2.3 Tri phiu coupon v tri phiu v thi hn . . . . . . . . . . . . . . . . . 81
4.2.4 Li sut hon vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
4.3 Duration ca tri phiu . . . . . . . . . . . . . . . . . . . . . . . . . . 84
4.4 ng li sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
4.5 Cu trc k hn tng qut . . . . . . . . . . . . . . . . . . . . . . . . 92
4.6 Cu trc ri ro ca li sut . . . . . . . . . . . . . . . . . . . . . . . . 95
5 Phn tch gi c phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
5.1 Gi th trng v gi tr tht . . . . . . . . . . . . . . . . . . . . . . . 99
5.2 c lng gi tr tht ca c phiu . . . . . . . . . . . . . . . . . . . . 104
5.2.1 Dng tin li tc, v li sut ca c phiu . . . . . . . . . . . . . . . . . . 104
5.2.2 c lng gi tr ca c phiu tng trng . . . . . . . . . . . . . . . . . 108
5.3 Cc lc tc ng n gi c phiu . . . . . . . . . . . . . . . . . . . . 111
5.3.1 Chnh lch gia gi th trng v gi tr tht . . . . . . . . . . . . . . . . 113
5.3.2 Tm l th trng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
5.3.3 Cc ngoi lc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
5.3.4 Phm vi nh hng ca cc lc . . . . . . . . . . . . . . . . . . . . . . . . 118
5.3.5 Cc lc ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
5.4 Phn tch thng k cho gi c phiu . . . . . . . . . . . . . . . . . . . 122
5.4.1 H s volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
5.4.2 H s beta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
5.4.3 Hi qui theo nhiu bin . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
MC LC ix
6 Qun l danh mc u t . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
6.1 Mt s nguyn tc chung v u t . . . . . . . . . . . . . . . . . . . . 133
6.1.1 Quan h gia ri ro v li nhun . . . . . . . . . . . . . . . . . . . . . . . 133
6.1.2 a dng ha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
6.1.3 n by ti chnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
6.1.4 m an ton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
6.1.5 di thi gian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
6.1.6 u t c t chc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
6.2 Cc loi hnh u t . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
6.2.1 Vng bc chu bu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
6.2.2 Bt ng sn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
6.2.3 Cc sn phm n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
6.2.4 C phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
6.2.5 Chng khon phi sinh . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
6.3 Li nhun v li nhun k vng . . . . . . . . . . . . . . . . . . . . . . 142
6.3.1 Cc cng thc tnh li nhun . . . . . . . . . . . . . . . . . . . . . . . . . 142
6.3.2 Li nhun k vng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
6.4 Hm tha dng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
6.4.1 Khi nim hm tha dng . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
6.4.2 Hm tha dng Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
6.4.3 Tnh lm ca hm tha dng . . . . . . . . . . . . . . . . . . . . . . . . . 149
6.5 Cc thc o ri ro . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
6.5.1 Phng sai v lch chun . . . . . . . . . . . . . . . . . . . . . . . . . 150
6.5.2 Ri ro thm ht (shortfall risk) . . . . . . . . . . . . . . . . . . . . . . . . 152
6.5.3 Gi tr chu ri ro (value at risk) . . . . . . . . . . . . . . . . . . . . . . . 153
6.6 L thuyt Markowitz . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
6.6.1 Trng hp c hai chng khon . . . . . . . . . . . . . . . . . . . . . . . . 156
6.6.2 Trng hp c nhiu chng khon . . . . . . . . . . . . . . . . . . . . . . 160
6.6.3 Bin hiu qu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
6.7 M hnh nh gi ti sn vn (CAPM) . . . . . . . . . . . . . . . . . . 164
6.7.1 ng th trng vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
6.7.2 Nhn t beta v ng th trng chng khon . . . . . . . . . . . . . . . 167
x MC LC
7 Gii tch ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169
7.1 Mt s m hnh bin ng gi chng khon . . . . . . . . . . . . . . . 169
7.1.1 Qu trnh ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
7.1.2 M hnh mt bc thi gian . . . . . . . . . . . . . . . . . . . . . . . . . . 173
7.1.3 M hnh vi thi gian ri rc . . . . . . . . . . . . . . . . . . . . . . . . . 176
7.1.4 M hnh cy nh phn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
7.1.5 M hnh vi thi gian lin tc . . . . . . . . . . . . . . . . . . . . . . . . . 180
7.2 Martingale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
7.2.1 nh ngha tnh cht martingale . . . . . . . . . . . . . . . . . . . . . . . 182
7.2.2 No-arbitrage v martingale . . . . . . . . . . . . . . . . . . . . . . . . . . 183
7.3 Chuyn ng Brown . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
7.3.1 nh ngha chuyn ng Brown . . . . . . . . . . . . . . . . . . . . . . . . 190
7.3.2 Phn b xc sut ca chuyn ng Brown . . . . . . . . . . . . . . . . . . 192
7.3.3 Du dng ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
7.3.4 Mt s tnh cht ca chuyn ng Brown . . . . . . . . . . . . . . . . . . 197
7.3.5 Bin phn v bin phn bnh phng . . . . . . . . . . . . . . . . . . . . . 199
7.3.6 Chuyn ng Brown hnh hc . . . . . . . . . . . . . . . . . . . . . . . . . 201
7.4 Vi phn ca cc qu trnh ngu nhin . . . . . . . . . . . . . . . . . . 202
7.4.1 Vi phn ca chuyn ng Brown hnh hc . . . . . . . . . . . . . . . . . . 202
7.4.2 B It . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
7.5 Tch phn It . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206
7.5.1 Tch phn RiemannStieltjes . . . . . . . . . . . . . . . . . . . . . . . . . 207
7.5.2 nh ngha tch phn It . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
7.5.3 Mt s tnh cht c bn ca tch phn It . . . . . . . . . . . . . . . . . . 212
7.6 Thay i phn b xc sut . . . . . . . . . . . . . . . . . . . . . . . . 215
7.6.1 o hm RadonNikodym . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
7.6.2 nh l CameronMartin . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
7.6.3 ng dng vo nh gi quyn chn c gii hn . . . . . . . . . . . . . . . 218
7.6.4 nh l Girsanov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
8 Quyn chn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
8.1 Mt s tnh cht c bn ca gi quyn chn . . . . . . . . . . . . . . . 224
8.1.1 Gi quyn chn ti thi im o hn . . . . . . . . . . . . . . . . . . . . 225
MC LC xi
8.1.2 Gi quyn chn tnh theo phn b xc sut trung ha ri ro . . . . . . . 225
8.1.3 Quan h gia quyn chn kiu u v kiu M . . . . . . . . . . . . . . . . 226
8.1.4 Quan h tng ng gia Call v Put . . . . . . . . . . . . . . . . . . . . . 227
8.1.5 Mt s chn trn v chn di ca gi quyn chn . . . . . . . . . . . . . 230
8.2 S ph thuc ca gi quyn chn vo gi c phiu v gi thc hin . . 231
8.2.1 S ph thuc vo gi thc hin . . . . . . . . . . . . . . . . . . . . . . . . 231
8.2.2 S ph thuc vo gi ca c phiu . . . . . . . . . . . . . . . . . . . . . . 233
8.3 Phng trnh BlackScholes . . . . . . . . . . . . . . . . . . . . . . . . 234
8.4 Cng thc nh gi quyn chn kiu u . . . . . . . . . . . . . . . . . 238
8.5 Cc ch ci Hy Lp . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
8.6 M hnh CoxRossRubinstein . . . . . . . . . . . . . . . . . . . . . . 243
xii MC LC
Chng 1
Mt s khi nim v tin t
1.1 Cc tnh cht c trng ca tin
Nh chng ta bit, trn th gii hin ti c nhiu loi tin khc nhau, trong c tin
ng Vit Nam (k hiu: VND), tin Dollar M (k hiu: USD, hay $), tin Euro ca
Chu u (k hiu: EUR), tin Nhn Dn T ca Trung Quc (k hiu: RMB), vn vn.
Cc ng tin khc nhau c chung 3 chc nng sau:
- n v o lng gi tr. Mun nh gi v so snh gi tr ca cc ti sn khc
nhau vi nhau, ngi ta c th quy i chng ra thnh tin. Chng hn mt ci nh no
c tnh gi tr l 10 t VND, cn mt ci t c tnh gi tr l 500 triu VND,
th ci nh s c coi l c gi tr bng 20 ln ci t. Khi ngi ta ni mt t ph no
c 30 t USD, th c ngha l ton b ti sn ca ngi nu qui i ra tin th c
tng cng 30 t USD.
- Trao i hng ha. T hng ha y c dng theo ngha rng, ch mi th
ti sn, sn phm v dch v c th c em trao i. Chng hn mt ngi nng dn
mun i thc ly gch xy nh, th khng cn thit phi mang thc n i trc tip
cho ngi lm gch, m c th bn thc i ly tin ri em tin i mua gch, nh vy
tin li hn, v ngi lm gch c th ang cn th khc ch khng cn thc. Ngi lm
gch s dng tin bn gch mua th mnh cn.
- Tch tr ti sn. V c th d dng i tin ly cc hng ha cn thit vo thi
im cn thit, nn gi tin l mt hnh thc tch tr ti sn dng trong tng lai.
Ni theo ngn ng ti chnh, nhng th ti sn c c c ba chc nng trn th c
gi l tin. Tt nhin, 3 chc nng trn gn lin vi nhau. m nhim c tt 3 chc
1
2 CHNG 1. MT S KHI NIM V TIN T
nng , tin cn c mt s tnh cht nh:
- D bo qun, d vn chuyn, d chia nh, tin li cho vic tch tr ti sn v trao
i hng ha.
- Tnh thng nht. D l tin bng cht liu g, pht hnh vo thi im no, nhng
nu c cng tng mnh gi nh nhau theo cng mt n v tin no (v d nh cng
l 1 triu VND) th c gi tr bng nhau.
- c tin tng v chp nhn. Tc l mi ngi chp nhn l tin c gi tr, sn sng
i hng ha ca mnh ly tin. c tin tng v chp nhn, tin phi c c gi
tr n nh, lng cung hn ch, v kh lm gi.
Tuy nhin, cc tnh cht ny khng phi lc no cng c tha mn. Chng hn,
hu nh nc no cng tng tri qua nhng giai on siu lm pht, tc l giai on m
ng tin ca nc mt gi rt nhanh. V d, vo thng 7 nm 1946, gi c Hungary
trung bnh c 13,5 ting ng h th tng gp i, ch trong mt thng lm pht ln n
con s khng l l 4.19 10
16
phn trm, v ngi ta phi in t tin mnh gi n 100
000 000 000 000 000 000 (tc l 10 m 20) pengo
(1)
. Vit Nam, lm pht ca nm 1986
cng ln n xp x 800%, tc l 9 ng vo cui nm 1986 ch c sc mua bng 1 ng
vo u nm.
Cc loi tin nh VND, USD, EUR, v.v. l tin php nh, tc l cc chnh ph
ng ra m bo gi tr ca cc ng tin , v s chp nhn chng c qui nh bi
lut php ca cc nc. Tin php nh thng c dng tin giy, tin xu, v c bit
ph bin ngy nay l dng tin in t (tc l tin dng con s trong nh bng, v
thanh ton mua bn bng cch chuyn khon ngn hng thng qua mng my tnh), bi
v tin in t p ng c tt hn cc tnh cht pha trn (d bo qun, d vn chuyn,
d chia nh, kh lm gi, v.v.) so vi cc loi tin khc.
Trong lch s th gii, t thi c i, mt s loi ti sn chia nh nh thc go, ri n
cc qu him nh vng, bc, kim cng, v.v., c bit l vng, c dng lm tin
tch tr v trao i ca ci. (Xem chng hn [6] hay l tra trang web ca Glyn Davies
v lch s cc loi tin t t thi c i). Cho n nay, vng vn c coi l th cng c
c bit quan trng cho vic d tr ti sn. Vo thi im 06/2009, Qu Tin T Quc
T (International Money Fund vit tt l IMF) c d tr vng l 3217 tn (khong 103
triu lng vng). Vng vn ang c s dng nh l tin mua bn cc th khc
mt s ni trn th gii. Tuy nhin, chc nng lm cng c giao dch ca vng gim
(1)
Xem: http://en.wikipedia.org/wiki/Hyperinflation
1.2. NGUYN TC TNG TIN BNG 0 3
i nhiu, v hu ht cc giao dch thng mi trn th gii l dng tin php nh, trong
c hai ng tin quan trng nht vo nm 2010 l USD (khong 60% cc giao dch
ngoi thng c thanh ton bng USD) v EUR (chim khong 30% cc thanh ton
ngoi thng).
Theo Hip c Bretton Wood
(2)
vo nm 1944, nc M m bo gi tr ca USD
bng cch c nh t gi gia USD l 35USD = 1 lng vng. Nhng n nm 1971 M
phi n phng tuyn b t b t gi c nh , sau mt thi gian di d tr vng
ca M i xung, do cc nc khc, c bit l c v Nht, siu xut khu sang M
i nhiu tin USD m h c c sang thnh vng. Ngy nay, vn c nhng ngi mun
c nh t gi gia tin php nh v vng, nh mt hnh thc chng lm pht v m
bo gi tr ca tin. Tuy nhin, trong nn kinh t hin i, vng cng ch l mt th hng
ha trong s nhiu hng ha thng dng. Vng ch chim mt phn nh (di 1%) tng
gi tr cc ti sn hu hnh trn th gii, ngoi vng ra cn c nhiu th quan trng khc
nh go, du ha, st thp, v.v., v khng c vng th ngi ta vn sng c. Nu ch
c tn vng, m khng tnh n cc ti sn quan trng khc, th s to mt s thin
lch lm km hm s pht trin ca nn kinh t.
1.2 Nguyn tc tng tin bng 0
Mi khon tin dng m mt t chc hay c nhn no ang c u ng vi cc
khon n m nhng t chc v c nhn khc n ngi ny, v ngc li mi khon tin
m ca ai u ng vi cc khon tin dng m nhng ngi khc cho ngi vay.
V d, nu mt ngi X c dng 3000$ gi mt nh bng A, th tc l X cho A vay
3000$, v A c mt khon -3000$ trong bng cn i ti chnh v l ang vay X khon
. Ngc li, khi A em khon tin vay ca X cho nhng i tc khc vay, th cc khon
cho vay hin ln trong bng cn i k ton ca A nh l cc con s dng, cn nhng
ngi vay A th li c cc khon m tng ng trong ti sn ca mnh v l ang n A.
K c tin d ca ngn hng A m khng em cho ai vay c, th cng c th hiu l ang
cho ngn hng trung ng vay, v d tr ngn hng trung ng. Tnh tng cng tt
c cc khon tin dng (cho vay) v tin m (vay) ca mi bn vo vi nhau, ta c
con s 0. iu ny c th c gi l nguyn tc tng tin bng 0.
i vi tin giy cng vy: khi mt ngi gi tin giy, th c th hiu l ngi
ang cho chnh ph vay. Cc khon tin giy m chnh ph pht hnh c th hiu l cc
(2)
Xem http://en.wikipedia.org/wiki/Bretton_Woods_system
khon n ca chnh ph, c m bo bi cc ti sn ca chnh ph, tc l cc ti sn
chung ca t nc. Khi mt ngi Vit Nam gi USD tin giy, th tc l ngi ang
cho chnh ph M (ch khng phi chnh ph Vit Nam) vay, v khon cho vay khng
c li sut. C mt lng USD tin giy ln lu hnh trn th gii ( ngoi nc M), v
c th coi y l khon tin m chnh ph M vay m khng phi tr li.
Tin trong nguyn tc tng tin bng 0 l tin php nh, tc l khng tnh n cc
ti sn vt cht nh vng, kim cng c th c dng vi cc chng nng nh l tin.
Tt nhin, nu mt ngi c 1kg vng di gm ging, th khng c ngha l c ai
ang vay ngi 1kg vng. y l im khc bit gia vng v tin php nh.
Nguyn tc tng tin bng 0 cho ta thy mt iu rt r l: tng cng gi tr ca tt
c cc ti sn trn th gii chnh l do gi tr ca cc ti sn (ngoi tin) to thnh, ch
khng phi do gi tr ca tin to thnh. Tin ch c tc dng lm thc o ca ti sn
v lm cng c giao dch ti sn, ch tng cng tt c cc khon tin c m ln dng
li vi nhau l bng 0, thm tin php nh lu hnh trn th gii khng c ngha l th
gii c thm ti sn.
1.3 Lng cung tin
Tng tin php nh k c cc khon m v khon dng l bng 0, nhng nu ta
ch tnh cc khon dng thi, v cng chng vo vi nhau, th c mt con s gi l
tng cung tin (monetary aggregate) o lng cung tin (money supply). Ni mt
cch chi tit hn, th c mt s loi tng cung tin (ca mt ng tin no , v d nh
USD) khc nhau, c bit n di nhng tn gi nh M0, M1, M2, M3, v.v.; s khc
nhau ca chng l nm cng thc tnh, tc l nhng khon tin no c cho vo cng
thc
(3)
:
M0 l tin mt (currency), theo ngha tng ca ton b s tin giy v tin xu
ang lu hnh (khng k khon tin giy v tin xu m ngn hng trung ng
thu hi li, hoc in ra nhng d tr cha lu hnh). Tin giy v tin xu c
coi l loi tin lu thng nhanh nht, tc l c s ln quay vng (trao tay) trung
bnh cao nht trong mt nm.
M1 gm M0 cng vi cc khon tin k gi ngn hng dng ti khon thanh
ton (checking account), tc l c th rt ra bt c lc no bng cch vit sc.
(3)
Xem chi tit ti: http://en.wikipedia.org/wiki/Money_supply
1.3. LNG CUNG TIN 5
M2 gm c M1 cng vi cc khon tin k gi ngn hng trong ti khon tit
kim (savings account, tc l cc ti khon gi c tr li sut, khng qui nh k
hn, nhng khng vit sc trn c) v cc khon tin gi c k hn vi k
hn khng di (di 4 nm) v s lng khng ln (v d di 100 nghn USD nu
l M). M2 c coi l thc o cung tin tt nht trong cc thc o. Khi cc
nh kinh t ni n tng cung tin m khng ni c th l loi no, th tc l h
ni n M2.
M3 gm c M2 cng thm nhng khon khc, nh l nhng khon tin gi c k
hn mc ln, cc khon tin nh bng nc ngoi (nc ngoi y c ngha
l nc m khng pht hnh ng tin ; i vi USD th nc ngoi c ngha l
khng phi nc M), v.v. T nm 2006, M thi khng cng b cc s liu M3
chnh thc na v thy n khng cho thm thng tin g quan trng hn M2, tuy vn
c cc con s c lng.
Hnh 1.1: Lng cung tin trn th gii, 19702008
Theo Hnh 1.1, tng cung tin M2 trn th gii vo nm 2008 (tt c cc loi tin
khc nhau) tng ng vi khong 46 nghn t USD, v tc tng trng cung tin
trung bnh trn th gii hng nm trong giai on 19702008 l vo khong 14%/nm.
1.4 Lm pht
Lm pht (inflation) l khi nim ch s gim gi tr (sc mua) ca tin theo thi
gian. V d, t l lm pht Vit Nam trong nm 2010 l vo khong 10,5%. iu c
ngha l, gi c ca cc hng ha v dch v thng dng Vit Nam tng ln trung bnh
10,5% trong nm 2010, v 110,5 nghn (= (1 +10.5%) 100000) VND vo thi im cui
nm ch c sc mua bng 100 nghn VND vo thi im u nm.
Mt trong cc cch tnh mc lm pht l: ngi ta dng mt r ti sn, i din
cho cc hng ha v dch v ph bin v quan trng nht, ri tnh gi ca r ti cc
thi im khc nhau. Con s nhn c gi l ch s CPI (consumer price index). T l
thay i ca ch s CPI theo thi gian chnh l t l lm pht. Mi nc c mt cch tnh
ch s CPI khc nhau, da trn mt r hng ha v dch v khc nhau, ph thuc vo
quan nim v nhng g cn cho vo r vi t trng bao nhiu. Theo thng bo ca Ngn
hng nh nc Vit Nam, lng cung tin M2 ca Vit Nam tng 25.3% trong nm 2010.
Vo thi im 01/2010, r tnh CPI ca Vit Nam c kt cu nh trong bng pha sau.
Nhm hng v dch v T trng (%)
I. Hng n v dch v n ung 39,93
I1. Lng thc 8,18
I2. Thc phm 24,35
I3. n ung ngoi gia nh 7,40
II. ung v thuc l 4,03
III. May mc, m nn, giy dp 7,28
IV. Nh , in nc, cht t, vt liu xy dng 10,01
V. Thit b v dng gia nh 8,65
VI. Thuc v dch v y t 5,61
VII. Giao thng 8,87
VIII. Bu chnh vin thng 2,73
IX. Gio dc 5,72
X. Vn ha, gii tr, du lch 3,83
XI. Hng ha dch v khc 3,34
Tng cng 100
1.4. LM PHT 7
Nu nh gi c trung bnh khng tng ln, m li gim i, tc l t l lm pht l s
m, th ngi ta gi hin tng l gim pht . Hnh 1.2 cho thy nc Nht Bn c
t l lm pht kh cao trong nhng nm 1980, nhng c gim pht trong phn ln thp
k u tin ca th k 21.
Hnh 1.2: T l lm pht Nht Bn, 19802010
Gi c thay i trn th trng theo qui tc cung-cu: nu cung ln hn cu mt
mc gi no th gi c xu hng gim xung, v ngc li nu cung nh hn cu th
gi tng ln cho n khi cung cu cn bng. Bi vy, cc yu t nh hng n lm pht
cng c th chia lm hai nhm chnh, l nhm gy thay i cu, v nhm gy thay i
cung. Cc nh kinh t gi nhm th nht l nhm cu ko (demand pull), v nhm
th hai gi l nhm gi y (cost push). Vic chia ny tt nhin ch c tnh tng i,
v c nhng yu t nh hng n c cung ln cu.
Mt s yu t nh hng n cung l:
S khan him hng ha, to nn bi nhiu l do khc nhau nh thin tai, thiu ht
ngun nhn lc, qun l kinh t km, khai thc qu mc, v.v. V d, hn hn xy
ra chu u nm 2010 lm cho gi lng thc ton th gii tng ln cao. C hi
ngy cng khan him v b nh bt qu mc, nn gi ca chng ngy cng tng
ln. S khan him cng c th l gi to, do gii u c to ra y gi ln.
Thay i cng ngh. C nhng mt hng v dch v quan trng, v d nh my tnh
v dch v vin thng, c gi thnh gim i nhanh do cng ngh pht trin nhanh.
Xut nhp khu. Xut nhp khu lm thay i lng cung hng ha th trng
trong nc. V d nu xut khu go qu mc, th to khan him go trong nc.
Gi c trn th gii. Gi thnh trn th gii thay i cng ko theo gi thnh trong
nc thay i. V d nh gi du ha trn th gii nh hng trc tip n gi xng
du ti Vit Nam.
Thm ht ngn sch v n nc ngoi. Nu nh nh nc c thm ht ngn sch
ln v n nc ngoi nhiu, th iu ny lm gim gi tr ca ng ni t so vi cc
ng ngoi t, dn n gi thnh cc hng nhp khu tng ln, gy ra lm pht
Hnh 1.3: T l tng lng cung tin M2 v GDP ca Vit Nam
Mt s yu t nh hng n cu l:
S tng dn s. V d dn s tng ln ko theo nhu cu v t ai tng ln, nhng
din tch t khng tng ln, v l mt trong nhng nguyn nhn khin gi t
tng ln.
S tng thu nhp. Khi thu nhp trung bnh ca ngi dn tng ln, th nhu cu
ca h cng tng ln. Bi vy nhng nc ang pht trin nhanh v kinh t th c
xu hng lm pht.
Tham nhng. Nhng khon tin do s tham nhng em li (v d nh khot rut
cc cng ty hay cng trnh ca nh nc) cng phi c tiu vo u , v khi
nhng khon ny rt ln, th n gy ra lm pht.
1.5. LI SUT 9
Chi tiu ca chnh ph. Cc chnh sch kch cu v chi tiu ca chnh ph c th
nh hng trc tip n lng cu. Nu chnh ph chi tiu qu nhiu th to p lc
y gi tng ln.
Lng cung tin. Gi s s lng hng ha v dch v khng thay i, m ch c
lng cung tin tng ln gp i, th tc l c mt lng tin nhiu gp i trc
kia chy theo mt lng hng ha v dch v nh c, v iu ny s y gi ca
hng ha dch v tng dn ln n gp i (nu cc yu t khc khng thay i).
Hnh 1.3 cho thy lng cung tin Vit Nam tng rt nhanh trong thp k u tin
ca th k 21, vi tc cao hn nhiu ln tc tng trng ca nn kinh t. y
l mt trong nhng nguyn nhn chnh gii thch v sao t l lm pht Vit Nam cao
(trung bnh n 9% mt nm) trong giai on .
1.5 Li sut
Khi mt t chc hay c nhn cn tin th c th i vay n bng nhiu kiu khc nhau,
v d nh vay trc tip nh bng, hoc l pht hnh tri phiu. Mt tri phiu l mt
hp ng qui nh bn pht hnh tri phiu phi tr cho bn gi tri phiu nhng khon
tin no vo cc thi im no . Bn gi tri phiu c th hiu l bn cho vay tin
(khon tin cho vay l khon tin tr cho bn pht hnh tri phiu i ly cc tri
phiu ), cn bn pht hnh tri phiu l bn i vay tin (cc khon tin nhn c t
vic pht hnh tri phiu l tin vay c, cn cc khon tin phi tr theo hp ng
ca tri phiu l cc khon tr li v gc cho ch tin vay c ). Vay qua hnh thc
pht hnh tri phiu khc vi vay t ngn hng ch ngi cho vay thng khng phi
l ngn hng, m l nhng t chc hay c nhn c tin d tr mun cho vay, v d nh
cc nh u t nh l hay l cc qu hu tr. Vic vay n bng tri phiu ny ct bt
c trung gian ngn hng, v v th c th c li hn cho c bn cho vay ln bn i vay,
khng b ngn hng n chn gia.
Trong ti chnh, tt c cc khon n theo cc kiu khc nhau, k c tri phiu ln vay
trc tip ngn hng, c gi chung l cc sn phm n. Gi ca cc sn phm n th
hin qua li sut (interest rate), tc l t l gia s tin li phi tr hng nm cho s
tin n ban u. (Nu nh khon n c k hn khc mt nm, th cng qui i ra thnh
t l tin li nu tnh theo nm l bao nhiu). V d, mt ngi vay nh bng 200 triu
VND v sau mt nm phi tr thnh 232 triu VND, trong 200 triu l tin gc cn
32 triu l tin li. T l gia tin li v tin gc l 32 chia cho 2, tc l 16%, v con s
ny c gi l li sut.
C nhiu qui c tnh li sut khc nhau (cho ra kt qu khng tng ng), m
chng ta s bn c th hn trong Chng 4. Khi cc nh kinh t ni n li sut m
khng ni c th l tnh theo qui c no, th c hiu l tnh theo qui c li kp theo
nm, hay cn c gi l li sut tri phiu, hay li sut hon vn.
V li sut l gi ca cc sn phm n, nn s thay i ca n cng tun theo qui tc
cung cu trn th trng i vi cc sn phm n. C th k n mt s yu t c nh
hng ln n li sut nh sau:
Lng cung tin. Khi lng cung tin c tng ln, th tc l lng cung cc sn
phm n tng ln, dn n xu hng gim li sut. Hiu ng ny c nh kinh
t Milton Friedman gi l hiu ng lu thng tin (liquidity effect). Tuy nhin,
s tng lng cung tin cng c th dn n xu hng lm pht trong tng lai,
v iu ny th li dn n trin vng tng li sut trong tng lai. Khi t l tit
kim trong nc cao, th tc l cng c nhiu tin cho vay hn, v do li
sut s thp hn, so vi nu t l tit kim thp.
tng trng kinh t. Khi mt nn kinh t ang trong giai on pht trin
nhanh, th thng c li sut cao, cn ngc li khi nn kinh t b chng li hoc
i vo suy thoi, th li sut s c xu hng gim thp xung. Qui lut kinh t ny
c th c gii thch nh sau: khi nn kinh t pht trin nhanh, tc l c nhiu c
hi pht trin, v cc doanh nghip s mun c thm vn pht trin v nm bt
cc c hi , dn n cu v cc sn phm n tng ln. Ngc li, khi nn kinh t
trong giai on tr tr, th cc doanh nghip khng nhn thy nhiu c hi pht
trin, do t c nhu cu v vn pht trin, khin cho cu v n trn th trng
gim xung, v iu ny ko li xut i xung.
Li sut tham chiu ca ngn hng trung ng. Ngn hng trung ng thng
t ra mt mc li sut gi l li sut tham chiu (reference rate), da vo
cc ngn hng thng mi iu chnh cc mc li sut nhn vay v cho vay ca
mnh. Khi ngn hng trung ng tng/gim li sut tham chiu, th li sut cho vay
v li sut huy ng vn ca cc ngn hng thng mi cng s tng/gim theo.
(Xem chi tit hn Mc 1.6).
ri ro v n (default risk). T chc hay c nhn no c mc tn nhim (credit
rating hay credit score) cng cao, tc l c coi l c ri ro v n cng thp,
1.5. LI SUT 11
th cng c th vay vi li sut thp. chnh lch gia li sut ca mt khon n
c ri ro v mt khon n khng c ri ro c gi l chi ph ri ro hay ph mo
him (risk premium). ri ro v n cng cao th chi ph ri ro cng cao. Chng
ta s tm hiu k hn v vn ny trong Mc 4.6
Thi hn ca khon n. Thng thng, cc khon n di hn hn, th c coi
l c ri ro cao hn l cc khon n ngn hn hn, dn n li sut ca n di hn
cao hn l li sut ca n ngn hn. Tuy nhin, iu ny khng phi lc no cng
ng, m c nhng lc n ngn hn li c li sut cao hn n di hn. Chng ta s
tho lun k hn v vn ny trong Mc 4.4.
Lm pht. Khi m mc lm pht k vng cao, th t ai mun cho vay nu li sut
thp di t l lm pht k vng, v s b thit hi ti sn do tin li khng b li
c s mt gi ca tin do lm pht. Bi vy, khi lm pht cao th li sut cng
cao ln theo, v ngc li khi lm pht gim th cng ko li sut xung theo.
Yu t lm pht l yu t tc ng rt mnh n li sut, v n lin quan n khi
nim li sut thc, c nh kinh t hc Irving Fisher (1867-1947)
(4)
a ra o
tng trng thc s ca sc mua ca mt khon tin cho vay. Li sut thc khng nhng
ph thuc vo li sut (hay cn gi l li sut danh ngha) m khon tin gi nhn
c, m cn ph thuc vo t l lm pht. Nu gi s li sut danh ngha l R, v t
l lm pht l , th li sut thc 1 c cho bi cng thc sau, gi l cng thc
Fisher:
1 =
1 + R
1 +
1 =
R
1 +
. (1.1)
Tht vy, nu ta gi 1 ng vi li sut R th sau mt nm n thnh 1 + R ng.
Nhng do t l lm pht l trong mt nm , nn s tin 1 + R nhn c sau mt
nm ch c sc mua bng (1 +R)/(1 +) vo thi im hin ti. Nh vy, sau mt nm,
sc mua ca khon tin gi khng phi l tng ln t 1 thnh (1+R), m ch l t 1 thnh
(1 + R)/(1 + ). tng trng sc mua sau 1 nm chnh l 1 =
1 + R
1 +
1 =
R
1 +
.
Trong cng thc pha trn, th li sut R l s c th xc nh c trong cc hp
ng gi tin hay vay n, th nhng t l lm pht trong mt nm s ti l iu khng ai
bit trc c chnh xc vo u nm, m ngi ta ch c th d on n s bng bao
nhiu. Bi vy, ta c th coi l t l lm pht d on cho thi gian ti, v li sut
thc y cng s l li sut thc d on.
(4)
Xem: http://en.wikipedia.org/wiki/Irving_Fisher
Trong trng hp m t l lm pht thp ( nh, v d khng qu 5%), th ngi ta
coi 1 + xp x bng 1, v thay cng thc Fisher pha trn bng cng thc gn ng sau
y, khng c chnh xc bng nhng d nh hn:
1 R , (1.2)
tc l li sut thc xp x bng li sut danh ngha tr i t l lm pht.
Hnh 1.4: Li sut thc Vit Nam trong nhng nm 20072009
Hnh 1.4 biu din th cc ng li sut huy ng vn k hn 3 thng l li sut
thc ngn hn trong giai on 01/2007 n 03/2010. Trong nm 2008, li sut c lc ln
hn 17%, nhng lm pht c lc cn cao hn 20%, dn n li sut thc b m. Hnh 1.5
l th ng t l lm pht v li sut tri phiu chnh ph ngn hn (T-Bills) M
trong hai thp k 1970 v 1980. Trong phn ln thp k 1970, nc M c li sut ca
tri phiu chnh ph kh cao, nhng li sut thc vn m, do t l lm pht cn cao hn.
m bo ngi cho vay nhn c li sut thc dng (lm nh vy khuyn khch
c ngi c tin cho vay), trn th gii c bn cc loi tri phiu chng lm pht
(ting Anh l inflation-linked bonds, hay inflation-indexed bonds). Li sut ca cc tri
phiu ny khng c nh, m c tnh theo t l lm pht. Tri phiu u tin c bit
n nh vy xut hin trn th gii t nm 1870, do chnh quyn vng Massachusetts
M pht hnh. Th trng tri phiu chng lm pht bt u pht trin mnh t khi
chnh ph Anh bn loi tri phiu ny vo nm 1981. Vo thi im 2008, tng gi tr
ca cc tri phiu chng lm pht trn th trng n th gii ln n 1,5 nghn t USD,
1.6. H THNG NGN HNG V CHNH SCH TIN T 13
Hnh 1.5: Li sut tn phiu chnh ph v lm pht M, 19512011
ch yu l do cc chnh ph (M, Anh, Php, Canada, Nht Bn, Italia, c, v.v.) pht
hnh
(5)
.
1.6 H thng ngn hng v chnh sch tin t
Ni n tin tc l ni n ngn hng, bi v phn ln tin l c ngn hng:
tng cung tin mt M0 nh hn 10% tng cung tin M2. Vo nm 2010, tng ti sn ca
1000 nh bng ln nht trn th gii ln n khong 100 nghn t USD (gp gn 1000
ln GDP ca Vit Nam).
Trong h thng ngn hng, ngoi cc ngn hng thng mi (v d nh Vietcombank
hay HSBC), cc cng ty lm dch v thanh ton in t (v d nh VISA), cc cng ty
lm bo him cho cc khon vay n (v d nh American International Group), v.v., cn
c cc ngn hng c bit, khng v li nhun, ng vai tr c bit quan trng trong h
thng ngn hng, gi l ngn hng trung ng. M, ngn hng trung ng c gi
l Federal Reserves (gi tt l FED), trn danh ngha l ngn hng t nhng hot ng
v quyn li chung ca nc M, cn Vit Nam ngn hng trung ng l Ngn hng
Nh nc Vit Nam, trc thuc Chnh ph Vit Nam.
(5)
Xem: http://en.wikipedia.org/wiki/Inflation-indexed_bond
H thng ngn hng trn th gii hot ng theo nguyn tc gi l fractional reserve
(nguyn tc d tr mt phn). iu c ngha l, khi mt ngi X gi tin vo mt
ngn hng A mt khon tin no , th ngn hng A phi d tr (tc l gi ti ngn
hng trung ng) t nht mt phn ca khon tin theo mt t l do ngn hng trung
ng qui nh, gi l t l d tr bt buc , cn phn cn li c th em cho i tc
Y khc vay.
V d, t l d tr bt buc M l 10% trong nm 2010. Nu mt ngi X c mt
khon tin M no em gi ngn hng no , th ngn hng phi d tr 10%M
ngn hng trung ng, v c th em 90%M cho mt ngi Y vay. Ngi Y c th
khon tin vay mt ngn hng no , v ngn hng li phi d tr 10% ca
90%M ngn hng trung ng, v c th cho mt ngi Z khc vay ch cn li, tc l
0.9
2
M = 0.81M, v c nh th. Tc l, t mt lng tin ban u l M c gi vo
ngn hng, qua s khuych i ca h thng ngn hng, c th sinh ra mt lng cung
tin tng cng l 10 ln M:
(1 + 0.9 + 0.9
2
+ 0.9
3
+ 0.9
4
+ ...)M = 10M.
H s 10 y gi l h s khuych i, v n bng 1 chia cho t l d tr bt buc.
Nh vy, h thng ngn hng c tc dng lm khuch i lng cung tin ln (n 10 ln,
trong trng hp ca nc M) t nhng khon tin ban u. Nhng khon tin ban u
l nhng khon tin xut pht t chnh ph (thng qua ngn hng trung ng), bi v
pht hnh tin l c quyn ca chnh ph, ch cc ngn hng thng mi khng c
php pht hnh tin.
Chnh ph (c th l di s kim sot ca Quc hi) c quyn pht hnh tin (ni
nm na l in tin), v thng y quyn vic pht hnh cho ngn hng trung ng
thc hin. Khi chnh ph pht hnh tin cho cc t chc v c nhn (i li ly cc ti
sn hay dch v no cho chnh ph), th c ngha l chnh ph n cc t chc v c
nhn cc khon tin . Nu chnh ph lm dng hnh thc in tin vay n, th iu
s lm tng lng cung tin nhanh chng (thng qua s khuych i ca h thng
ngn hng), v iu c th dn n lm pht, thm ch siu lm pht. Kiu in tin
dn n lm pht nh vy l mt hnh thc bt nhn dn (nhng ngi gi tin) phi
min cng ng thu, qua vic tin ca h b gim gi tr i, v gi tr b gim i
chnh l do chnh ph ly mt qua vic in tin. Khi chnh ph mun vay tin mt cch
ng hong hn v khng gy ra lm pht, th c th pht hnh cc tri phiu, thay v
in tin v ti v.
Ngoi vic in tin cho chnh ph, nhim v chnh ca cc ngn hng trung ng l
1.7. NGOI T V T GI NGOI T 15
kim sot s hot ng ca h thng ngn hng (chng hn nh ng ca cc ngn hng
thng mi khng thanh khon v c nguy c ph sn), v a ra cc chnh sch
tin t nhm m bo mt mi trng tin t thun li cho nn kinh t, tc l lm sao
va chng c lm pht va to c cung tin v mc li sut hp l cho cc doanh
nghip v c nhn. lm vic , ngn hng trung ng c cc cng c ch yu sau
Tng/gim lng tin pht hnh.
Tng/gim t l d tr bt buc.
Tng/gim li sut tham chiu.
Mc li sut tham chiu m ngn hng trung ng a ra khng phi l mc li
sut thc thi cho cc khon vay n, m ch l mt mc li sut da vo cc ngn
hng thng mi xc nh cc mc li sut huy ng vn v li sut cho vay ca mnh.
Cc khon vay u i, rt ngn hn, gia ngn hng trung ng v cc ngn hng thng
mi, hay gia cc ngn hng thng mi vi nhau cho khon d tr bt buc cn c
ngn hng trung ng, c th c thc hin mc li sut gn bng li sut tham chiu,
cn hu ht cc sn phm n khc, k c tri phiu di hn ca chnh ph, c th c
li sut cao hn ng k so vi li sut tham chiu. Khi ngn hng trung ng tng hay
gim li xut tham chiu, th kch thch cc ngn hng thng mi tng hay gim cc
mc li sut khc theo. Cc ngn hng thng mi c th khng b bt buc phi lm
theo nh vy, nhng vn lm theo, v uy tn v sc mnh ti chnh ca ngn hng trung
ng khin cho tt c cc ngn hng thng mi khc cng lm theo, ai khng theo th
thit. Bi vy vic thay i li sut tham chiu ca ngn hng trung ng c nh hng
mnh trc tip n cc li sut trn th trng.
1.7 Ngoi t v t gi ngoi t
Mt s ng tin trn th gii, trong c ng la M, ng Euro, ng bng Anh,
ng Yn Nht, ng Franc Thy S, c gi l cc ng tin mnh (hard currency),
hay ngoi t mnh (nu l tin nc ngoi). Mt s c trng ca mt ng tin mnh
l:
L ng tin ca mt nc c nn kinh t mnh trn th gii.
C gi tr tng i n nh v mc lm pht tng i thp.
C tnh thanh khon cao: c chp nhn lm cng c thanh ton nhiu nc
trn th gii, d dng chuyn i sang cc ng tin ca cc nc khc, v c
nhiu ngi nc ngoi gi lm d tr ti sn.
Vo nm 2011, hai ng tin mnh nht th gii l USD (chim khong 60% cc thanh
ton ngoi thng trn th gii) v ng Euro (chim khong 30% cc thanh ton ngoi
thng). Tuy Trung Quc l nc c nn kinh t ln th hai trn th gii vo nm 2011,
nhng ng RMB ca Trung Quc cha c lit vo danh sch cc ng tin mnh, bi
v n cha tha mn c trng th 3 k trn, tc l cn qu t ngi trn th gii gi tin
RMB, v n cn hu nh cha c dng lm cng c thanh ton ngoi Trung Quc.
Tuy nhin chnh ph Trung Quc ang a ra cc chnh sch nhm bin ng tin RMB
tr thnh ng tin ph bin hn trn th gii.
Cc nc ang cn yu v kinh t, m bo cho ng ni t ca mnh khi b mt
gi, c th thc hin chnh sch c nh t gi (pegging) ng ni t vi mt ng ngoi
t mnh no . V d, nhiu nc chu Phi (Senegal, Cameroon, Benin, Mali, Gabon,
v.v., tng cng 14 nc vo nm 2011) dng ng tin gi l CFA Franc (Franc chu
Phi), c t gi c c nh vi ng Euro l 100 CFA Franc = 1 Franc ca Php trc
khi c Euro = 0.152449 Euro
(6)
. Mt s nc khc nh Rp X t (Saudi Arabia), Li
Bng (Lebanon), Hng Kng, Bermuda, Panama, Ecuador chn la c nh t gi tin
ni t ca mnh vi ng USD.
Vic c nh (hay gn c nh, vi bin giao ng nh) t gi ca mt ng tin
yu vi mt ng tin mnh i hi phi c k lut trong cc chnh sch tin t v ti
kha (fiscal policies), bi v nu in tin nhiu qu hay vay n nc ngoi nhiu qu th
t dn n mt gi ng tin, khng cn m bo t l gi c nh vi mt ng ngoi
t mnh c na. y l iu xy ra Thi Lan nm 1997, nh du m u cuc
khng hong ti chnh chu giai on 19971998: sau khi vay n qu nhiu v u t
trn lan, vo ngy 02/07/1997 chnh ph nc ny tuyn b th ni ng Baht Thi
v khng gi ni t gi gn c nh vi USD, v ch trong vng t lu sau ng Baht
mt gi n 50% so vi USD (xem Hnh 1.6).
Tnh hnh i vi ng RMB th ngc li: chnh ph Trung Quc cng mun gi
t gi RMB/USD gn nh c nh, nhng gp s phn i ca chnh ph M. M cho
rng (vo nm 2011) t gi RMB/USD qu thp, to ra li th xut khu bt thng cho
Trung Quc, v mun Trung Quc phi tng gi ng RMB ln thnh qung 1USD = 4
(6)
Xem: http://en.wikipedia.org/wiki/CFA_franc
1.7. NGOI T V T GI NGOI T 17
Hnh 1.6: T gi gia ng Baht Thi v USD
RMB hay 5 RMB, thay v 1 USD = 6,5 RMB. Ni mt cch tng qut, khi t gi ng
ni t i xung so vi ngoi t th iu c li cho xut khu, v n lm cho gi thnh
cc mt hng sn xut trong nc tr nn r hn so vi nc ngoi, v ngc li n
gy bt li cho nhp khu. Chnh sch ng tin yu ca Trung Quc (tc l gi t gi
ca RMB thp so vi cc ngoi t mnh) l mt trong nhng nguyn nhn v sao Trung
Quc c xut siu rt ln, n qung 200 t USD mt nm vo nhng nm 20082010.
Vo nhng nm, khi Nht Bn vo tnh hnh tng t, vi xut siu qu ln sang M,
M thnh cng trong vic p Nht Bn nng t gi ng Yn ln 2 ln so vi USD:
t 254 Yn = 1 USD vo u nm 1985 thnh 127 Yn = 1 USD vo u nm 1988.
ng VND ca Vit Nam hin l mt ng tin yu v kh chuyn i nc ngoi.
Vit Nam c chnh sch gi gi ng VND so vi USD (khng phi l c nh gi, m l
cho php giao ng trong bin hp, v thnh thong trt gi vi tc chm). Tuy
nhin, Vit Nam c tng trng cung tin qu cao, ko theo lm pht cao. Trong tnh
hnh nh vy, vic gi gi VND so vi USD khng nhng kh thc hin, m cha chc
c li cho nn kinh t nu gi c gi mc cao, bi v n c th lm cho hng ha
sn xut ti Vit Nam tr nn c gi thnh t so vi th gii, gy kh khn cho sut
khu v kch thch nhp khu, dn n n nc ngoi qu nhiu.
K c gia cc ng ngoi t mnh vi nhau, t gi cng c th c nhng lc giao
ng rt mnh ch khng hn l n nh. V d, ch trong vng 6 thng t 07/2008
n 01/2009, t gi EUR/USD ri t 1,60 xung 1,25 (gim hn 20%) ri li ln trn
1,45 (xem hnh 1.7). Mt phn ca s giao ng mnh ny l do khng hong ti chnh
20082009, nhng mt phn ln s giao ng cng c th ti cho lng u c qu ln
trn th trng chng khon th gii. Trong tnh hnh nh vy, vic c nh t gi ca
mt ng tin yu vi mt ng tin mnh vn lm cho gi ca n so vi cc ng tin
mnh khc giao ng rt ln. gim s bt n nh ny, thay v ch chn 1 ng tin
mnh lm tham chiu, c th chn 1 r ng tin mnh. y l chnh sch m vo
nm 2011 nc Belorussia ang thc hin, v Trung Quc cng ang mun thc hin.
Hnh 1.7: T gi gia EUR v USD
Chng 2
Th trng ti chnh
Cc th trng ti chnh (financial markets) l ni giao dch cc sn phm ti chnh
(financial products), cn gi l cc cng c ti chnh (financial instruments), trong
c cc loi tin t, cc mn n ngn hng, v cc loi sn phm ti chnh khc, nh c
phiu, tri phiu, hp ng tng lai, v.v., gi chung l cc chng khon (securities).
trong chng ny, chng ta s tm hiu qua v chc nng v cu trc ca cc th trng
ti chnh, cc i tng tham gia th trng ti chnh, v cc loi sn phm ti chnh
c giao dch .
2.1 Chc nng v cu trc ca th trng ti chnh
Chc nng c bn nht ca cc th trng ti chnh l lun chuyn vn t nhng
ngi c vn d tha (v d nh nhng ngi c tin tit kim cha dng n, cc qu
u t, cc khon tin d tr ca cc cng ty bo him, v.v.) n nhng ngi cn vn
(v d nh cc doanh nghip ang c cc d n u t c trin vng em li hiu qu
cao nhng ang thiu vn thc hin cc d n , cc chnh ph cn vn b vo
thm ht ngn sch, v.v.). Ngoi chc nng lun chuyn vn, th trng ti chnh cn c
cc chc nng khc nh: to thanh khon trong kinh t, cung cp phng tin qun
l ri ro, cung cp phng tin thanh ton thng mi, v.v.
Ni chung, s lun chuyn vn trn th trng ti chnh em li li ch x hi, v n
to ra s hp tc hai bn cng c li gia ngi cung cp vn v ngi s dng vn,
vn c s dng vo nhng ch em li hiu qu cao nht, em li nng sut cao hn
cho nn kinh t ni chung. S tn ti ca th trng ti chnh cng c li ngay c nu
ai vay vn nhm mc ch mua sm thay v nhm tng li nhun trong kinh doanh.
19
20 CHNG 2. TH TRNG TI CHNH
V d nh mt ngi mun mua mt ngi nh p, nhng cha c tin. Nh c th
trng ti chnh, ngi c th vay tin mua nh vi mt mc li sut no , tr dn
trong nhiu nm t thu nhp ca mnh, c th c hng th ngay mt ngi nh p
thay v phi chui rc cho n khi tit kim c tin mua nh.
Th trng ti chnh thc hin vic lun chuyn vn thng qua ti chnh trc tip hoc
ti chnh gin tip. Ti chnh trc tip l khi nhng ngi cn vn c th huy ng
vn trc tip t nhng ngi c vn, bng cch bn cc chng khon nh c phiu hay
tri phiu. Cc chng khon (securities) c ngha l cc hp ng ti chnh hay l cc
giy t ghi nhn quyn s hu n cc ti sn no , v d nh mt c phiu (stock)
l giy t chng nhn quyn s hu mt phn vn c phn ca mt doanh nghip cho
ngi cm n, cn mt tri phiu (bond) l mt phiu n theo ngi pht hnh tri
phiu (con n) ha tr ngi gi tri phiu (ch n) nhng khon tin no vo cc
thi im no . Cc th trng ti chnh trc tip thng c gi l cc th trng
chng khon: cc chng khon c th c mua bn, chuyn tay t ngi ny sang
ngi khc. Trc tip khng c ngha l ngi mua v ngi bn phi gp nhau mt
i mt, m h c th thc hin vic mua bn chng khon thng qua cc nh mi gii
(v d nh cc cng ty chng khon).
Ti chnh gin tip l khi c cc trung gian ti chnh ng gia, kinh doanh vn,
bng cch huy ng vn t nhng ngi c vn, ri chuyn vn n nhng ngi cn
vn. V d nh ngn hng, vay tin t ngi c vn mt mc li sut thp, ri ly s
tin cho ngi cn vn vay mt mc li sut khc cao hn, v hng chnh lch
gia. Ngoi cc ngn hng, cn c cc trung gian ti chnh khc nh: cc cng ty ti
chnh, cng ty bo him, cc qu hu tr, qu u t, ngn hng u t, v.v. Theo knh
ti chnh gin tip, th nhng ngi s dng vn v nhng ngi cung cp vn khng lin
h trc tip vi nhau. Cc trung gian ti chnh, hay c gi l cc t chc ti chnh
(financial institutions), ng mt vai tr quan trng trong nn kinh t, bi v thng qua
h m cc cng ty cn vn huy ng c vn, v nhng ngi dn c ch gi tin
tit kim ca mnh. Cc trung gian ti chnh cng c tc dng lm gim ri ro ti chnh
cho khch hng ca h. V d, mt ngi c tin d tha, c th cho vay hoc u t vo
u . Nhng nu cho mt c nhn vay th c kh nng ri ro l b qut n mt ht tin,
nu u t vo c phiu ca mt cng ty no , th cng c ri ro l khng thng
tin v kh nng phn tch xem cng ty lm n ra sao, c th u t nhm vo cng
ty s ph sn. u t thng qua mt trung gian ti chnh, v d nh mt qu u t, th
s gp phi cc ri ro hn. Cc ri ro v ti chnh do tai ng (nh chy nh, tai
2.1. CHC NNG V CU TRC CA TH TRNG TI CHNH 21
nn giao thng, v.v.) gy ra i vi ngi dn cng c gim thiu, bi c cc cng ty
bo him (l mt loi trung gian ti chnh) bn bo him cho h.
Cc th trng chng khon c th c chia thnh th trng s cp v th trng
th cp: Th trng s cp (primary market) l th trng cho vic pht hnh cc
chng khon, cn th trng th cp (secondary market) l ni mua i bn li cc
chng khon c pht hnh. V d, khi Vietcombank pht hnh c phiu ra cng
chng ln u (ting Anh gi l initial public offering, vit tt l IPO), th cc nh u
t mua c phiu Vietcombank t Vietcombank, v ni din ra vic mua bn ny c gi
l th trng s cp. Sau , cc nh u t mua bn c phiu Vietcombank vi nhau, v
ni din ra vic mua bn ny (cc sn chng khon) c gi l th trng th cp. th
trng s cp, thng c cc cng ty chng khon ng ra lm bo lnh pht hnh: h
mua s chng khon t nh pht hnh vi s lng ln v gi tha thun (thng thp
hn mc gi cng b) ri bn l li cho cc nh u t trn th trng th cp. S
khc nhau ch yu gia th trng s cp v th trng th cp l ch hot ng ca
th trng s cp lm gia tng thm vn cho nn kinh t cn hot ng ca th trng
th cp ch lm thay i quyn s hu v gi ca cc chng khon pht hnh, m
khng trc tip lm tng thm lng vn u t cho nn kinh t.
Gia th trng s cp v th trng th cp c mi lin h tc ng qua li ln nhau.
Th trng s cp ng vi tr to c s cho hot ng ca th trng th cp v n l
ni to ra hng ha mua bn trn th trng th cp. Th trng th cp cng c tc
dng tr li i vi th trng s cp, ng vai tr to ng lc cho s pht trin ca th
trng ny. Tc dng ca th trng th cp ti th trng s cp c th hin hai
chc nng ca n: Th nht, chng lm cho qu trnh bn cc cng c ti chnh nhm
huy ng vn tr ln nhanh hn v d dng hn bng cch lm cho nhng cng c ny
c tnh thanh khon cao hn, nh khin chng c a chung hn v d dng cho t
chc pht hnh chng khon bn trn th trng s cp. Th hai, gi chng khon giao
dch trn th trng th cp c cc t chc pht hnh v cc nh u t ly lm gi
tham chiu nh gi chng khon trn th trng s cp.
Cc th trng chng khon th cp c th c t chc theo kiu th trng tp trung
(gi l th trng nim yt) hay th trng phi tp trung (gi l th trng OTC,
vit tt ca cm t over the counter). Th trng chng khon New York (New York
Stock Exchange, vit tt l NYSE) v S giao dch chng khon TpHCM (Hochiminh
City Stock Exchange, vit tt l HOSE) l hai v d v th trng nim yt. th trng
nim yt, tt c cc lnh mua/bn mt c phiu no c a v cng mt danh sch,
t khp lnh gia nhng ngi mun mua v mun bn theo mt thut ton m
bo gi ti u cho c bn mua v bn bn, v ti mi thi im trn th trng ch c 1
gi giao dch. cc th trng OTC th khc, khng c mt danh sch lnh chung, m c
nhiu im trao i c phiu khc nhau, vi gi c c th chnh lch nhau. Tuy nhin, vi
s in t ha cc th trng chng khon, trn th gii khng cn c s phn bit ln
gia cc th trng nim yt v th trng OTC, v chng u tr thnh cc trung tm
giao dch in t. K c i vi cc c phiu giao dch OTC, th lnh mua/bn thng
cng c chuyn n trung tm giao dch in t no c gi tt nht, v lnh c th
c chuyn t trung tm giao dch in t ny sang trung tm giao dch in t khc
ch trong tch tc khp lnh. Vit Nam, hai sn chng khon nim yt TP H Ch
Minh v H Ni s dng giao dch in t, v t nm 2009 mt s c phiu OTC ln
cng c giao dch in t thng qua mt mng in t gi l UPCoM. Nhng c phiu
OTC no m cha c giao dch in t th vic mua bn chng cn kh bt tin.
Cc th trng ti chnh cn c th c phn loi theo sn phm ti chnh c giao
dch trn . Mt s loi th trng ti chnh v sn phm ti chnh tng ng ph bin
nht l:
Th trng ngoi hi (foreign exchange, vit tt l FOREX hay FX), l ni mua
bn trao i gia cc loi tin vi nhau (v d nh mua EUR bng USD). Th trng
FOREX l mt th trng khng l, vi tng lng giao dch trn th gii vo khong 1
triu t (10
15
) USD trong nm 2010, gp gn 20 ln tng GDP ca th gii
(1)
(GDP ca
th gii l vo khong 60 nghn t USD). Lng giao dch ln nh vy khng phi l do
nhu cu i tin thc s ln n vy, m l do ngy nay phn ln lng giao dch trn cc
th trng ti chnh (hn 90%) l do gii u c to ra, mua i bn li nhiu ln nhm
kim li.
Th trng n (debt market), hay cn gi l gi l th trng tri phiu (bond
market), hay th trng thu nhp c nh (fixed income market), l ni giao dch cc tri
phiu, tc l cc chng khon n. Tng gi tr ca cc tri phiu trn cc th trng th
gii t khong khong 91 nghn t USD vo nm 2009
(2)
, trong th trng M chim
39% v th trng Nht chim 18%.
Th trng tin t (money market) l th trng chuyn v cc sn phm n ngn
hn (thi hn di 1 nm) v c tnh thanh khon v an ton cao gn nh l tin mt,
v d nh cc tn phiu ngn hn ca chnh ph. Th trng ny thch hp cho cc u
(1)
Xem: http://en.wikipedia.org/wiki/Foreign_exchange_market
(2)
Xem: http://en.wikipedia.org/wiki/Bond_market
2.1. CHC NNG V CU TRC CA TH TRNG TI CHNH 23
t rt ngn hn v i hi an ton rt cao (trong khi ch i tiu tin vo vic khc).
Th trng tin t c chia nh thm thnh th trng lin ngn hng (interbank
market), tc l gia cc ngn hng vi nhau, v th trng m l ni m cc t chc v
c nhn khng phi ngn hng cng tham gia. Vit Nam, t nhng nm 19931994,
cng c th trng lin ngn hng cho ni t v ngoi t.
Th trng c phiu (stock market) l ni giao dch cc c phiu, tc l quyn s
hu cc doanh nghip. Ngi gi tri phiu ca mt doanh nghip l ch n ca doanh
nghip, cn ngi gi c phiu ca doanh nghip l ngi gp vn vo doanh nghip
thnh ch s hu ca doanh nghip. Cc th trng c phiu v cc th trng tri phiu
(loi c k hn trn 1 nm) c gi chung l cc th trng vn, bi v pht hnh
c phiu v pht hnh tri phiu l hai cch thng dng nht mt doanh nghip huy
ng vn.
Th trng commodities l ni giao dch cc hp ng (ch yu l hp ng tng
lai, xem Mc 2.4.1) cho cc loi hng ha thng dng nht (gi l cc commodities) nh
du ha, vng, bc, c ph, v.v. Mt v d l Chicago Mercantile Exchange (CME).
Th trng chng khon phi sinh l ni giao dch cc chng khon phi sinh
(derivatives). Cc chng khon phi sinh l cc chng khon, m gi tr ca chng c
xc nh theo gi tr ca cc chng khon khc hay cc ti sn khc hay cc ch s ti
chnh khc. Cc loi chng khon phi sinh ph bin l: cc quyn chn (options, tc l
quyn mua hay quyn bn nhng chng khon no theo nhng iu kin no v gi
c v thi hn), cc hp ng k hn (forward contracts), cc hp ng tng lai
(futures), v cc hp ng hon i chng khon (swaps), v chng c dng trn
cc th nh c phiu, tri phiu, t gi ngoi hi, t gi li sut, commodities (xem Mc
2.4). Th trng chng khon phi sinh cng l mt th trng khng l, v pht trin rt
nhanh trong my thp k qua. Vo nm 2008, tng giao dch chng khon phi sinh trn
th gii ln hn gp 5 ln GDP ca ton th gii, cn tng gi tr ca cc chng khon
c phi sinh ha (tc l cc chng khon lm c s cho cc chng khon phi sinh
ang c trn th trng) ln n hn 11 ln GDP ca ton th gii
(3)
. y cng l th
trng c ri ro cao nht. Trong giai on khng hong ti chnh th gii 2008-2009,
hng lot t chc ti chnh ln ph sn hoc thua l nng v chng khon phi sinh.
Cho n th k 20, cc chng khon thng dng cc t giy thc s, v khi mua
bn chng khon l trao tay thc s cc t giy . Ngy nay, tng t nh i vi tin
t, phn ln cc chng khon l dng in t, giao dch chng khon l giao dch in
(3)
Xem: http://en.wikipedia.org/wiki/Derivative_(finance)
t, vi cc con s hin ln trong ti khon, ch khng cn trao tay trc tip cc t giy
na. Vic in t ha cc chng khon v cc th trng chng khon khin cho vic qun
l v giao dch chng khon tr nn thun tin v hiu qu hn nhiu so vi trc kia,
v gp phn quc t ha cc th trng chng khon. V d, c phiu ca cng ty LDK
Solar ca Trung Quc (chuyn sn xut cc h thng in nng lng mt tri) li c
nim yt th trng chng khon New York (NYSE) M, v mt ngi ngi Php
c th t cc lnh mua bn c phiu LDK Solar ny trc tip trn NYSE qua internet.
Cc giao dch in t trn cc th trng chng khon khng phi l c thanh ton
trc tip gia ngi mua v ngi bn trn th trng, m l thng qua trung tm
thanh ton (clearing center). Vit Nam, trung tm thanh ton ny c gi l Trung
tm lu k chng khon Vit Nam. V d, mt ngi A trong 1 ngy mua 300 c phiu
XYZ t mt ngi B v sau bn 200 c phiu XYZ cho ngi C, th khng c ngha l
A nhn c trc tip ca B 300 c phiu XYZ ri phi chuyn li trc tip cho C 200 c
phiu XYZ. Trong ngy , tnh tng cng li, A mua 100 c phiu (= 300 200), v A
s nhn c 100 c phiu t trung tm thanh ton (ch khng phi trc tip t B), v
cng khng phi chuyn cho C c phiu no, v c trung tm thanh ton lm vic . V
trung tm thanh ton mt thi gian lm cc cng vic cng tr s lng chng khon
cho cc bn, nn sinh ra cc nguyn tc nh kiu T+2 (tc l 2 ngy sau khi thc hin
mt lnh mua/bn chng khon th mi thanh ton xong cho lnh ).
Trong cc mc di y, chng ta s bn thm v mt s loi chng khon ph bin
nht v cc th trng ca chng.
2.2 Cc sn phm n
Cc tri phiu c k hn cng di th ri ro v li sut, tc l gi ca chng thay
i khi li sut thay i, cng cao. (iu ny s c gii thch r hn trong Chng
4). Cc tri phiu rt ngn hn th hu nh khng c ri ro v li sut, tc l k c khi
li sut i ln, th gi ca chng ni chung cng khng b gim i. Chnh v vy m cc
chng khon n trn th trng tin t u l cc chng khon n ngn hn. Mt s loi
chng khon n ngn hn ch yu trn th trng tin t l:
Tn phiu kho bc (treasury bills) l loi tri phiu ngn hn ca chnh ph (khi
pht hnh thng c k hn l 3 thng, 6 thng, hay 1 nm), c chnh ph bn ra vi
gi di mnh gi, v bi vy chng cn c xp vo loi tri phiu chit khu (discount
bond). Ngi gi tn phiu ny n lc o hn th c chnh ph tr cho tin ng
2.2. CC SN PHM N 25
bng mnh gi. Tn phiu kho bc c tnh thanh khon cao nht trong s cc cng c
ca th trng tin t do chng c mua bn rng ri nht. Loi tn phiu ny cng l
cng c th trng tin t an ton nht do khng c kh nng xy ra v n, v cng lm
th chnh ph c th in tin tr n cho loi tn phiu ny. Phn ln tn phiu kho bc
c cc trung gian ti chnh, c bit l cc ngn hng, nm gi. Ngn hng trung ng
ca cc nc thng s dng vic mua/bn tn phiu kho bc trn th trng m nh l
mt cng c iu hnh chnh sch tin t.
Thng phiu (commercial papers) l mt cng c n ngn hn c cc ngn hng
ln v cc cng ty ln c uy tn cao, v d nh General Electric, pht hnh. S tng
trng ca th trng thng phiu kh n nh: tng s d ca thng phiu tng hn
1200% (t 122 t la n 1544 t la) trong khong thi gian 1980 2005.
Chng ch tin gi (certificates of deposit, vit tt l CDs) l mt loi cng c n
ch yu do cc ngn hng pht hnh, c k hn (vi cc k hn thng l 3 thng, 6
thng, hoc l t 1 n 5 nm), c c bo him (k c khi ngn hng ph sn, th ngi
gi CD vn c hon li tin), v bi vy cng an ton nh l tin mt. i vo chi tit
hn th c nhiu loi CD khc nhau
(4)
. Mt s loi CD c th c giao dch trn th
trng chng khon th cp. Th trng chng ch tin gi (tnh ring M nm 2010
l khong 2 nghn t USD) l mt ngun ln cc nh bng v cc trung tm ti chnh
huy ng vn.
Hnh 2.1: Mt chng ch tin gi mnh gi 5$ pht hnh M nm 1932
Chp phiu ngn hng (bankers acceptances, vit tt l BAs) l mt loi hi phiu
do cng ty pht hnh v c ngn hng chp nhn thanh ton bng cch nh du chp
nhn ln hi phiu. N tng t nh l mt tm sc c m bo ca ngn hng l s
c thanh ton trong tng lai, v c s dng trong cc thng v mua bn quc t
(4)
Xem: http://en.wikipedia.org/wiki/Certificate_of_deposit
t hng trm nm nay. Cng ty phi np mt khon l ph cho ngn hng (mt th l
ph bo him) hi phiu c ng du chp nhn. Nu nh sau cng ty khng c
tin thanh ton chp phiu ngn hng ca mnh, th ngn hng s phi ng ra thanh
ton khon tin . Cc chp phiu ngn hng ny d c cc i tc nc ngoi chp
nhn v c bo him ca ngn hng. Cc chp phiu ngn hng hay c bn li gim
gi trn th trng th cp, tng t nh l tn phiu kho bc.
Hp ng mua li chng khon (repurchase agreements, vit tt l repos) l cc
hp ng cho vay, thng c k hn thanh ton ngn, trong mt s chng khon (nh
tn phiu hay c phiu) c em ra lm ti sn th chp, tc l ti sn m ngi cho
vay s nhn c nu ngi i vay khng tr c n. V d, mt ngn hng c th vay
cng ty Microsoft 1 triu USD trong 2 tun bng cch lm mt hp ng repo, trn danh
ngha l bn cho Microsft 1 triu USD tn phiu kho bc v ha mua li ch tn phiu
vi gi cao hn mt cht sau 2 tun. Nhng nh cho vay quan trng nht trn th trng
repo ny l nhng cng ty ln.
Qu d tr bt buc ( ngn hng trung ng, M gi l FED Funds). Mt
ngn hng, khi s tin d tr ngn hng trung ng gim xung di mc ti thiu
bt buc, c th vay ngn hn (tng ngy mt, gi l vay qua m) t mt ngn hng
khc ang c s tin d tr ngn hng trung ng cao hn mc bt buc, b cho
khon d tr bt buc ngn hng trung ng. Li sut vay qua m cho cc khon
vay cho d tr bt buc ny l thc o cng thng ca th trng tn dng trong h
thng ngn hng: khi li sut ny cao th tc l cc ngn hng ang rt kt tin trong
ngn hn.
Eurobonds l tn gi cc tri phiu c pht hnh theo mt ng tin khc vi ng
tin s ti ca ni pht hnh (ch n khng cn c g lin quan chu u hay ng Euro).
V d, mt tri phiu tnh theo USD do chnh ph Vit Nam pht hnh Singapore cng
c gi l Eurobond. n 80% cc tri phiu pht hnh trn th gii ngy nay l loi
Eurobonds (trong c cc tri phiu ngn hn).
Cc sn phm n di hn hn (thuc v th trng vn, thay v th trng tin t)
gm c nhng loi chnh nh sau:
Tri phiu chnh ph (government bonds) do cc chnh ph pht hnh, trang
tri cho cc thiu ht trong ngn sch ca chnh ph, thng l loi tri phiu c giao
dch nhiu nht trn th trng, tc l c tnh thanh khon cao nht. Cc tri phiu chnh
ph thng c coi l c ri ro v n thp hn so vi cc tri phiu khc trong nc.
Ngoi ra cn c tri phiu chnh quyn a phng, hay cn c gi l tri phiu
2.2. CC SN PHM N 27
th (municipal bonds), do cc chnh quyn a phng pht hnh, v tri phiu ca
cc t chc chnh ph.
Tri phiu cng ty (corporate bonds), do cc cng ty pht hnh. Cc tri phiu
cng ty thng tr li nh k, v d mt nm 2 ln, v cho li sut cao hn l li sut tri
phiu chnh ph. Lng tri phiu cng ty trn th trng chng khon ch bng khong
1/5 so vi tri phiu chnh ph, v chng cng t c giao dch hn so vi tri phiu
chnh ph. Tuy nhin th trng tri phiu cng ty v bin ng li sut rt l quan trng
i vi cc cng ty, v lng tri phiu cng ty mi c pht hnh hng nm ln hn l
lng c phiu mi c pht hnh.
Tri phiu chuyn i (convertible bonds) l mt loi tri phiu cng ty c quyn
chuyn i thnh c phiu ca cng ty theo gi nh trc, vi mt s iu kin no .
N c th coi nh l tri phiu i km theo quyn chn mua c phiu. Mt s nh u t
c th thch tri phiu chuyn i hn l tri phiu thng thng, v khi gi c phiu ca
cng ty khng i ln th tri phiu chuyn i vn tr li, cn khi gi c phiu ca cng
ty ln cao th li c i tri phiu ly c phiu theo gi tha thun t trc hng
li nhiu hn t vic tng gi ca c phiu. Bi vy, cng ty c th pht hnh tri phiu
chuyn i mc li sut thp hn so vi tri phiu thng, v nh vy gim bt c
gnh nng v tin tr li. B li, cc c ng hin hu ca cng ty s b gim phn s
hu cng ty i nu nh cc nh u t vo tri phiu chuyn i quyt nh i chng
ly c phn ca cng ty.
Vay thng mi hay tiu dng, do cc ngn hng hay cc t chc ti chnh khc
cho cc doanh nghip hay ngi tiu dng vay. Nhng khon n ny kh chuyn nhng,
nn chng km tnh thanh khon nht trong cc cng c th trng vn.
Vay th chp. Vay th chp thng l nhng khon n ca cc h gia nh hoc cc
cng ty khi mua nh t hay nhng ti sn c gi tr lu bn khc, v nhng ti sn
c lm th chp cho khon vay. M, th trng vay th chp l th trng n ln
nht, vi tng s d cc mn n th chp nh t ( mua nh ) nhiu gp 4 ln so vi
vay th chp thng mi v nng tri. Hnh thc vay th chp mua nh ph bin l vay
tr gp (mortgage), tr dn hng thng trong nhiu nm, c th n 20 hay thm ch n
50 nm.
CDO (collateralised debt obligation chng khon n c th chp). y l loi chng
khon c to ra bng cch chng khon ha (securitisation) cc khon vay th chp:
ngn hng v t chc ti chnh tp hp mt r ln cc khon vay th chp li vi nhau
thnh mt gi sn phm n, ri dng cc cng thc ton chia nh gi ra thnh nhiu
phn gi l cc CDO, ri bn li cc CDO cho cc nh u t trn th trng chng
khon
(5)
. Cc nh u t khi mua cc CDO nh vy tr thnh nhng ngi cho vay th
chp gin tip (khng phi l cho mt ngi c th no vay, m l cho chung ton b
nhng ngi trong r cc khon vay th chp vay), v chu ri ro v n ca nhng ngi
vay th chp.
2.3 C phiu
Mt cng ty c phn l mt cng ty trch nhim hu hn (tc l cc ch s hu
khng c trch nhim phi tr n cho cng ty trong trng hp b v n), m quyn s
hu n c chia lm nhiu phn, gi l cc c phn. Giy t ghi nhn quyn s hu cc
c phn thng c gi l c phiu (stock, share): thng thng th mi c phiu
ng vi mt c phn. Nhng ngi s hu cc c phn ny, tc l nhng ngi nm gi
cc c phiu, chnh l cc ch s hu ca cng ty, v c gi l cc c ng (stockholder
hay shareholder). V d: cng ty c phn Sa Vit Nam (Vinamilk, m c phiu trn th
trng Vit Nam: VNM) c tng cng khong 351 triu c phiu lu hnh vo u nm
2010. iu c ngha l quyn s hu cng ty c chia thnh 351 triu phn, v nu
ngi no c 1000 c phiu ca Vinamilk th tc l s hu 1000 phn 351 triu (bng
khong 0,000285%) cng ty .
Khi mt cng ty c phn mun c thm vn pht trin, th c th gi vn bng
cch pht hnh thm c phiu, tc l in ra c phiu mi bn cho cc nh u t. Khi
lm nh vy, th t l s hu cng ty ca mi c phiu gim i (v d nh khi s c phiu
ca cng ty tng t 9 triu ln 10 triu, th mi c phn ang t s hu 1 phn 9 triu
cng ty gim xung cn 1 phn 10 triu), nhng b li tng gi tr ca cng ty tng ln
(v c thm tin bn c phiu vo ti sn ca cng ty). Ngc li, khi cng ty c tha
tin d tr, c th mua li bt c phiu ca chnh cng ty trn th trng chng khon.
Khi lm nh vy th s c phiu ca cng ty gim i, ko theo t l s hu cng ty ca
mi c phn tng ln, nhng b li tng gi tr ca cng ty cng gim i v chi tin
cho vic mua c phn.
Cc cng ty c phn thng c ch pht hnh mt s c phiu ca cng ty cho
cc nhn vin ca cng ty, theo mt ch u i v gi v thi hn mua. Vic bn c
phiu u i ny l mt hnh thc tr th lao cho cc nhn vin ca cng ty, lm cho
cc nhn vin cng tr thnh c ng ca cng ty, vi mc ch khin cho h gn b hn
(5)
Xem: http://en.wikipedia.org/wiki/Collateralized_debt_obligation
2.3. C PHIU 29
vi cng ty v tch cc lm vic hiu qu hn, v khi h l c ng th nu cng ty lm
n c li h cng c hng theo.
Khi mt cng ty c phn lm ra li nhun, th thng gi mt phn li nhun pht
trin doanh nghip, phn cn li rt ra khi cng ty chia cho cc c ng mt cch t
l thun vi s c phn nm gi ca tng c ng. Phn li nhun c gi l c tc
(dividend), v lng c tc m mi c ng nhn c trong mt ln chia c tc bng s
c phiu ca c ng nhn vi s c tc trn u 1 c phiu. V d, cng ty General
Electrics (m c phiu trn th trng chng khon M: GE) tr c tc cho qu I nm
2010 l 0,10USD/c phiu. Nh vy, nu ai s hu 1000 c phiu GE, th s c tr c
tc 1000 0.1 = 100 USD vo qu I nm 2010.
Mt im c bit ca cc cng ty c phn Vit Nam so vi th gii vo nhng nm
u th k 21 l cc cng ty Vit Nam khng ch chia c tc bng tin mt, m cn
chia c tc bng c phiu. V d trong mt ln chia, ngi no ang gi 10 c phiu ca
cng ty XYZ no Vit Nam c thm 5 c phiu XYZ na, v 5 c phiu c
gi l c tc tr bng c phiu. nc ngoi, vic chia ny khng gi l chia c tc
m gi l chia nh c phiu (stock split), bi v vic chia ny khng h rt tin ra khi
cng ty chia cho c ng, m ch lm tng s c phiu tng ln v t l s hu cng ty
ca mi c phiu gim i tng ng. Vit Nam, s d n c gi l c tc tr bng
c phiu bi v mnh gi (par value) ca c phiu Vit Nam thng l c nh (ph
bin nht l loi mnh gi 10 nghn VND), cng ty mun tng s c phiu ln th cn
tng vn php nh (legal capital) (s c phiu bng vn php nh chia cho mnh gi
ca mt c phiu), v cc cng ty c phn Vit Nam (hoc mi c phn ho) thng
ly vn ch s hu lm vn php nh. Trong khi , nc ngoi, khi nim mnh gi
ca c phiu l mt khi nim c xa (archaic) ch cn c dng vi tnh cht tng
trng ch khng ai cn quan tm n n, v n khng phn nh g ht. V d, mnh gi
ca c phiu ca hng Google (m chng khon: GOOG) l 0.001USD trong khi gi c
phiu ca Google vo thi im u nm 2010 l hn 500USD, tc l gp hn 500 nghn
ln mnh gi.
ln ca mt cng ty c phn c th c o bng nhiu thc o khc nhau, v
d nh doanh thu trong mt nm, s nhn vin, v.v., v mt cch o ph bin trn th
trng chng khon l vn ha (market capitalization), hay cn gi l th gi vn. Vn
ha ca mt cng ty c phn bng gi ca c phiu ca cng ty nhn vi tng s c
phiu pht hnh. Ni cch khc, vn ha ca mt cng ty c phn l gi tr ca n, tnh
theo gi c phiu trn th trng chng khon. Cng ty no c vn ha cng cao th tc
l c cc nh u t nh gi l cng c gi tr. Tt nhin, gi c phiu trn th trng
bin ng thng xuyn theo qui lut cung cu, v do vn ha ca mt cng ty c
phn cng bin ng theo.
Cc cng ty c vn ha ln nht trn mt th trng c phiu no thng c gi
theo ting lng l cc blue chip. V d, Tp on Bo Vit (m chng khon: BVH) l
mt blue chip trn th trng Vit Nam, vi vn ha vo 01/2011 vo khong 60 nghn t
VND (gn 3 t USD). Ngun gc ca thut ng blue chip l t sng bc Monte Carlo:
blue chip l loi ng xu ca sng bc c gi tr cao nht trong cc ng xu dng t
cc nh bc. Thut ng ny cng cho thy kha cng sng bc ca th trng chng
khon: th trng chng khon cn c gi l sng bc ln nht th gii, bi c rt
nhiu ngi tham gia n khng phi do nhu cu hay mc ch u t tht s, m l
mua i bn li nhiu ln cc chng khon nhm kim li nhanh chng, nhng chu ri ro
rt cao v rt d b thua l, nh l nh bc. Mt v d v s mua i bn li nhiu ln
l c phiu ca mt hng dc phm nh c tn l XOMA: cng ty XOMA ch c tng
cng gn 22 triu c phiu pht hnh, nhng trong hai thng 12/2010 v 01/2011 giao
dch n 200 triu c phiu trn th trng, tc l trung bnh mi c phiu XOMA c
mua i bn li 9 ln trong vng 2 thng !
Hnh 2.2: Gi v lng giao dch c phiu XOMA, 11/201001/2011
ln ca mt th trng c phiu c th c o bng tng vn ha (total market
capitalization) ca th trng , tc l tng vn ha ca cc cng ty c phn c c phiu
c giao dch trn th trng. Vo thi im cui nm 2009, th trng chng khon
Vit Nam l mt th trng mi ni cn nh, tng vn ha ca cc c phiu phiu nim
yt Vit Nam (khng k cc c phiu over-the counter (OTC), tc l cc c phiu c
giao dch nhng khng c nim yt chnh thc) l vo khong 600 nghn t VND, tng
2.3. C PHIU 31
ng vi hn 30 t USD. so snh, vo thi im , tng vn ha ca cc th trng
c phiu trn th gii l vo khong 50 nghn t USD (gp hn 1 nghn ln so vi Vit
Nam), v mt cng ty ln nh Procter and Gamble (c nhiu sn phm gia dng bn
Vit Nam) c vn ha mc 180 t USD.
Hu ht cc c phiu trn th trng chng khon l c phiu ph thng (common
stock), cho quyn b phiu v cc hot ng ca cng ty, bu ban gim c, v.v., vi
mi c phiu th c 1 phiu biu quyt. Ngoi c phiu ph thng, c nhng c phiu
c bit c quyn biu quyt nhiu hn cc c phiu khc (v d nh c phiu do cc c
ng sng lp ca mt cng ty nm gi c th c quyn biu quyt gp my ln cc c
phiu khc ca cng ty ), nhng nhng c phiu nh vy ni chung rt him v khng
c giao dch trn th trng. C mt loi c phiu khc, i ngc li vi c phiu ph
thng, tng i him nhng c giao dch trn th trng th gii, gi l c phiu u
tin (preferred stock). C phiu u tin khng cho quyn b phiu v cc hot ng ca
cng ty. B li n c u tin hn c phiu ph thng v mt ti chnh: m bo hn
v tr c tc so vi c phiu ph thng, v nu cng ty ph sn, phi thanh ton ht ti
sn i tr n, th sau khi tr n ht xong (nu c tin tr ht n sau khi thanh
ton ti sn), phn cn li phi chia cho cc c phiu u tin trc, nu cn g th mi
n lt c phiu ph thng. Trong cun sch ny, chng ta s tm thi b qua cc loi
c phiu u tin v c phiu c bit, v khi ni n cc c phiu, chng ta s hiu l c
phiu ph thng. Cc c phiu trn cc sn giao dch chng khon Vit Nam vo thi
im 2010 u l c phiu ph thng.
Trn th gii, khong mt na s c phiu l do cc c nhn nm gi; phn cn li
nm trong tay cc t chc ti chnh, nh l cc qu lng hu, qu tng h, cng ty
bo him.
Mt xu hng trn th gii trong nhng nm gn y l s pht trin ca cc qu
c gi theo ting Anh l Exchange Traded Funds (vit tt l ETFs), tc l cc qu
u t chng khon, m quyn s hu ti sn ca chng cng c chia thnh cc c
phn, v c phiu ca chng cng c giao dch trn th trng chng khon, y nh l
cc cng ty c phn. Loi c phiu ETFs ny mi xut hin M t nm 1993 v chu
u t nm 1999, v ngy nay tr thnh mt cng c u t c a chung. V d
nh nu mt nh u t mun u t vo ngnh cng ngh bn dn in t, th c th
mua c phiu ca mt ETF i din cho ngnh , s d qun l hn v chu ph giao
dch thp hn l nu mua trc tip c phiu ca nhiu cng ty khc nhau trong ngnh
. Vo nm 2010, ch ring nc M c n hn 900 ETFs, vi tng ti sn ln n
gn 900 t USD
(6)
.
C nhiu ETFs khc nhau, u t vo cc loi chng khon hay ti sn khc nhau, v
do nh u t c th chn mua bn c phiu ca ETF no nh l mt hnh thc
u t vo loi ti sn hay chng khon tng ng. Mt s v d trn th trng M:
- Qu u t theo ch s S&P500, vi m chng khon SPY. C phiu SPY l c phiu
c tnh thanh khon cao nht trn th gii.
- Qu u t tri phiu di hn, vi m chng khon TLT. Thay v mua cc tri phiu
chnh ph di hn, c th mua TLT, s c mc li nhun tng t, m li c th c
l ph giao dch r hn l nu mua thng cc tri phiu, v c th mua s lng nh
hn so vi nu mua tri phiu.
- Qu u t vo vng, vi m chng khon GLD. Thay v mua bn vng (l mt
cng vic lch kch hn), c th u c gi vng bng cch mua bn GLD trn th trng
c phiu.
Hnh 2.3: Gi c phiu GLD (02/201001/2011) phn nh gi vng
(6)
Xem: http://en.wikipedia.org/wiki/Exchange-traded_fund
2.4. CC CHNG KHON PHI SINH 33
2.4 Cc chng khon phi sinh
Cc chng khon phi sinh (derivatives) l cc chng khon c sinh ra t cc
chng khon khc. Trong phn ny chng ta s im qua mt s chng khon phi sinh
thng dng nht trn cc th trng ti chnh.
2.4.1 Hp ng k hn v hp ng tng lai
Hnh dung mt tnh hung sau: mt cng ty xy dng s cn nhiu thp cho cc hp
ng xy dng c k t trc nhng c giai on n nm sau mi trin khai, vi gi
thnh xy dng c c nh trong hp ng. Cng ty s khng tch tr thp t by
gi nm sau dng, v lm nh vy s va kt tin va tn cng bo qun. Th nhng,
nu i n nm sau mi mua thp cho nhu cu ca nm sau, th s c mt ri ro l gi
thp trn th trng c th tng mnh, lm cho li nhun ca tng ty tr nn bp bnh.
gim thiu s bp bnh , cng ty c th k mt hp ng vi mt cng ty sn xut
hay thng mi thp, mua thp cho nm sau, n nm sau mi trao hng v gi tin,
nhng c nh gi t by gi. Mt hp ng kiu nh vy gi l mt hp ng k hn
(forward contract), hay cn gi l hp ng t trc. i vi cng ty sn xut thp,
vic k cc hp ng k hn bn thp cng c li l lm o bo doanh thu, gim
c ri ro v doanh thu nu nh gi thp gim i trong nm ti.
Theo ngn ng ti chnh, mt hp ng k hn (forward contract) l mt hp ng
mua bn mt mt hng no , vi mt gi n nh no gi l gi k hn (forward
price), vo mt thi im no trong tng lai (k hn ca hp ng), gi l thi im
giao hng (delivery time). Cc hp ng k hn (nu c dng ng n) c tc dng
gip cho c bn mua ln bn bn gim thiu c ri ro v bin ng gi c, kim sot
c tt hn tnh hnh ti chnh.
Hu nh mt hng no cng c th tr thnh i tng ca hp ng k hn. Nu
mt hng l mt loi chng khon, v d nh c phiu ca mt cng ty no , th hp
ng k hn tr thnh mt loi chng khon phi sinh t c phiu .
Cc hp ng k hn ng vai tr quan trng trong qun l ti chnh, nhng chng
vn i km mt s ri ro nh:
- Ri ro v i tc: mt trong hai bn k hp ng k hn c th b ph sn, hay n
phng ph hp ng, gy thit hi cho bn kia.
- Ri ro v thanh khon: kh khn trong vic chuyn nhng hp ng, nu nh i
khng cn mun gi hp ng na.
i vi nhng cc hng ha thng dng nht, v d nh vng, du ha, go, c ph,
ngoi t mnh, v.v., c mt loi sn phm phi sinh khc, gi l hp ng tng lai
(futures), tng t nh l hp ng k hn, nhng cng thm vi u im l c tnh
thanh khon cao (c th mua i bn li d dng trn th trng), v gim thiu ri ro v
i tc.
Tng t nh hp ng k hn, mi hp ng tng lai cng c qui nh mt hng
(loi hng v s lng), v thi im k hn. V d, mt hp ng tng lai vo thi im
30/01/2011 c th l cho mt thng du ha vo thi im 30/04/2011. im khc bit
ln nht gia hp ng tng lai v hp ng k hn, l hp ng tng lai thanh ton
bng tin, ch khng c s trao i hng ha thc s khi o hn. V d, mt ngi
mua mt hp ng tng lai mt thng du ha vo thi im 30/04/2011 vi gi 95$.
Gi 95$ y khng c ngha l ngi mua phi tr 95$ c hp ng tng lai ,
m l gi tng lai ca thng du cho thi im tng lai 30/04/2011. (Khi bt u mua
hay bn hp ng tng lai, th khng phi tr tin g c v cng khng c nhn tin
g c, ngoi chuyn tr l ph mi gii chng khon). n thi im o hn 30/04/2011,
nu gi thng du ha l 100$, th ngi mua hp ng tng lai trn li 5$ = 100$ -
95$, cn ngi bn th b l tng . Nhng khng c du ha no trao tay, m ch c
khon tin 5$ chy t ti khon ca ngi bn sang ti khon ca ngi mua. Ngc li,
nu gi du ha lc l 87$, th 95$ - 87$ = 8$ chy t ti khon ca ngi mua sang
ngi bn.
Thc ra, khng phi i n lc o hn hp ng tng lai, th tin mi chy t
ngi b l sang ngi c li t hp ng tng lai gia cc bn tham gia, m l tin
chy gia cc ti khon mt cch lin tc hng ngy, ty theo gi ca hp ng tng
lai tng ln hay gim i. Chng hn khi gi tng ln, th gi tr ti khon ca ngi mua
c t khc tnh tng ln theo, cn gi tr ti khon ca ngi bn b tnh gim i.
c th tham gia cc hp ng tng lai, cc bn mua v bn bn (gi l Long v Short)
cc hp ng khng cn phi c tin mua c lng hng ha ghi trong hp
ng tng lai (v khng cn phi c hng giao), m ch cn c mt khon tin ti
thiu trong ti khon chng khon (gi l margin requirement) m bo cho kh nng
thanh ton bng tin mt (tc l trong trng hp b thua, th ti khon cng khng b
v s m). Nu nh gi tr ca ti khon b gim xung di mc yu cu margin ti
thiu, th cc hp ng ang gi c th b cng ty chng khon t ng hy i (em ra
bn li trn th trng) ngn chn ri ro ph sn ca ngi gi ti khon.
Do thanh ton bng tin thay v bng hng, tnh thanh khon cao tin li cho vic
mua bn, v do yu cu vn ti thiu (margin requirement) m bo hu nh khng c
ri ro v i tc, nn nhiu hp ng tng lai (c bit l cho cc loi hng ph bin
nht nh du ha v vng) tr thnh cc cng c u c ln c gii u c a thch.
V d c rt nhiu ngi khng h c nhu cu v du ha, nhng vn u c gi du ha
theo cc hp ng tng lai. Vic u c ny dn n s bin ng gi c rt mnh ca
nhiu mt hng thng dng.
Phn ln cc giao dch trn th trng commodities l cc giao dch hp ng tng
lai. C th xem gi c cho hp ng tng lai ca cc mt hng ph bin trn nhiu trang
web khc nhau, v d nh Wall Street Journal
(7)
, CNN money
(8)
, v.v. Ngoi hp ng
tng lai cho commodities, trn th trng ti chnh cn c cc hp ng tng lai cho
cc th khc, v d nh hp ng tng lai cho tri phiu chnh ph, hp ng tng lai
cho ch s S&P500, hp ng tng lai cho ngoi t, v.v.
2.4.2 Quyn chn
Mt quyn chn (option) l quyn c mua hay bn mt chng khon no , vi
nhng iu kin no c t trc. Th trng quyn chn bt u bng n t nhng
nm 1970, sau khi xut hin cc cng trnh l thuyt v vic nh gi quyn chn ca
Black, Scholes, Merton. Scholes v Merton c gii thng Nobel nm 1997 v cc cng
trnh ny (lc d Black cht, v gii Nobel ch trao cho ngi cn sng). Hai loi quyn
chn ph bin nht l quyn chn kiu u (European option) v quyn chn kiu M
(American option), m chng ta s nghin cu k hn trong Chng 8. Ngoi ra, trn th
trng cn c nhiu loi quyn chn khc t ph bin hn, c gi chung l quyn chn
l (exotic options), v d nh quyn chn c gii hn (barrier option), quyn chn kiu
(Asian option), v.v.
(9)
(7)
Xem http://online.wsj.com/mdc/public/page/mdc_commodities.html
(8)
Xem http://money.cnn.com/data/commodities/
(9)
Xem http://en.wikipedia.org/wiki/Option_(finance)
Gi quyn chn ca BAC, vo cui ngy 28/01/2011
Call Options Expire at close Friday, April 15, 2011
Strike Symbol Last Chg Bid Ask Vol Open Int
12.00 BAC110416C00012000 1.91 + 0.01 1.89 1.91 1011 4585
13.00 BAC110416C00013000 1.18 + 0.01 1.17 1.19 2372 9719
14.00 BAC110416C00014000 0.66 + 0.03 0.65 0.66 27321 52210
15.00 BAC110416C00015000 0.33 + 0.02 0.33 0.34 6859 46497
Put Options Expire at close Friday, April 15, 2011
Strike Symbol Last Chg Bid Ask Vol Open Int
12.00 BAC110416P00012000 0.29 + 0.03 0.28 0.29 907 31596
13.00 BAC110416P00013000 0.56 + 0.05 0.56 0.57 4243 40087
14.00 BAC110416P00014000 1.03 + 0.06 1.03 1.05 2950 22739
15.00 BAC110416P00015000 1.72 - 0.05 1.71 1.73 776 7696
lm v d, bng pha trn l bng gi mt s quyn chn kiu M cho c phiu
BAC (Bank of America) vi k hn l 15/04/2011, vo thi im cui ngy 28/01/2011
(thng tin ly t trang web http://finance.yahoo.com). Mt trong cc dng bng trn
cho ta thy chng khon c m l BAC110416C00014000 l American Call ca c phiu
BAC, vi ngy ht hn l ngy 15/04/2011, v gi thc hin (strike price) l 14$. C
ngha l, 1 ci Call BAC110416C00014000 cho php ngi gi n mua 100 c phiu BAC
trc cui ngy 16/04/2011 vi gi 14$ mt c phiu. (Mt n v option thng ng vi
100 c phiu; ngy th su 15/04/2011 l ngy cui cng c th mua bn quyn chn ny,
nhng ngy th by 16/04/2011 l ngy cui cng c php s dng quyn chn ny
mua c phiu). Open interest ca BAC110416C00014000 l 52210, c ngha l hin
c tng cng 52210 n v chng khon BAC110416C00014000 c thit lp trn th
trng (tc l cc nh u t bn mua quyn chn nm gi tng cng 52210 ci Call ,
ng vi quyn mua hn 5 triu c phiu BAC vi gi 14$, v ngc li cc nh u t
bn bn quyn chn bn ra tng ci Call c phiu BAC vi gi thc hin 14 v k hn
15/04/2011). Gi ca Call l 0.66$ trn mt n v c phiu, c ngha l 66$ cho mt
n v quyn chn, bi v mi quyn chn y ng vi 100 c phiu. Con s Volume
27321 l s lng n v quyn chn mua ny c giao dch trong ngy 28/01/2011 trn
th trng, gi Bid 0.65$ l gi mua (c ngi mun mua vi gi ), gi Ask 0.66$ l gi
bn (c ngi mun bn vi gi ). Gi Last tc l gi giao dch ca ln giao dch cui
cng. Change (Chg) tc l thay i gi so vi ngy hm trc.
Cc quyn chn c nhiu cng dng khc nhau nh:
Phng chng ri ro. V d nu ai s l gi chng khon mnh ang gi c th
b gim mnh, th c th mua Put (quyn chn bn) phng s st gim , v Put
cho php bn li chng khon vi gi c nh t trc. Mua Put cho chng khon ang
gi l hnh thc lm bo him cho chng khon , v gi ca Put l gi phi tr cho s
bo him ny.
Thm thu nhp. V d gi c phiu ca BAC vo thi im 28/01/2011 l 13.59$.
Mt ngi gi 100 c phiu BAC c th bn 1 n v Call BAC (ng vi 100 c phiu)
loi gi thc hin = 15 v ht hn vo 15/04/2011 i, c 33$ (cha tr ph giao dch)
thm vo thu nhp. Nu nh n cui ngy 15/04/2011 m gi ca BAC di 15$, th
ngi ngy vn gi nguyn 100 c phiu BAC ca mnh, v c hng khng ch 33$
t vic bn Call. Nu nh gi c phiu BAC vo cui ngy 15/04/2011 ln trn 15$, th
ngi ny bt buc phi bn i 100 c phiu ca mnh vi gi 15$, v ci Call m ngi
bn. Nhng trong trng hp ny th cng c li ng k so vi trc, bi v lc trc
gi BAC ch c 13.59$ m sau bn i vi gi 15$, cng thm vi tin thu c t bn
Call, tc l tng ng vi vic bn c BAC vi gi 15.33$ trong trng hp th hai
ny.
n by u c. V d, c mt ngi khc on rng gi ca BAC vo cui ngy
15/04/2011 s l 17$. Nu mua c phiu vi gi 13.59$ v i n lc th s li
17$ 13.59$ = 3.41$, tc l li khong 25% trn s tin vn b ra. Nhng nu mua Call
pha trn vi gi 0.33$ trn u 1 c phiu, th ci Call n ngy 15/04/2011 s c gi
tr thnh 17$ - 15$ = 2$ trn u 1 c phiu, tc l li trn 500% nu l mua Call, thay
v ch li 25% nu l mua c phiu. y chnh l tnh cht n by ca quyn chn: cng
mt lng tin b ra, th dng quyn chn c th iu khin c mt lng c phiu
nhiu gp my ln so vi nu mua c phiu. Tt nhin, n by cng cao th mc ri
ro cng cao, cng d b mt ht tin khi gp tnh hung khng thun li.
2.4.3 Hp ng hon i
Mt hp ng hon i (swap) l mt hp ng i mt chng khon hay ti sn no
ly mt chng khon hay ti sn khc. Mt v d ph bin l swap li sut (interest
rate swap): mt chng khon n vi li sut c nh (fixed rate) c th c i ly mt
chng khon n vi li sut thay i (variable rate c nhng hp ng n, m mc li
sut ca n thay i theo mc li sut tham chiu ca ngn hng trung ng, hay l thay
i theo t l lm pht, v.v.).
Cc hp ng bo him cng c th coi nh l cc chng khon swap: i nhng
khon tin ng bo him nh k, ly mt khon tin ln nu m tnh hung no xy
ra. Ti sn th nht l mt dng tin nh k, ti sn th hai l mt loi quyn chn c
iu kin: nu iu g xy ra th s c tr bao nhiu tin, v hai ti sn c i
cho nhau trong mt hp ng bo him.
Trn th trng chng khon n, ngoi cc swap li sut, cn c mt loi swap rt ph
bin khc, l CDS (credit default swap). CDS l mt hnh thc bo him cho cc chng
khon n (v d nh cc tri phiu hay cc CDO). Theo hp ng CDS ny, th bn mua
CDS s np tin nh k cho bn bn CDS, v nu nh cc con n ca cc chng khon
n qui nh trong CDS b v n, gi tr ca chng khon n st gim mnh, th bn
bn CDS phi bi thng mt khon tin no cho bn mua CDS trong trng hp .
So vi cc hp ng bo him n thng thng, th CDS c nhng im rt khc bit
nh sau:
- Bn mua CDS khng nht thit phi gi chng khon n ghi trong hp ng CDS.
Khi cc chng khon n mt gi tr, th bn mua CDS nhn c tin t bn bn
CDS, d c l ang gi cc chng khon n hay khng.
- Bn bn CDS khng nht thit phi l cng ty bo him, m c th n thun l
cc nh u t hay u c.
Ni cch khc, cc CDS da trn m hnh bo him n, nhng tr thnh cng c u
c trong tay nhiu ngi. Mt phn ln CDS ang c trn th trng chng khon khng
thc s phc v bo him ci g ht, m ch l tr u c v nh cc gia cc bn vi
nhau.
Thng ch c cc nh u t ln v cc t chc ti chnh tham gia th trng CDS,
bi mi hp ng CDS l ng vi (bo him mt lng) chng khon n c gi tr 10-20
triu USD, v gi phi tr cho mt CDS thng khng di 50 nghn USD mt nm
(10)
.
2.5 Cc trung gian ti chnh
Cc trung gian ti chnh, tc l cc t chc ti chnh, thng c chia lm 3 loi
nh sau:
1) Cc t chc nhn tin gi, nh cc ngn hng, t chc tn dng, hip hi cho vay
v tit kim.
(10)
Xem chi tit ti: http://en.wikipedia.org/wiki/Credit_default_swap
2.5. CC TRUNG GIAN TI CHNH 39
2) Cc cng ty bo him v qu lng hu.
3) Cc trung gian u t, nh cc cng ty chng khon, qu u t, ngn hng u
t , cng ty ti chnh.
Nh c ba loi trung gian ti chnh ny m cc khon vn d tr ca mi ngi, t
nhng ngi dn thng c t tin tit kim cho n cc cng ty ln c nhiu tin d
tha, c th c huy ng trit .
Tt nhin, cch chia trn ch l tng i, v c nhng t chc ti chnh ln c th
thuc vo c 3 loi trn. C th hiu y l cch chia theo mc ri ro v li nhun m
cc t chc ti chnh mang li cho cc khch hng:
Loi t chc ti chnh th nht l ni cung cp dch v thanh ton v gi tin cho
khch hng. Nhng khon tin tha cha chi tiu vo u, th gi ngn hng l an tm
nht, v khi cn chi tiu c th thanh ton qua cc dch v ca ngn hng (nh dng th
nh bng, k sc, thanh ton in t, hay rt tin mt). Nhng gi th ni chung
ch c li sut thp (so vi nu em i u t), thm ch nhiu ni li sut bng 0. C
th ni l cc t chc ti chnh thuc loi th nht khng lm tng gim ri ro ti chnh
ng k cho khch hng gi tin, nhng cng khng em li cho cc khch hng nhiu
thu nhp t s tin m h c.
Loi t chc ti chnh th hai cung cp dch v bo him cho khch hng (lng hu
cng c coi l mt th bo him ti chnh cho lc tui gi khng cn sc lm vic). Nh
c loi ny, m cc khch hng c an ton hn v ti chnh. V d, nu mt ngi i
t gy ra tai nn, m khng c bo him, th c khi st nghip v tin phi n cho cc
nn nhn, nhng khi c bo him th cng ty bo him s ng ra n cho. (Cng chnh
v vy, m nhiu nc, xe t bt buc phi c bo him trch nhim). Tt nhin, c
bo him, khch hng phi mua bo him, v tng cc khon tin mua bo him t cc
khch hng khc nhau ni chung phi ln hn ng k tng cc khon tin bi thng
m cng ty bo him phi chi ra. T gc li nhun, th li nhun ca khch hng mua
bo him l s m, nhng b li khch hng gim thiu c cc ri ro ti chnh.
Loi t chc ti chnh th ba l loi cung cp cho khch hng k vng li tc cao hn
cho s vn ca khch hng, nhng i li khch hng phi chp nhn mc ri ro ti chnh
cao hn, so vi nu gi tin loi t chc ti chnh th nht. Mun c thu nhp cao hn
t tin vn ca mnh, th thay v gi tin ngn hng, mt ngi c th em tin i u
t, v d bng cch cho ai vay vi li sut cao, hoc mua c phiu ca mt cng ty
no . Nhng nu cho trc tip ngi no vay, th kh nng ri ro b qut n c th
cao, v nu mua c phiu no , m khng nm c r c phiu mnh mua ra sao, th
kh nng ri ro b thua l cng rt cao. Hn na, nhng vic u t nh vy c th rt
tn thi gian cng sc v cc chi ph khc (chi ph giao dch, chi ph thng tin, v.v.).
hng gim bt ri ro v chi ph, m vn k vng c c mc li nhun ln hn l gi
tin ngn hng, th ngi c th tm n loi trung gian ti chnh th ba, tc l cc
trung gian u t.
i vi cc khch hng cn vn, th c ba loi t chc ti chnh trn u c th cung
cp vn hoc gip tm ngun vn, di cc hnh thc khc nhau, ty theo mc ri
ro chp nhn c. Cc ngn hng hu nh s khng mua c phn ca cc cng ty, m
ch yu l cho vay trc tip n cc cng ty v ngi tiu dng hay mua tri phiu chnh
ph, l nhng hnh thc tng i t ri ro v em li tin li u n. Cc cng ty bo
him v qu hu tr c th mua c tri phiu ln c phiu, nhng vn phi m bo mc
ri ro tng i thp v m bo thanh khon cho ti sn ca mnh, v cc t chc ti
chnh ny vn lun cn trch tin ra tr lng hu v bi thng bo him. Cc trung
gian u t th t b hn ch hn v mc ri ro chp nhn c, v ni chung cng c ti
chnh no cng c trung gian u t tham gia c. c bit l c cc qu u t mo
him, gi l hedge funds, chuyn u t vo cc chng khon phi sinh c ri ro rt
cao.
Chi tit thm v cc loi t chc ti chnh ph bin nht:
Ngn hng thng mi (commercial banks). Cc ngn hng thng mi huy ng
vn ch yu di dng: tin gi thanh ton (checkable deposits), tin gi tit kim (saving
deposits), tin gi c k hn (time deposits). Vn huy ng c dng cho vay, nh
cho vay thng mi (commercial loans), cho vay tiu dng (consumer loans), cho vay bt
ng sn tr gp (mortgage loans) v mua chng khon chnh ph, tri phiu ca
chnh quyn a phng. Ngoi ra, ngn hng thng mi cn cung cp cc dch v thanh
ton v bun bn ngoi t. Ngn hng thng mi d quc gia no cng u l nhm
trung gian ti chnh ln nht. y cng l cc trung gian ti chnh m cc ch th kinh
t giao dch thng xuyn nht.
Hip hi cho vay v tit kim (savings and loan associations, vit tt l S&L).
Cc hip hi ny huy ng vn ch yu thng qua tin gi tit kim, tin gi c k hn
v tin gi c th vit sc c. Trc y, nhng t chc ny b buc phi dng tin
cho vay th chp nh , nhng v sau phm vi cho vay c ni ra, v bin gii phn bit
gia cc hip hi S & L v cc ngn hng lu m dn, v c th coi chng cng ging nh
cc ngn hng.
Qu tn dng (credit unions). Cc qu tn dng l t chc cho vay c tnh cht hp
2.5. CC TRUNG GIAN TI CHNH 41
tc x nh v c t chc xung quanh mt nhm c bit: cc thnh vin ca hi, cc
nhn vin ca mt cng ty no y, vv. H huy ng vn t cc khon tin gi gi l c
phn, v c bn l cho vay tiu dng. Vit Nam, qu tn dng tn ti di dng cc t
chc tn dng hp tc. y l t chc kinh doanh tin t v lm dch v ngn hng, do
cc t chc, c nhn v h gia nh t nguyn thnh lp hot ng ngn hng theo
Lut cc t chc tn dng v Lut hp tc x nhm mc tiu ch yu l tng tr nhau
pht trin sn xut, kinh doanh v i sng. T chc tn dng hp tc gm ngn hng
hp tc, qu tn dng nhn dn, hp tc x tn dng v cc hnh thc khc.
Cng ty bo him (insurance companies). Cc cng ty bo him c th chia thnh
bo him nhn th v cc loi bo him khc. Phn vn ch yu ca cc cng ty ny l
do bn cc hp ng bo him. Ngi mua hp ng bo him phi tr tin bo him
nh k duy tr cc hp ng ny. Cc cng ty s phi tr tin cho ngi mua hp
ng bo him trong trng hp c tai ng no xy ra (nh chy nh, mt trm, tai
nn giao thng, v.v.), theo qui nh ca hp ng. Trong trng hp bo him nhn th,
th nu ngi ng bo him b cht, ngi nh s nhn c cc khon tin bi thng
theo hp ng. S tin m cc cng ty bo him nhn c, trong khi cha phi dng
bi thng cho cc tai ng, c u t trn th trng ti chnh, ch yu l vo cc
sn phm ti chnh c ri ro tng i thp, v d nh cc tri phiu ca chnh quyn
a phng. Mt phn nh s tin cng c th c u t vo cc chng khon c
ri ro cao hn, nh l cc c phiu.
Qu lng hu (pension funds). Cc qu lng hu c th l qu nh nc hay qu
t nhn. Cc qu ny thu tin (trc tip hay gin tip) t nhng ngi ang lm vic,
v tr lng hu cho nhng ngi ngh hu. Nhng ngi ang lm vic thng b
tr mt phn tin lng ng vo qu lng hu bt buc, ngoi ra c th t nguyn
ng b sung vo cc qu hu khng bt buc. Ti sn ch yu ca cc qu lng hu
nm cc tri phiu v c phiu c nm gi.
Cng ty ti chnh (financial companies). Cc cng ty ti chnh c th huy ng vn
bng cch bn thng phiu ngn hn, pht hnh c phiu, tri phiu, v.v., tng t nh
l cc cng ty khc. Sau h u t vo nhng i tng kh huy ng vn hn h, v
d nh cho cc doanh nghip nh vay vn, cho ngi tiu dng vay tin mua xe t, v.v.
Mt s cng ty ti chnh c th l cng ty con ca mt doanh nghip ln, ch yu phc
v cho khch hng ca cng ty m. V d nh T chc tn dng Ford Motor cho ngi
tiu dng vay tin mua xe Ford ca h.
Qu u t (investment funds). Cc qu u t, thng c gi l cc qu tng
h (mutual funds), huy ng vn t cc nh u t qua vic bn c phn, ri u t
vo cc chng khon khc nhau. T h tng y c ngha l cc nh u t vo qu
chia s ri ro (do u t c vo nhiu chng khon khc nhau thng qua qu), chi ph
qun l u t, v li nhun. Cc qu u t c th u t trn th trng tin t, th
trng vn, hoc s dng nhng cng c ti chnh khc c ri ro cao hn, v d nh cc
sn phm phi sinh. Cc qu u t s dng cc cng c ti chnh c ri ro cao (hng
t li nhun cao) c gi l cc hedge fund. Trong khi cc qu u t c in kh
c th ph sn, th cc hedge fund c ri ro ph sn cao, vi mt trong cc v d in
hnh l hedge fund Long Term Capital Management ph sn vo nm 1998
(11)
.
Ngn hng u t (investment banks). Cc ngn hng u t khng phi l cc
ngn hng theo ngha thng thng, m thc ra l cc cng ty kinh doanh chng khon
ln, vi mt trong cc cng vic chnh l gip cc khch hng (l cc t chc hay doanh
nghip) pht hnh chng khon. u tin h a ra li khuyn cho cc t chc v doanh
nghip nn pht hnh loi chng khon no (tri phiu, c phiu, hay tri phiu chuyn
i, v.v.) Sau h lm bo lnh pht hnh, tc l m bo cho vic pht hnh cc
chng khon c thnh cng, bng cch mi cho cc nh u t, mua mt s lng
ln chng khon t nh pht hnh chng khon vi gi tha thun ri bn li chng trn
th trng. Cc ngn hng u t cn gip cc cng ty thc hin cc vic mua bn hay
st nhp cng ty (mergers and acquisitions, vit tt l M&A), v hng ph dch v t
hot ng M&A . Cc nghip v bo lnh pht hnh v M&A c gi l investment
banking.
Di y l mt bng thng k tng gi tr ti sn ca mt s loi trung gian ti chnh
ph bin M vo cc nm 1980 v 2005. So snh cc con s gia nm 1980 v nm 2005
cho thy s pht trin rt nhanh ca cc t chc ti chnh (v theo l s pht trin
rt nhanh ca th trng ti chnh) trong 25 nm .
(11)
Xem: http://en.wikipedia.org/wiki/Long-Term_Capital_Management
2.6. QUN L H THNG TI CHNH 43
Gi tr ti sn (cui nm, theo n v t USD) 1980 2005
Cc ngn hng thng mi 1481 9156
Cc hip hi cho vay v tit kim 792 1750
Cc qu tn dng 67 688
Cc cng ty bo him nhn th 464 4351
Cc cng ty bo him tai nn v ha hon 182 1242
Cc qu lng hu t nhn 504 4527
Cc qu lng hu nh nc 197 2661
Cc cng ty ti chnh 205 1439
Cc qu u t chng khon 70 5882
Cc qu th trng tin t 76 1877
2.6 Qun l h thng ti chnh
Tm quan trng ca h thng ti chnh i vi mt nn kinh t c th so snh vi tm
quan trng ca h thng tun hon mu i vi c th ngi: qua h thng ti chnh m
vn n c ni cn n, qua kinh t pht trin c. Khi h thng ti chnh b mc
bnh th s nh hng rt xu n x hi. Khng hong ti chnh th gii 20082009,
dn n suy thoi kinh t th gii trong nhng nm , l mt v d. m bo c mt
h thng ti chnh lnh mnh thc hin ng cc chc nng ca n, cn c cc bin php
qun l v kim sot hiu qu. y l mt vn rt phc tp. Trong mc ny chng ta
s ch im qua mt s bin php chnh c p dng trn th gii.
Hn ch mo him. Cc trung gian ti chnh phi tun theo mt s qui nh no
v qun l ri ro, hn ch s dng n by ti chnh, v hn ch cc sn phm ti
chnh c mc mo him cao. V d, cc ngn hng thng mi c th b yu cu tun
theo cc qui nh Basel
(12)
, v b hn ch tham gia th trng chng khon, m bo
khi b ph sn khi th trng khng thun li. i vi cc cng ty bo him, cng c cc
qui nh v lng chng khon mo him (nh c phiu, chng khon phi sinh) c
php gi. i vi cc c nhn, cng c qui nh v hn ch lng mua bn chng khon
v lng tin ti a c php vay, nhm trnh cho h khi b ph sn.
Bo him tin gi. Chnh ph c th bo m tin gi ca cng dn h khng
phi chu nhng thit hi ti chnh ln nu trung gian ti chnh gi tin ca h ph sn.
V d, mt lot ngn hng M ph sn trong giai on suy thoi 19301933, lm cho
(12)
Xem http://en.wikipedia.org/wiki/Basel_Accords
nhiu ngi dn mt tin oan. ngn chn tnh trng , M thit lp t chc bo
him tin gi lin bang (FDIC) vo nm 1933, c nhim v bo him cho cc ti khon
tin gi cc ngn hng, v cc ngn hng phi ng tin bo him cho FDIC. T nm
2008, s tin ti a m FDIC bo him cho mi ti khon tin gi l 250 nghn USD.
Hn ch li sut. C cc qui nh v vic cm cc trung gian ti chnh khng c
vay hay cho vay vi li sut cao hn nhng mc no . Cc qui nh ny c th nhm
bo v ngi i vay khi b bc lt. Cc qui nh v li sut ny cng c th xut pht t
quan im iu tit hot ng ca cc ngn hng, nhm ngn chn s cnh tranh qu
ng v li sut gia cc ngn hng (c nguy c lm nhiu ngn hng ph sn).
Hn ch tip cn. C cc qui nh v cc iu kin ti thiu c php tham
gia nhng mng no trn th trng ti chnh. V d, mt nh u t cn c vn ti
thiu l bao nhiu c tham gia nhng loi hnh u t mo him cao. Mt ngi
phi c cc chng ch hnh ngh nhn c qua cc k thi no chng t trnh
mi c php lm cc cng vic trung gian ti chnh no . Mt ngn hng mun c
thnh lp phi c s vn ti thiu no , v mt lng ti thiu nhn vin c nghip
v ngn hng, v.v.
Minh bch thng tin. C cc qui nh v vic cc thng tin quan trng lin quan
n gi tr ca cc sn phm ti chnh phi c cng b mt cch minh bch. Nhng
qui nh ny nhm gim thiu tnh trng thng tin bt i xng, m bo quyn li cho
cc bn tham gia th trng ti chnh. V d, theo qui nh ca cc y ban chng khon
(l c quan chnh ph kim sot hot ng ca th trng chng khon), cc cng ty c
phn c c phiu giao dch trn cc sn chng khon phi thng bo cng khai bng cn
i k ton ti chnh nh k hng qu, v thng bo cng khai cc tin tc quan trng
khc lin quan trc tip n gi tr ca c phiu ca cng ty.
Kim ton c lp. m bo cc thng tin ti chnh cng b c trung thc v
khng c gian ln, trn th gii c cc cng ty kim ton (audit firms), c chc nng kim
tra s sch ca cc cng ty khc. Tng doanh thu (t dch v kim ton c lp) ca bn
cng ty kim ton ln nht th gii (Deloitte Touche Tohmatsu, PricewaterhouseCoopers,
Ernst & Young, KPMG)
(13)
trong nm 2010 ln n gn 100 t USD, chng t nhu
cu v kim ton trn th gii rt ln.
i km vi vic yu cu minh bch thng tin l chng giao dch ni gin v chng
lng on th trng. Nu nh c nhng ngi tay trong (v d mt gim c iu
hnh ca mt cng ty, hay ngi nh ca gim c) m giao dch c phiu ca cng ty
(13)
Xem http://en.wikipedia.org/wiki/Big_Four_(audit_firms)
2.6. QUN L H THNG TI CHNH 45
da trn thng tin quan trng nh hng ln n gi tr c phiu ca cng ty, m thng
tin cha c cng b ra ngoi, th b phm ti giao dch ni gin (insider trading),
c th b x t theo lut hnh s. C nhng nhn vt ni ting, v d nh b Martha
Stewart
(14)
, cng tng b x t v giao dch ni gin. Lng on th trng l khi c
mt nhm ngi c tnh lng on gi chng khon (v d nh thi gi ca mt chng
khon no ln mc cao bt bnh thng trong mt thi gian ngn, qua cc hnh thc
nh t mua t bn cho chnh mnh lm gi, tung cc tin n hay bo co phn tch
rm, v.v.), qua kim li v gy thit hi cho cc nh u t khc. Tuy rng cc c
quan kim sot c iu tra v cc hin tng lng on th trng, nhng n vn hay xy
ra trn th gii, v th trng hay chng khon no cng nh th cng d b lng on,
gy thit hi cho cc nh u t.
(14)
Xem http://en.wikipedia.org/wiki/Martha_Stewart
Chng 3
Kinh doanh chnh lch gi
3.1 Khi nim kinh doanh chnh lch gi
dng n gin nht, c hi kinh doanh chnh lch gi (arbitrage) xy ra khi m ti
mt thi im no , gi c ca cng mt mt hng c s chnh lch gia mt ngi
mun bn v mt ngi mun mua, v gi rao mua li cao hn gi rao bn. V d, mt
nh u t A mun mua mt c phiu X no vi gi 75, trong khi cng lc mt
nh u t B mun bn X vi gi 74, th khi mt ngi trung gian C c th mua c
phiu t B v bn li ngay cho A, v hng chnh lch gi 75 74 = 1. Vic lm ny ca
ngi C c gi l kinh doanh chnh lch gi, v n c th coi l khng c mo him, v
c li nhun chc chn l s dng.
dng phc tp hn, c hi kinh doanh chnh lch gi xy ra khi c hai ti sn X
v X
sao cho gi ca X s chc chn ln hn gi ca X
trong mt thi im tng lai

no , nhng vo thi im hin ti c th mua X vi gi nh hn hoc bng gi bn
X
. Khi ngi kinh doanh chnh lch gi c th mua X v bn X
ti thi im hin
ti, ri bn X mua X
ti thi im tng lai.

V d 3.1. Gi s S l mt c phiu no , C l quyn mua S sau ng 1 thng (European
Call) vi gi 40$, v P l quyn bn S (European Put) vi gi 40$ v cng thi hn 1
thng vi C. Gi s gi hin ti ca S l 40$, ca C l 4$, ca P l 3$, v li sut ngn
hn l 0.25%/thng (3%/nm). Xt hai ti sn sau:
- Ti sn X gm c S cng vi P tr i C. (S tr i C c gi l covered call, v
Call C vi s lng m c covered (m bo) bi ci c phiu S vi s lng dng,
tc l khi nh u t gi c phiu v bn i ci quyn mua c phiu ).
47
48 CHNG 3. KINH DOANH CHNH LCH GI
- Ti sn X
l 39$ tin gi vi li sut ngn hn.

C hai ti sn trn u c gi l 39$ vo thi im hin ti. Nhng ng 1 thng sau,
th X
tr thnh 39$ cng vi tin li sut 39 0.25% 0.1 $, tc l qung 39.1$, trong
khi X tr thnh 40$. Tht vy, nu gi ca S lc trn 40$ th P lc c gi tr
bng 0, v S tr C chuyn thnh 40$ v c phiu b gi i theo gi 40$, tc l ngi
gi Call C lc s s dng quyn mua vi gi 40$ ca mnh i C cng 40$ ly S.
Ngc li, nu gi ca S lc di 40$, th Call C khng c gi tr g (khng ai dng
C mua S vi gi 40$ lm g, khi c th mua trn th trng vi gi r hn), nhng khi
c th i S cng P ly 40$, tc l s dng quyn Put bn S theo gi 40$, v bi
vy X lc vn tr thnh 40$. Nh vy, vo thi im hin ti th X v X
c gi bng
nhau l 39$, nhng sau 1 thng th X thnh 40$ trong khi X
ch thnh 39.1$ d tnh

hung no xy ra, v do c mt c hi arbitrage gia X v X
. Trong thc t, c xy
ra nhng c hi arbitrage kiu nh vy trn th trng chng khon th gii.
Mi s bun bn tt nhin da trn chnh lch gi. V d nh cc ca hng mua
vo vi gi thp hn l gi bn ra, cc nh bng vay tin vo vi li sut thp hn l li
sut cho vay li. Th nhng, cc ca hng v nh bng vn c chu mo him v gi: cc
ca hng c th b hng khng bn c vi gi d nh, cc nh bng c th b kt
tin phi vay gii li sut cao hn l li sut cho ngi khc vay, v.v. tng chnh
ca kinh doanh chnh lch gi l kinh doanh m khng phi chu mo him (hoc rt t
mo him) v gi. Tt nhin, k c khi khng c mo him v gi, th vn cn nhng ri
ro khc, v d nh ngi mua khng chu tr tin, ngi bn khng chu giao hng, v.v.
Nhng y ta s tm thi b qua cc ri ro , coi n l nh khng ng k, v ch ch
n gi.
Ni mt cch hnh thc ton hc, ta c th nh ngha nh sau:
nh ngha 3.1. Ta ni rng trn mt th trng no c c chnh th gi, hay
c c hi kinh doanh chnh lch gi, ti thi im T
0
(thi im hin ti), nu nh
c th thit lp mt r ti sn Y , trong c th c c cc ti sn vi s lng dng
(gi tr dng) ln cc ti sn c s lng m (gi tr m), sao cho tng gi tr ca Y ti
thi im T
0
bng 0, th nhng tng gi tr ca Y ti mt thi im T
1
> T
0
(tc l li
nhun ca chin lc ny ti thi im tng lai T
1
) l khng m d bt k tnh hung
no xy ra, v c k vng l s dng.
Mt chin lc lp r ti sn Y vi li nhun lun khng m v k vng li nhun
l s dng nh trong nh ngha trn c gi l mt chin lc kinh doanh chnh
3.1. KHI NIM KINH DOANH CHNH LCH GI 49
lch gi, hay chin lc arbitrage.
Ghi ch 3.1. Trong nh ngha trn, ta coi gi ca Y ti thi im T
1
nh l mt bin
ngu nhin, m ta s k hiu l Y
T
1
: R, trn mt m hnh khng gian xc sut
no cc tnh hung c th xy ra (vi mi tnh hung, th ti sn Y ti thi im T
1
c mt gi tr). Khng gian ny c mt o xc sut p (ph thuc vo m hnh v
cc thng tin c c v th trng vo thi im T
0
). Ni rng k vng ca Y
T
1
l s
dng c ngha l
E(Y
T
1
) :=
_
Y
T
1
dp > 0.
Trong trng hp m =
1
,
2
, . . . l mt khng gian ri rc (cng lm l m c)
vi cc xc sut p(
i
) > 0 tng ng (ta coi rng phn t no trong cng phi c xc
sut dng, v nu bng 0 th tc l khng th xy ra c, v ta c th loi n ra khi
), th k vng ca Y
T
1
l E(Y
T
1
) =
i
p(
i
)Y
T
1
(
i
), tc l k vng chng qua l gi tr
trung bnh theo cc trng s p(
i
). (Xem [7] v k vng ca cc bin ngu nhin). Khi
Y
T
1
(
i
) 0 vi mi
i
, th iu kin E(Y
T
1
) > 0 tng ng vi iu kin tn ti t
nht mt tnh hung
i
sao cho Y
T
1
(
i
) > 0. Bi vy, trong nh ngha trn, trong trng
hp khng gian cc tnh hung c th xy ra l ri rc, th thay v ni rng k vng ca
Y cho thi im T
1
l s dng, ta c th ni rng tn ti t nht mt tnh hung sao cho
trong tnh hung th gi tr ca Y ti thi im T
1
l s dng.
Ghi ch 3.2. chng minh l mt th trng no c chnh th gi, ngi ta c th
xy dng mt chin lc m c li nhun lun ln hn 0 trong mi tnh hung. Ta s gi
mt chin lc nh vy l mt chin lc arbitrage mnh. Mt chin lc arbitrage
mnh tt nhin l mt chin lc arbitrage, v nu li nhun dng trong mi tnh hung
th k vng li nhun cng dng, tuy iu ngc li khng ng.
V d 3.2. Gi s c 3 con nga X, Y, Z trong mt cuc chy ua, v s c 1 v ch 1
trong 3 con thng cuc. C th c cc vo cc con nga ny bng cch mua/bn v: mi
v con X c gi 1 ng, v nu X thng th s i c thnh 2 ng cn thua th khng
c g, tc l t l gii thng khi X thng l 1 n 2. V con Y c t l gii thng l 1
n 3, v v con Z c t l gii thng l 1 n 4. Ta gi s l c th mua hoc bn v, tc
l t cc vi s tin dng hoc m vo cc con nga (trong thc t nh ci l ngi
t cc vi s tin m cc cuc c nga). Hi rng c cch t cc no lun thng
d cho con nga no thng cuc khng ?
Ta coi mt chin lc t cc l mt r ti sn R trong c tin, v cc v ca
3 con nga, sao cho ti thi im T
0
(trc khi nga chy) th gi tr ca r ti sn bng
0:
R = x.V
X
+ y.V
y
+ z.V
Z
(x + y + z).
y, V
X
, V
Y
, V
Z
l gi tr ca v cc con nga X, Y, Z, v x, y, z l cc s lng v (c
th l s m). Ti thi im T
0
ta c gi tr ca V
X
, V
Y
, V
Z
u bng 1. Ti thi im T
1
(sau khi cc con nga chy, v c 1 con thng), c 3 tnh hung c th xy ra: nu X
thng th V
X
= 2 v V
Y
= V
Z
= 0, nu Y thng th V
Y
= 3 v V
X
= V
Z
= 0, nu Z thng
th V
Z
= 4 v V
X
= V
Y
= 0. Ti thi im T
1
, gi tr ca r ti sn R l mt trong 3 s
sau, ty tnh hung xy ra: 2x (x + y + z), 3y (x + y + z), v 4z (x + y + z). Cu
hi l c tn ti mt chin lc lun thng, tc l c tn ti x, y, z sao cho gi tr ca R
ti thi im T
1
lun ln hn 0 d tnh hung no xy ra, hay ni cch khc,
min2x (x + y + z), 3y (x + y + z), 4z (x + y + z) > 0?
Cu tr li l c, v d x = 6, y = 4, z = 3. Tc l nu ta bn v cc con nga
X, Y, Z theo t l 6 : 4 : 3, th s lun thng, d con nga no thng cuc. C ngha l,
tn ti chin lc arbitrage mnh trong tr c nga ny.
Trong v d c nga pha trn, thng ch c nh ci s dng c chin lc kinh
doanh chnh lch gi, v nhng ngi chi c cc bnh thng khng t cc c
vi s lng m. Trn th trng chng khon th bnh ng hn, v mi khi c c hi
arbitrage th nhiu nh u t c th tham gia ch khng ch c nh ci. Cng chnh
v s bnh ng ny, nn cc c hi arbitrage trn th trng chng khon tuy c xy
ra nhng thng mc nh, v nu c c hi ln, th s c nhiu nh u t cnh
tranh vi nhau tn dng n, khin cho n nh li. Trong m hnh th trng hiu
qu l tng ho, ngi ta coi rng khng c c hi kinh doanh chnh lch gi. chnh
l nguyn l no-arbitrage. Nguyn l ny l c s cho hu ht cc cng thc nh gi
trong ton ti chnh, c bit l cho cc sn phm ti chnh phi sinh. Khi m gi cc
chng khon trn th trng khng tho mn nguyn l no-arbitrage, th c ngha l th
trng b mt thng bng, v c c hi kinh doanh chnh lch gi.
3.2 nh l kinh doanh chnh lch gi
nh l kinh doanh chnh lch gi, cn c gi l nh l c bn ca ton ti chnh,
c th c pht biu mt cch nm na nh sau: Gi s rng, trn mt th trng chng
khon, c php bn khng v chi ph giao dch bng 0. Khi , mt v ch mt trong
hai kh nng sau xy ra: hoc l tn ti chin lc arbitrage, hoc l tn ti mt phn
3.2. NH L KINH DOANH CHNH LCH GI 51
b xc sut khng suy bin trn tp hp cc tnh hung c th xy ra, sao cho i vi
phn b xc sut , th mi chin lc kinh doanh u c k vng li nhun bng 0.
Tt nhin hai kh nng ny loi tr ln nhau, v mt chin lc kinh doanh chnh lch
gi s c k vng li nhun l dng ch khng th bng 0, d l c thay i phn b
xc sut. Trong trng hp th hai, th phn b xc sut ny c gi l phn b xc
sut trung ha ri ro (risk-neutral probability distribution), hay cn gi l o xc
sut martingale (chng ta s gii thch nhng phn sau v sao n c gi nh vy).
pht biu chnh xc nh l kinh doanh chnh lch gi, ta s xt m hnh sau: th
trng c n loi ti sn X
1
, . . . , X
n
, giao dch ti hai thi im T
0
v T
1
> T
0
. Khng
gian cc tnh hung c th xy ra ti thi im T
1
, k hiu l , l mt khng gian hu
hn vi m phn t: =
1
, . . . ,
m
. Ti thi im T
0
, ngi kinh doanh cha bit tnh
hung no s xy ra ti thi im T
1
trong s cc tnh hung
j
. Nu nh mua 1 n v
ti sn X
i
ti thi im T
0
v bn li n ti thi im T
1
, th li nhun (return) thu c
ti thi im T
1
s l r
ij
nu nh tnh hung
j
xy ra (cc con s r
ij
c th l dng
hoc m, tc l c th li hoc l). Mt chin lc kinh doanh (hay t cc) s c xc
nh bi mt vector x = (x
1
, . . . , x
n
) R
n
, gi l vector chin lc (hay gi vn tt
l chin lc x), ng vi vic mua (hoc bn) x
i
n v ti sn X
i
ti thi im T
0
v
bn (hoc mua) li n ti thi im T
1
vi mi i = 1, . . . , n. y x
i
c th dng hoc
m hoc bng 0, nu m th c ngha l bn mt lng [x
i
[ ti sn X
i
ti thi im T
0
v mua li n ti thi im T
1
. Nu tnh hung
j
xy ra vo thi im T
1
, th li nhun
ca chin lc x l:
R(x) = R
j
(x) =
n
i=1
x
i
r
ij
. (3.1)
y ta gi s chi ph giao dch bng 0, c th bn hay mua mt lng ty cc ti
sn, v gi ca cc ti sn khng ph thuc vo s lng mua/bn ca ta.
Mt phn b xc sut p trn khng gian cc tnh hung c th c coi nh l
mt b m s (p
1
, . . . , p
m
) khng m vi tng bng 1, mi s ng vi xc sut ca mt
phn t ca : p
j
= p(
j
), j = 1, . . . , m. Phn b xc sut p trn c gi l khng
suy bin (non-degenerate) nu p
j
= p(
j
) > 0 vi mi j. Li nhun k vng (expected
return) ca chin lc x theo phn b xc sut p l:
E(R(x)) =
m
j=1
p
j
R
j
(x) =
m
j=1
n
i=1
x
i
r
ij
p
j
=
n
i=1
x
i
(
m
j=1
r
ij
p
j
). (3.2)
Phn b xc sut p trn c gi l trung ha ri ro nu nh k vng li nhun ca
mi chin lc x theo p u bng 0.
nh l 3.2 (nh l arbitrage). Vi mi ma trn li nhun (r
ij
)
j=1,...,m
i=1,...,n
bt k cho
trc, c mt v ch mt khng nh trong hai khng nh sau y l ng:
1. Tn ti mt chin lc arbitrage x = (x
1
, x
2
, . . . , x
n
), tc l lun c li nhun khng
m d tnh hung no xy ra, v c li nhun dng trong t nht mt tnh hung:
min
j
R
j
(x) 0; max
j
R
j
(x) > 0. (3.3)
2. Tn ti mt phn b xc sut trung ha ri ro khng suy bin, c ngha l, tn ti
mt b n s dng p = (p
1
, . . . , p
m
) c tng bng 1 sao cho
m
j=1
r
ij
p
j
= 0 vi mi i = 1, 2, . . . , n. (3.4)
Chng minh. D thy rng hai khng nh trong nh l trn loi tr ln nhau, nn khng
th c hai u ng cng mt lc. Ta s chng minh rng c mt trong hai khng nh
l ng.
K hiu T() l tp hp tt c cc phn b xc sut trn (k c cc xc sut suy
bin). Mi phn t ca T() c th coi l mt b m s p = (p
1
, . . . , p
m
) khng m c
tng bng 1 (xc sut ca phn t
i
bng p
i
).
Gi I l tp hp con cc phn t ca tp cc ch s 1, 2, . . . , m, sao cho vi mi
i I tn ti t nht mt xc sut trung ha ri ro (c th suy bin) (p
1
, . . . , p
m
) T()
vi p
i
> 0. C mt v ch mt trong 3 trng hp sau xy ra:
1) I = l tp rng. y l trng hp khng tn ti xc sut trung ha ri ro no,
k c suy bin.
2) I = 1, 2, . . . , m.
3) , = I ,= 1, 2, . . . , m.
Trng hp 1: Ta s chng minh rng trong trng hp ny tn ti mt chin lc
arbitrage mnh (v do khng nh th nht ca nh l ng trong trng hp ny).
Vi mi p T(), xt vector
p.(r
ij
)
T
=
_
m
j=1
r
1j
p
j
, . . . ,
m
j=1
r
nj
p
j
_
. (3.5)
Vector ny l vector k vng li nhun ca b cc chin lc n: mt chin lc n l
mt chin lc ch mua 1 n v ti sn X
i
v khng mua/bn cc ti sn khc, v k
vng li nhun ca chin lc n ny theo phn b xc sut p bng
m
j=1
r
ij
p
j
. (C n
3.2. NH L KINH DOANH CHNH LCH GI 53
chin lc n, ng vi n ti sn, v bi vy vector k vng li nhun ca b cc chin
lc n c n thnh phn, mi thnh phn l k vng li nhun ca mt chin lc n).
t
E = p.(r
ij
)
T
[ p T() (3.6)
l tp hp tt c cc vector k vng li nhun c th ca b cc chin lc n. E l mt
a din li compact (tc l ng v b chn) trong khng gian Euclide n chiu R
n
, bi v
E l nh ca T() qua mt php bin i tuyn tnh, v bn thn T() l mt a din
li compact trong R
m
. Ch rng vi mi j = 1, . . . , m, vector
j
= (r
1j
, . . . , r
nj
) (3.7)
nm trong E, v n l vector k vng li nhun ng vi phn b xc sut tp trung ti
phn t
j
(xc sut ca
j
bng 1 cn ca tt c cc phn t cn li bng 0). Bn thn
E chnh l bao li ca cc vector
j
ny. D thy rng, mt xc sut p l trung ha ri ro
khi v ch khi p.(r
ij
)
T
= 0. Bi vy, trng hp 1 chnh l trng hp m E khng cha
khng im ca R
n
. V tnh compact ca E, nn tn ti mt im x = (x
1
, . . . , x
n
) E c
di ngn nht, tc l |x| = min|y| [ y E, |x| > 0. Khi , vi mi j = 1, . . . , m,
gc Euclide gia vector x v vector
j
= (r
1j
, . . . , p
nj
) phi l gc nhn, hay ni cch
khc, tch v hng ca chng phi ln hn 0:
x,
j
:=
n
i=1
x
i
r
ij
> 0, (3.8)
bi v nu khng th vi mi > 0 nh, vector
j
+ (1 )x s nm trong E (do
tnh li ca E) v c di nh hn x, mu thun vi iu kin |x| l nh nht trong
E. (Tht vy, |
j
+ (1 )x|
2
|x|
2
2(|x|
2
x,
j
) < 0 khi nh, nu nh
x,
j
:=
n
i=1
r
ij
x
j
0). Nh vy x chnh l mt chin lc arbitrage mnh.
Trng hp 2: y chnh l trng hp tn ti mt xc sut trung ha ri ro khng
suy bin (tc l khng nh th hai ca nh l ng trong trng hp ny). Tht vy,
trong trng hp ny, vi mi j = 1, . . . , m, tn ti t nht mt phn b xc sut trung
ha ri ro p
j
= (p
j
1
, . . . , p
j
m
) tha mn iu kin p
j
j
> 0. Nhng khi , trung bnh cng
p = (1/m)(p
1
+ . . . + p
m
) = (
j
p
j
1
/m, . . . ,
j
p
j
m
/m) cng l mt phn b xc sut
trung ha ri ro, v hn na, phn b ny khng suy bin.
Trng hp 3: Trng hp ny l trng hp tn ti mt xc sut trung ha ri ro
suy bin, nhng khng tn ti mt xc sut trung ha ri ro khng suy bin. Ta s chng
minh rng, trong trng hp ny, khng nh th nht ca nh l l ng, tc l tn ti
mt chin lc arbitrage (tuy rng s khng tn ti mt chin lc arbitrage mnh trong
trng hp ny). Gi W l khng gian vector con ca R
n
sinh bi cc vector
j
, j I, v
F l bao li ca cc vector
j
, j I := 1, . . . , m I.
Ch rng W v F khng giao nhau: W F = . Tht vy, nu chng giao nhau, th
c ngha l tn ti cc s thc khng m a
j
, j I vi tng bng 1, v cc s thc a
j
, j I,
sao cho
m
j=1
a
j
j
= (
jI
a
j
j
) (
jI
(a
j
)
j
) = 0. Ta c th chn mt ch s j
0
I
sao cho a
j
0
> 0. Tng t nh trong trng hp 3, tn ti mi xc sut trung ha ri ro
(p
1
, . . . , p
m
), tc l
j
p
j
j
= 0, sao cho p
j
> 0 vi mi j I. t c
j
= a
j
+ Mp
j
trong
M > 0 l mt s dng ln no , ta c c
j
0 vi mi j, c
j
0
> 0, v
j
c
j
j
= 0.
t q
j
= c
j
/(
j
c
j
). Khi (q
1
, . . . , q
m
) l mt xc sut trung ha ri ro, vi q
j
0
> 0, c
ngha l j
0
I, mu thun iu kin lc trc l j
0
I = 1, . . . , m I.
Gi W
l phn b vung gc ca W trong R

n
, tc l khng gian cc vector ca R
n
m vung gc vi W, v gi

F l nh ca php chiu vung gc ca F ln W
. V W
v F khng giao nhau nn

F khng cha khng im 0. Tng t nh trong trng hp
1, tn ti mt im x

F c di ngn nht trong s cc im ca

F. Suy lun mt
cch hon ton tng t nh trong trng hp 1, d thy rng x chnh l mt chin lc
arbitrage. Ch rng, li nhun ca chin lc ny khi tnh hung
j
xy ra s l s
dng nu j I v s bng 0 nu j I, tc l chin thut ny khng phi l mt chin
lc arbitrage mnh.
Ghi ch 3.3. Mt phin bn khc ca nh l arbitrage, c vit trong sch ca Buchanan
[2], pht biu nh sau: C mt v ch mt trong hai kh nng sau xy ra: hoc l tn ti
mt chin lc arbitrage mnh, hoc l tn ti mt xc sut trung ha ri ro (c th suy
bin). Bn c c th nhn thy rng phin bn ny cng c chng minh trong chng
minh nh l 3.2 pha trn. Tht vy, trng hp 1 l trng hp c chin lc arbitrage
mnh, cn cc trng hp 2 v 3 l cc trng hp tn ti xc sut trung ha ri ro (c
th suy bin). Trong cc phn sau ca quyn sch ny, khi ni n chin lc arbitrage,
ta s khng yu cu iu kin mnh, nhng khi ni n xc sut trung ha ri ro ni
chung ta s yu cu iu kin khng suy bin.
Ghi ch 3.4. nh l kinh doanh chnh lch gi c th c m rng ln trng hp c
v hn cc kh nng xy ra, tc l khi khng gian cc tnh hung gm c v hn cc
phn t. Trong trng hp l tp hp v hn, ta s coi rng nh l vn ng, chp
nhn n m khng chng minh. Cc m hnh xc sut vi v hn cc phn t c th coi
l cc gii hn ca cc m hnh vi hu hn cc phn t, cn trong tnh ton thc t th
mi th ch l hu hn.
3.3. NH L I NGU CA QUI HOCH TUYN TNH 55
Bi tp 3.1. Xt mt cuc ua nga, vi n con nga, thay v ch c 3 con nh trong v
d 3.2. Gi s s ch c 1 con c gii. T l gii thng cho vic t cc vo con th i
l 1 : g
i
(tc l nu t 1 ng, m con th i ot gii, th c g
i
ng, g
i
> 1 vi mi
i = 1, . . . , n). Tm mt iu kin cn v cho b s (g
1
, . . . , g
n
) sao cho tn ti:
a) chin lc arbitrage,
b) chin lc arbitrage mnh.
3.3 nh l i ngu ca qui hoch tuyn tnh
nh l kinh doanh chnh lch gi 3.2 c th c coi nh l mt h qu ca nh l
i ngu (duality theorem) trong qui hoch tuyn tnh (linear programming). Trong phn
ny, chng ta s tho lun nh l i ngu ca qui hoch tuyn tnh, v cch suy ra nh
l 3.2 t nh l i ngu.
Qui hoch tuyn tnh l mt cng c ton hc rt quan trng trong kinh t, v phn
ln cc vn ti u ha v k hoch ha ca kinh t c th vit xp x di dng bi
ton qui hoch tuyn tnh, tc l bi ton c dng: cn xc nh im cc tiu hoc cc
i ca mt hm (v d nh li nhun hay chi ph), hm l hm tuyn tnh theo cc
bin (v d nh s lng sn xut ca cc sn phm), v cc bin phi tha mn mt
s iu kin rng buc c dng phng trnh hoc bt phng trnh tuyn tnh (cng sut
my mc c hn, kho cha c hn, thi gian sn xut c hn, v.v.). Nh ton hc Leonid
Kantorovich (19121986)
(1)
, ngi Lin X duy nht c gii Nobel v kinh t, c coi
l cha ca qui hoch tuyn tnh.
Mi bi ton qui hoch tuyn tnh u c th c a v di dng sau:
(*) Tm max cx, vi iu kin rng buc: Ax b,
trong x l n bin s, vit di dng vector ct n chiu, c l mt vector hng n chiu
c cho trc, A l mt ma trn mn c cho trc, v b l mt vector ct m chiu
c cho trc. Bt ng thc Ax b c ngha l mi phn t ca Ax u nh hn
hoc bng phn t tng ng ca b.
V d 3.3. Tm cc i ca 3x
1
+5x
2
+x
3
, vi cc iu kin rng buc x
1
> 0, x
1
+x
2

10, x
2
8, x
2
+ x
3
= 1.
Ta c th loi bt bin x
3
i, thay n bng 1 x
2
, v a bi ton trn v dng (*)
(1)
Xem http://en.wikipedia.org/wiki/Leonid_Kantorovich
vi
x =
_
x
1
x
2
_
, c =
_
3 4
_
, A =
_
_
_
_
1 0
1 1
0 1
_
_
_
_
, b =
_
_
_
_
0
10
8
_
_
_
_
.
Min kh thi ca bi ton (*) l tp hp tt c cc x tha mn iu kin rng buc
Ax b. Nu min ny khng rng th (*) c gi l kh thi (feasible), cn nu n
rng th (*) c gi l khng kh thi (infeasible). Nu min kh thi l khng rng, th
n c tnh cht li, tc l nu c hai im nm trong min, th on thng ni hai im
cng nm trong min. Bi ton (*) c gi l khng b chn nu cc i ca n l
+, c ngha l vi mi M > 0 tn ti x tha mn iu kin rng buc Ax b sao cho
cx > M. D thy rng, mt bi ton qui hoch tuyn tnh c nghim (tc l c im cc
tr nm trong min kh thi) khi v ch khi n kh thi v b chn.
i i vi bi ton (*) l bi ton sau, c gi l bi ton i ngu ca n:
(**) Tm min yb, vi iu kin rng buc: yA = c v y 0,
trong bin s y c vit di dng mt vector hng m chiu.
Bi tp 3.2. Lp bi ton i ngu ca bi ton trong v d 3.3. V cc min kh thi ca
hai bi ton ny, ri tm cc im cc tr.
nh l 3.3 (nh l i ngu ca qui hoch tuyn tnh).
i) Vi mi x tha mn iu kin rng buc ca bi ton (*) v mi y tha mn iu kin
rng buc ca bi ton (**), ta c cx yb. Nu tn ti x
0
v y
0
trong cc min kh thi
sao cho cx
0
= y
0
b, th x
0
v y
0
chnh l nghim ca hai bi ton.
ii) C 1 v ch 1 trong 4 trng hp sau xy ra:
a) Bi ton (*) khng b chn, v bi ton (**) khng kh thi.
b) Bi ton (**) khng b chn, v bi ton (*) khng kh thi.
c) C hai bi ton (*) v (**) u khng kh thi.
d) C hai bi ton (*) v (**) u b chn v kh thi. Khi tn ti nghim x
0
cho bi
ton (*) v nghim y
0
cho bi ton (**), v ta c cx
0
= y
0
b.
Phn i) ca nh l trn c gi l nh l i ngu yu ca qui hoch tuyn tnh.
Chng minh. i) Gi s x v y nm trong cc min kh thi tng ng ca (*) v (**).
Theo nh ngha, ta c Ax b, yA = c, v y 0. V y 0 nn ta c th nhn c hai
v ca bt ng thc Ax b vi y v pha bn tri c yAx yb. Th nhng
yA = c, do ta c bt ng thc cx yb. Nu cx
0
= y
0
b th vi mi x nm trong
3.3. NH L I NGU CA QUI HOCH TUYN TNH 57
min kh thi ca (*) ta c cx y
0
b = cx
0
, v do x
0
chnh l im cc i ca hm
tuyn tnh cx trn min kh thi ca bi ton (*), tc l n l nghim ca bi ton (*).
Tng t nh vy, y
0
cng l nghim ca bi ton (**).
ii) Bn c c th xem chng minh trong cc quyn sch v qui hoch tuyn tnh (xem
chng hn [30]), hoc l t chng minh bng cch tng t nh chng minh ca nh l
arbitrage pha trn. y chng ta s tm thi b qua chng minh phn ny.
C nhiu cch khc nhau biu din bi ton tn ti chin lc kinh doanh chnh
lch gi x di dng mt bi ton qui hoch tuyn tnh, v suy ra nh l 3.2 t nh l
3.3. Chng hn, ta c th lm nh sau:
Coi cc thnh phn x
1
, . . . , x
n
ca vector chin lc (x
1
, . . . , x
n
) nh l cc bin s
ca mt bi ton qui hoch tuyn tnh. Cc iu kin rng buc l
n
i=1
x
i
r
ij
0 vi
mi j = 1, . . . , m, tc l li nhun lun khng m. Hm tuyn tnh m ta mun tm cc
i l hm tng li nhun ca tt c cc tnh hung:
m
j=1
n
i=1
x
i
r
ij
. Bi ton cc i
ny c dng (*) vi
c = (
m
j=1
r
1j
, . . . ,
m
j=1
r
nj
), A = (r
ij
)
T
, b = 0.
Bi ton i ngu (**) l bi ton tm cc tiu ca yb tha mn iu kin y 0 v
yA = c.
V b = 0 nn yb = 0 vi mi y, v bi ton (**) c nghim khi v ch khi n
kh thi, tc l khi tn ti y tha mn cc iu kin y 0 v yA = c. V c l tng
ca cc hng trong ma trn (r
ij
)
T
= A, nn phng trnh yA = c c th vit thnh
(y
1
+ 1, . . . , y
m
+ 1)(r
ij
)
T
= 0. Nu tn ti vector hng (y
1
, . . . , y
m
) tha mn phng
trnh ny v iu kin khng m, th t p
j
= (y
j
+ 1)/(
j
(y
j
+ 1)), ta c mt phn
b xc sut trung ha ri ro khng suy bin (p
1
, . . . , p
m
). C ngha l, trng hp m cc
bi ton (*) v (**) pha trn c nghim chnh l trng hp tn ti mt xc sut trung
ha ri ro khng suy bin.
Bi ton (*) lun lun kh thi (v im 0 nm trong min kh thi), nn nu n khng
c cc i th tc l n khng b chn. Bi ton (*) khng b chn khi v ch khi tn
ti x kh thi sao cho
m
j=1
n
i=1
x
i
r
ij
> 0. y chnh l trng hp tn ti chin lc
arbitrage.
Nh vy, nh l i ngu ca qui hoch tuyn tnh cho ta kt lun: hoc l tn ti
mt phn b xc sut trung ha ri ro khng suy bin, hoc l tn ti mt chin lc
arbitrage.
Bi tp 3.3. Xt bi ton qui hoch tuyn tnh: tm max 10x
1
+ 7x
2
vi iu kin
_
x
1
x
2
_
_
3 3 2 0
11 0 4 3
_
_
3 4 12 5
_
.
Vit bi ton i ngu ca bi ton trn, ri gii hai bi ton.
3.4 No-arbitrage v xc sut trung ha ri ro
Tuy rng, trn thc t, c cc c hi arbitrage trn th trng ti chnh, nhng chng
thng nh v khng ko di qu lu, bi v mi khi c cc c hi nh vy, th s c cc
c nhn hay t chc tm ra v tn dng cc c hi kim li, v hnh ng mua
bn ca nhng ngi ny s khin cho gi c iu chnh li, n mc khng cn c hi
arbitrage na. Trong mt th trng c tnh thanh khon cao, vi rt nhiu ngi tham
gia, chng ta c th hnh dung l cc c hi arbitrage s nh n mc c th b qua.
Ni cch khc, chng ta s coi rng nguyn l no-arbitrage c tha mn, c
ngha l khng c c hi arbitrage, trong cc th trng (c l tng ha) m chng ta
xt n. Tt c cc cc nh l ton ti chnh, m chng ta s bn n trong quyn sch
ny, v vic nh gi cc chng khon, hay l v quan h gi gia cc chng khon khc
nhau, s da trn nguyn l no-arbitrage.
nh kinh doanh chnh lch gi 3.2 c th c pht biu li nh sau:
nh l 3.4. Vi gi thit l th trng tha mn nguyn l no-arbitrage, lun tn ti
mt phn b xc sut trung ha ri ro (risk-neutral probability distribution) khng
suy bin trn khng gian tt c cc tnh hung c th xy ra.
Nhc li rng, theo nh ngha, k vng li nhun ca mi chin lc theo xc sut
trung ha ri ro u bng 0.
V d 3.4. Gi s mt cng ty cng ngh sinh hc nh, ang tp trung nghin cu mt
loi thuc chng ung th, c gi c phiu ngy hm nay l 10$. Sau gi ng ca th
trng ngy hm nay, cng ty s cng b kt qu nghin cu loi thuc chng ung th
. Gi s ta bit rng s c mt trong hai tnh hung xy ra:
a) Tnh hung thuc c tc dng, vi xc sut xy ra l 60%, v nu xy ra th gi c
phiu ngy hm sau s tng ln thnh 16$.
b) Tnh hung thuc khng c tc dng, vi xc sut xy ra l 40%, v nu xy ra th
gi c phiu ngy hm sau s gim cn 5$.
3.4. NO-ARBITRAGE V XC SUT TRUNG HA RI RO 59
Trong v d ny, k vng ca gi c phiu ca cng ty cho ngy hm sau l 60%16 +
40%5 = 11.6 la, so vi gi ngy hm nay l 10$ . Tc l nu mua 1 c phiu ca cng
ty ngy hm nay, v gi n ngy hm sau, th k vng li nhun s l 11.6 10 = 1.6.
( y, cho n gin, ta coi li sut bng 0, v nh hng ca li sut cho thi hn 1
ngy thng rt l nh, c th b qua). Nhng y l k vng li nhun ng vi phn b
xc sut thc t ca cc tnh hung c th xy ra, ch khng phi l k vng li nhun
ng vi phn b xc sut trung ha ri ro, v k vng li nhun ng vi phn b xc sut
trung ha ri ro phi bng 0. (Xc sut thc t l mt khi nim tru tng v kh xc
nh, nhng ta c th tm hiu l: da trn tt c cc thng tin c c, th xc sut
xy ra cc tnh hung c nh gi nh vy). tnh xc sut trung ha ri ro, gi
xc sut trung ha ri ro ca tnh hung thuc c tc dng l p
. Khi xc sut trung

ha ri ro ca tnh hung thuc khng c tc dng l 1 p
. K vng gi c phiu ca
ngy hm sau theo xc sut trung ha ri ro bng 16p + 5(1 p) la. V k vng li
nhun ca c phiu theo xc sut trung ha ri ro bng 0, nn ta c 16p
+5(1p
) = 10,
t tnh c p
= 5/11 v 1 p
= 6/11.
V d trn cho thy xc sut trung ha ri ro ni chung khc vi xc sut thc t. K
vng li nhun theo xc sut trung ha ri ro bng 0, trong khi theo xc sut thc t c
th l s dng, hoc cng c th l s m, ty trng hp. Nu chng ta gi s rng cc
nh u t khng quan tm n ri ro (tc l kh nng b l), m ch quan tm n k
vng li nhun (sn sng t cc bt c ch no c k vng li nhun dng, d mc
ri ro ra sao), th khi xc sut thc t s chnh bng xc sut trung ha ri ro (v
nu khng th li thnh c c hi arbitrage hy chng minh iu ). Th nhng, ni
chung cc nh u t trn th trng chng khon c quan tm n ri ro, v l mt
trong nhng l do v sao xc sut thc t khc vi xc sut trung ha ri ro.
Trong iu kin bnh thng, th cc nh u t s ch u t khi m k vng li
nhun l s dng (theo xc sut thc t) v ln so vi nhng ri ro c th xy ra,
trong khi theo xc sut trung ha ri ro th k vng li nhun lun bng 0. K vng li
nhun dng ny c th coi l mt th ph mo him (risk premium), dnh cho nhng
ngi chp nhn ri ro. S th v ca xc sut trung ha ri ro nm ch ph ri ro c
tnh lun vo phn b xc sut, hay ni cch khc, s chnh lch k vng gia phn b
xc sut thc t v phn b xc sut trung ha ri ro th hin chnh ci ph mo him
. Trong mt s trng hp, iu ngc li c th xy ra, tc l k vng li nhun theo
xc sut thc t c th l s m, khi c qu nhiu ngi thch mo him. V d nh
sng bc, cc con bc sn sng b tin ra t cc tuy bit rng k vng li nhun l m.
Tuy rng xc sut trung ha ri ro l xc sut ba, c th hon ton khc xa vi xc
sut thc t, nhng n li v cng quan trng trong vic tnh ton ti chnh, c bit l
vic nh gi cc sn phm phi sinh, nh v d n gin sau cho thy.
V d 3.5. Ta tip tc v d 3.4, cng vi cc gi thuyt trong v d . Gi S l 1 c
phiu ca cng ty sinh hc, v C l quyn chn mua n (call option) vo ngy hm sau
vi gi 10$. Hi rng gi ca C vo thi im hm nay l bao nhiu th hp l ? Nu tnh
theo phn b xc sut thc t, th c hai kh nng xy ra vi C:
a) Gi c phiu ln thnh 16$ vo ngy hm sau, v C s c gi tr bng 16 10 = 6
la. Kh nng ny c xc sut xy ra l 60%
b) Gi c phiu xung cn 5$, v lc th gi tr ca C bng 0. Kh nng ny c xc
sut xy ra l 40%. Nh vy, gi tr k vng ca C theo phn b xc sut thc t bng
60%.6 + 40%.0 = 3.6 la. Th nhng, gi tr k vng ny ca C theo phn b xc sut
thc t khng phi l gi hp l ca C vo thi im ngy hm nay, v gi ny khng
tha mn nguyn l no-arbitrage !
Tht vy, gi s ta c th mua/bn C vi gi 3.6$ trong ngy hm nay. Khi ta c
th lm chng hn nh sau: mua 6 c phiu S vi gi 10$ mt c phiu, v bn 10 call
C vi gi 3.6$, nh vy ta b ra tng cng 6 10 10 3.6 = 24 la cho r ti sn
6S 10C, hay ni cch khc, r ti sn 6S 10C c gi l 24$ ngy hm nay. Sang ngy
hm sau c hai tnh hung c th xy ra: hoc l S c gi 16$ v C c gi 6$ v khi r
ti sn 6S 10C c gi 6 16 10 6 = 36$, hoc l S c gi 5$ v C c gi 0$, v khi
r ti sn 6S 10C c gi 6 5 10 0 = 30$. Trong c hai trng hp th gi ca
r ti sn u tng ln so vi ngy hm trc (t 24$ ln thnh 36$ hoc 30$) v nh
vy y l mt c hi kinh doanh chnh lch gi, tri ngc vi nguyn l no-arbitrage.
Nu nh gi hp l ca C khng phi l 3.6$, th n l bao nhiu ? Cu tr li l n
chnh bng gi tr k vng ca C tnh theo phn b xc sut trung ha ri ro! Theo phn
b xc sut trung ha ri ro th xc sut ca tnh hung gi ca X ln thnh 16$ l 5/11
cn xc sut ca tnh hung gi ca X gim xung cn 5$ l 6/11, v do gi tr k
vng ca C theo phn b xc sut ny bng (5/11).6 + (6/11).0 = 30/11$ 2.73$, tc
l gi hp l ca C trong ngy hm nay l 2.73$, ch khng phi 3.6$.
Bi tp 3.4. Chng minh rng, trong v d trn, gi 30/11$ ca C chnh l gi duy nht
tha mn nguyn l no-arbitrage.
V d trn l mt trng hp ring ca nguyn tc quan trng sau trong ton ti
chnh: nh gi cc sn phm phi sinh, phn b xc sut m ta cn dng khng phi
l phn b xc sut thc t, m chnh l phn b xc sut trung ha ri ro.
3.4. NO-ARBITRAGE V XC SUT TRUNG HA RI RO 61
Nguyn l no-arbitrage cng vi nh l kinh doanh chnh lch gi cho ta s tn ti
ca xc sut trung ha ri ro, nhng chng khng ni g n vic phn b xc sut trung
ha ri ro c duy nht hay khng. V d n gin sau cho thy c nhng m hnh m
trong n khng duy nht.
V d 3.6. Gi s th trng chng khon c li sut bng 0, v giao dch duy nht mt
loi c phiu X, thi im hin ti T
0
v mt thi im tng lai T
1
. Ti thi im hin
ti T
0
th gi ca X l 100$. Vo thi im T
1
th c th c 3 tnh hung xy ra vi gi
ca X: 140$, 90$, v 80$. Hi phn b xc sut trung ha ri ro trn tp cc tnh hung
ra sao ?
Gi xc sut ca tnh hung gi 140$ l p
1
, ca tnh hung gi 90$ l p
2
, v ca tnh
hung gi 80$ l p
3
. Khi (p
1
, p
2
, p
3
) l mt b 3 s khng m, tho mn hai phng
trnh
p
1
+ p
2
+ p
3
= 1
v
p
1
.140 + p
2
.90 + p
3
.80 = 100.
Phng trnh th hai l phng trnh li nhun k vng bng 0. V y ta c nhng
3 n s p
1
, p
2
, p
3
m ch c 2 phng trnh, nn c v hn cc nghim, c ngha l tp
hp cc phn b xc sut trung ha ri ro y l mt tp v hn, v ta khng c
tnh duy nht ca xc sut trung ha ri ro trong bi ton ny. V d, ta c th t
(p
1
= 1/5, p
2
= 4/5, p
3
= 0) hoc (p
1
= 1/3, p
2
= 0, p
3
= 2/3).
Trong v d trn, s d xc sut trung ha ri ro khng duy nht, bi v s ti sn
giao dnh trn th trng qu t so vi s cc tnh hung xy ra ( y c 3 tnh hung
trong khi ch c 1 ti sn). Nu s ti sn nhiu so vi s cc tnh hung, th s phng
trnh tuyn tnh trong h phng trnh xc nh phn b xc sut trung ha ri ro s
nhiu, n ch c 1 nghim duy nht. Chng hn, nu th trng c giao dch n c
phiu, v vo thi im tng lai T
1
c n +1 tnh hung c th xy ra, th ni chung xc
sut trung ha ri ro s duy nht.
Bi tp 3.5. (Mt m hnh cy nh phn n gin). Trong bi tp ny, ta gi s l li sut
l c nh mc 10%/nm li kp theo nm, c ngha l c th vay tin v mt nm sau
tr li 10%, hoc cho vay tin v mt nm sau nhn c li 10%, s lng khng hn
ch. Gi s l c mt chng khon X vo thi im hin ti (t = 0) c gi 100. Vo thi
im mt nm sau (t = 1) c hai tnh hung c th xy ra vi X: hoc l X ln gi thnh
150, hoc l gim gi cn 70. Nu gi ca X vo thi im t = 1 l 150, th vo thi im
1 nm sau na (t = 2) c hai tnh hung c th xy ra: hoc l X ln gi thnh 200,
hoc l gim gi thnh 110. Nu X = 70 ti thi im t = 1, th ti thi im t = 2 cng
c hai tnh hung c th xy ra: hoc l X ln gi thnh 100, hoc l X gim gi thnh
50. Th trng y ch m ca ti cc thi im 0,1,2, v ch gm chng khon X v
tin mt vi li sut 10%. Tm xc sut trung ha ri ro ca th trng ny (trn khng
gian tt c cc tnh hung c th xy ra c m t pha trn), v chng minh tnh duy
nht ca n.
Ghi ch 3.5. tnh ton gi tr ca cc sn phm phi sinh bng cch s dng phn
b xc sut trung ha ri ro, ni chung ta s phi gi s l phn b xc sut ny l duy
nht, v nu khng th s bt tin, v c th c nhiu p s khc nhau cho cng mt cu
hi v gi. Bi vy, cc m hnh bin ng gi c ca th trng chng khon m chng ta
xt nhng phn sau thng s ch c mt xc sut trung ha ri ro duy nht. Tnh duy
nht ca xc sut trung ha ri ro tng ng vi mt tnh cht khc ca th trng,
gi l tnh y . Ta s ch xt cc m hnh th trng y (complete market) khi
nghin cu cc sn phm phi sinh trong cc chng sau.
3.5 nh gi hp ng k hn v hp ng tng lai
lm v d minh ha cho nguyn l no-arbitrage, mc ny chng ta s tho lun
cc cng thc nh gi cho hp ng k hn v hp ng tng lai cho cc hng ha.
Nhc li rng, cc hp ng ny l cc chng khon phi sinh, c nhc n trong
Mc 2.4.
Trong trng hp m mt hng ca hp ng k hn l loi c d tr ln, d bo
qun, khng hao mn hay li thi theo thi gian, nhng cng khng sinh ra li tc theo
thi gian, th ta c cng thc gi k hn nh sau:
F(0, T) = (1 + R)
T
S(0), (3.9)
trong T l thi gian tnh t thi im thit lp hp ng (thi im 0) cho n k hn
ca hp ng, theo n v nm, S(0) l gi ca mt hng ti thi im 0, R l li sut
tnh theo nm, v F(0, T) l gi k hn ti thi im thit lp hp ng cho mt hng S
v k hn T.
hiu ngha ca cng thc trn, xt hai la chn sau i vi ngi mua:
1) Mua mt hng ngay by gi, vi gi S(0), v gi n n thi im T. ( y ta
gi thit l vic gi ny khng tn tin, nhng cng khng sinh ra tin).
3.5. NH GI HP NG K HN V HP NG TNG LAI 63
2) Cho vay s tin S(0) vi li sut R (tnh li kp tr theo nm), sau thi hn T th
s tin S(0) tr thnh (1 +R)
T
S(0), v em s tin i ly mt hng ti thi im T
theo hp ng k hn. ( y, n gin, ta gi thit l ai cng c th vay hoc cho
vay vi li sut R).
Hai chn la phi cho kt qu tng ng, tc l ta phi c F(0, T) = (1+R)
T
S(0),
bi v nu F(0, T) > (1 +R)
T
S(0) th ngi mua s ch chn la phng n th nht, tc
l mua ngay, ch khng chu mua theo hp ng k hn, v tnh ra mua theo hp ng k
hn nh vy tn km hn. Ngc li, nu F(0, T) < (1+R)
T
S(0) th khng ai chu d tr
mt hng ny t thi im hin ti cho n thi im T na (tri ngc vi gi thuyt l
mt hng ny c lng d tr ln), m s tm cch bn n i ti thi im hin ti, ly
tin em cho vay t thi im hin ti n thi im T, ri mua li ti thi im T,
c li hn. Vic bn i theo gi hin ti v mua li theo hp ng k hn nhm kim
li khin cho gi hin ti gim i v gi k hn tng ln, cho n khi t s cn bng,
tc l khi F(0, T) = (1 +R)
T
S(0). Ni cch khc, nu F(0, T) > (1 +R)
T
S(0) th c mt
c hi kinh doanh chnh lch gi nh sau: vay 1 khon tin S(0) vi li sut R, mua hng
vi s tin , ri lm hp ng k hn bn hng i vi gi k hn F(0, T). Nh
vy vo thi im 0 th khng phi b ra ng no (tin vay bng tin mua hng), v vo
thi im T th thu c F(0, T) (1 +R)
T
S(0) tin li (sau khi bn hng theo hp
ng k hn, v tr ht n k c tin li sut). Nu F(0, T) < (1 + R)
T
S(0) th cng c
c hi arbitrage ngc li: vay hng (vi gi s l s vay ny khng phi tr li, nu nh
sau k hn T tr ng mt hng v s lng nh c) bn i ly tin, cho vay tin, n
k hn T ly li tin, mua hng theo hp ng k hn k t thi im 0, tr li hng,
v c li. Bi vy, vi gi s l nguyn l no-arbitrage c tha mn, th ta phi c
F(0, T) = (1 + R)
T
S(0).
i vi mt s mt hng nh st thp, du ha, vng, c phiu khng tr c tc, th
cng thc gi k hn pha trn kh l chnh xc. Nhng cng c nhng mt hng m
cng thc trn khng cn chnh xc, bi v chng khng tha mn cc tnh cht i hi,
chng hn nh:
- Cc mt hng kh bo qun. Hoa ti l mt v d. Gi hoa ti thng t hn
vo dp l so vi ngy thng, nhng khng th mua sn hoa ti trc 3 thng s
dng vo ngy l c. Bi vy nu k hn ri ng vo dp l, th gi k hn c th t
hn nhiu gi hin ti.
- Cc mt hng c xu hng gim gi nhanh chng theo thi gian. V d nh, ta c
th k vng l, 1 gigabyte b nh my tnh sau hai nm s c gi thp hn gi hin ti,
v cng ngh my tnh pht trin nhanh. Do vy gi k hn 2 nm cho 1 gigabyte b nh
my tnh phi thp hn nhiu so vi gi hin ti.
- Cc mt hng sinh thu nhp cho ngi gi n. V d nh c phiu c tr c tc. Gi
s mt c phiu s tr mt lng c tc bng tin mt l D ti mt thi im t trc k
hn T, 0 < t < T. Khi cng thc gi k hn phi c iu chnh nh sau:
F(0, T) = (1 + R)
T
S(0) (1 + R)
Tt
D, (3.10)
hay l
F(0, T) + (1 +R)
Tt
D = (1 + R)
T
S(0). (3.11)
Tht vy, mt ngi c th mua c phiu vi gi S(0) ti thi im hin ti, ng thi
lp hp ng k hn bn n ti thi im T vi gi F(0, T), v khi n thi im t
nhn c c tc D th em cho vay c tc ny vi li sut R. Khi n thi im T, s
c tng cng s tin l F(0, T) +(1+R)
Tt
D sinh ra t S(0) vo thi im 0. Hoc ngi
c th cho vay khon tin S(0) vo thi im 0, th n thi im T s c thnh
khon tin (1+R)
T
S(0). Theo nguyn l no-arbitrage, th hai cch phi cho cng hiu
qu ti chnh, tc l ta phi c ng thc F(0, T) + (1 +R)
Tt
D = (1 + R)
T
S(0).
Trong trng hp m c phiu tr c tc nhiu ln trong giai on trc k hn, th
ta cng c cng thc tng t nh trn tnh gi k hn:
F(0, T) = (1 + R)
T
S(0)
i
(1 + R)
Tt
i
D
i
, (3.12)
trong D
i
l cc c tc tr ti cc thi im t
i
trc k hn T.
Mt v d khc v mt hng sinh thu nhp l ngoi t, vi mc thu nhp do li sut
ca ngoi t em li. Khi cng thc gi k hn cng cn c iu chnh tng
ng.
V d 3.7. Gi s rng vo thi im 31/01/2011, t gi USA/VND l 20000 (tc l 1
USD = 20000 VND), li sut (tnh theo nm) ca VND l 13%, cn li sut ca USD l
3%. Hi rng vo thi im 31/01/2011 t gi k hn USD/VND ca mt hp ng k
hn i VND ly USD cho k hn 1 nm l bao nhiu ? Cu tr li l:
F(0, 1) = 20000 (1 + 13%)/(1 + 3%) 21942,
bi v mt ngi c th dng VND mua USD t thi im 31/01/2011 ri cho vay bng
tin USD trong 1 nm, hoc l cho vay s tin VND trong 1 nm ri dng s tin
VND cng vi li c c sau 1 nm chuyn thnh USD theo hp ng k hn, v hai
cch phi cho kt qu tng ng.
3.5. NH GI HP NG K HN V HP NG TNG LAI 65
V d trn cho thy mt qui tc th v l: nu c hai loi tin A v B, trong li
sut ca B thp hn li sut ca A, th t gi k hn ca B/A s cao hn l t gi hin
ti, c ngha l ngi ta k vng l ng tin B s ln gi so vi ng tin A (nu nh
b qua cc yu t khc). iu ny c th c gii thch mt phn qua s lin quan gia
li sut v lm pht: ng tin c li sut cao hn thng ng vi lm pht cao hn, do
gi tr gim i nhanh hn, v t gi hi oi cng phi gim i theo thi gian so vi
ng tin c li sut thp hn v lm pht thp hn.
Gi tr ca hp ng k hn: Gi tr ca hp ng k hn l khon l/li to ra
bi hp ng k hn, cho bn mua ca mt hp ng k hn, do s bin ng ca gi c
theo thi gian.
V d 3.8. Gi s ta c mt hp ng k hn sau, thit lp vo ngy 31/12/2010: mua
1 thng du ha ti k hn 31/12/2011 vi gi k hn l 89$. Gi s rng, gi du ha
tng ln trong u nm 2011, v nu k hp ng k hn mua du ha ti thi im
31/03/2011 cho k hn 31/12/2011, s phi tr gi k hn l 95$ thay v 89$ nh trc.
S chnh lch gi 95$ - 89$ = 6$ l khon li m hp ng k hn ban u ca ta em
li vo thi im 31/03/2011: ta c th k thm mt hp ng k hn bn 1 thng du
ha ti thi im 31/03/2011 cho k hn 31/12/2011 vi gi k hn 95$. Hai hp ng k
hn ny ca ta, mt bn v mt mua, b tr cho nhau, nhng vi gi khc nhau: vo thi
im 31/12/2011 th ta mua vi gi 89$ theo hp ng mua v bn li vi gi 95$ theo
hp ng bn, li 6$. S tin li ny phi i n 31/12/2011 mi nhn c, ch khng
phi nhn c ngay vo thi im 31/03/2011. V tin c th cho vay sinh li hoc phi
i vay tr li, nn 6$ vo thi im 31/12/2011 ch c gi tr bng 6 (1 + R)
3/4
$ vo
thi im 31/03/2011, trong R l li sut cn 3/4 l khong thi gian tnh theo nm.
Chng hn nu li sut l R = 3% th 6(1 + R)
3/4
= 5.87, v ta c th coi rng gi tr
ca hp ng k hn ban u ca ta vo thi im 31/03/2011 l 5.87$.
Ni mt cch tng qut, ta c cng thc sau tnh gi tr ca mt hp ng k hn:
V (t) = [F(t, T) F(0, T)](1 + R)
(Tt)
, (3.13)
trong T l thi im o hn hp ng (tnh theo n v nm), 0 l thi im thit lp
hp ng, V (t) l gi tr ca hp ng ti thi im t (0 t T), F(t, T) l gi k hn
ca hp ng k hn c th thit lp ti thi im t cho cng mt mt hng v cng thi
im o hn T, cn R l mc li sut (tnh theo nm). Bi v F(t, T) = S(t)(1 +R)
(Tt)
trong S(t) l gi ca hng ha ti thi im t (vi gi s l hng ha c xt y
thuc loi d bo qun, khng sinh li tc nhng cng khng mt gi tr theo thi gian)
nn ta cng c th vit:
V (t) = S(t) F(0, T)(1 + R)
(Tt)
. (3.14)
Ti thi im ban u th gi tr ca hp ng k hn V (0) = 0, tc l bn mua v bn
bn khng c bn no l li v hp ng ny. Ti thi im o hn T th F(T, T) = S(T)
l gi th trng cho mt hng ti thi im , v gi tr ca hp ng k hn lc l
V (T) = S(T) F(0, T), bng chnh lch gia gi th trng ti thi im v gi k
hn c thit lp ti thi im ban u.
Cng thc (3.14) cng chnh l cng thc tnh gi tr ti thi im t ca mt hp
ng tng lai lp ti thi im 0 cho k hn T: ti thi im t th ti khon ca ngi
mua hp ng tng lai c cng vo mt khon tin l V (t) so vi thi im 0 (ti
khon tng ln nu V (t) dng v gim i nu V (t) m), cn i vi ngi bn th ngc
li, ti khon c tr i mt khon tin l V (t) so vi thi im 0.
Chng 4
Li sut v tri phiu
Trong chng ny, chng ta s nghin cu mt s kha cnh c bn ca cc loi li
sut, cc cch tnh ton vi chng, cu trc ca chng, v nh hng ca chng n gi
tr ca dng tin t nhn c trong tng lai, cng nh n cc sn phm n nh l tri
phiu.
4.1 Cc cnh tnh li sut
C nhiu qui c o li sut khc nhau, cng l mt sn phm ti chnh nhng khi
tnh li sut theo cc qui c khc nhau s ra cc mc li sut danh ngha (nominal
interest rate) khc nhau! Bi vy khi ni n li sut cn phi ni c th hn l li sut
c tnh theo qui c no. Trong phn ny chng ta s bn n mt s qui c tnh
li sut thng dng nht, trong c: li n (qui c ca cc khon vay ngn hn trn
th trng tin t), li chit khu (qui c ca mt s sn phm n ngn hn nh thng
phiu v tn phiu kho bc), li kp theo nm (cn gi l li sut hiu dng, hay li sut
theo tri phiu), v li kp lin tc (l cch tnh thun tin nht trong vic phn tch
nhiu sn phm ti chnh phi sinh). Khi tnh ton vi li sut, cn phi bit l sn phm
ti chnh no trn th trng no c tnh li sut theo qui c no, khi b tnh sai.
4.1.1 Li n
Khi mt ngi cho vay mt s tin P, vi li sut R, tnh theo li n (simple
interest), trong thi hn t (tnh theo n v nm), th sau thi gian t s nhn li c
67
68 CHNG 4. LI SUT V TRI PHIU
mt s tin l:
V (t) = (1 +tR)P = P + tRP, (4.1)
trong P l s tin gc, v tRP l s tin li.
Cho cc thi hn ngn di 1 nm, ngi ta hay dng n v thi gian l ngy thay
v n v nm. Khi , trc khi dng cng thc trn, phi qui i s ngy ra thnh s
nm theo cng thc
t = d/N, (4.2)
trong d l s ngy ca thi hn, cn N l s ngy trong nm. S N ny khng nht
thit phi l s ngy thc t ca mt nm, m l s ngy qui c theo qui c ca th
trng! Mt s ni (nh Anh v Nht) qui c l mt nm c N = 365 ngy, trong
khi phn ln cc ni khc trn th gii (trong c Vit Nam, M, v cc nc chu
u ngoi Anh) dng qui c mt nm ch c N = 360 ngy (tng ng 12 thng mi
thng 30 ngy) cho cc thi hn ngn. Bi vy, cn phi bit l dng qui c no v tnh
s ngy (day-count) tnh ton khi nhm ln.
Cng thc (4.1) cng c th c vit li nh sau:
V (t) =
_
1 +
dR
N
_
P (4.3)
V d 4.1. Gi s rng khon tin 2000$ c gi vo ngn hng trong vng 20 ngy vi
li sut n 4% v qui c mt nm c 360 ngy. Nh vy t =
20
360
v R = 0.04. Sau 20
ngy khon tin gi s tng ln thnh V (
20
360
) = (1 +
20
360
0.04) 2000$

= 2004.49$, c
ngha l tin li nhn c cho khon tin gi ny l 4.49$.
V d 4.2. Tm s tin gc c gi ban u vo 1 ti khon c li sut n l 8% nu
cn thu c tng cng 100000 sau 91 ngy (3 thng), vi qui c mt nm c 365
ngy. Ta c gc P phi tha mn
V =
_
1 +
91
365
0.08
_
P = 100000,
t suy ra P

= 98044 .
V d trn l mt trng hp ca bi ton: tm s tin gc P = V (0) ban u (ca
mt khon tin cho vay) khi bit gi tr V (t) ca n vo thi im t. Trong trng hp
li n cu tr li d dng tm c bng cch gii (4.1) tm gc. Tht vy, ta c
V (0) = (1 + tR)
1
V (t). (4.4)
4.1. CC CNH TNH LI SUT 69
Con s V (0) ny c gi l gi tr hin ti (present value) hay gi tr chit khu
(discounted value) ca V (t), cn (1 + tR)
1
c gi l tha s chit khu (discount
factor). Con s
K(0, t) :=
V (t) V (0)
V (0)
(4.5)
c gi l mc li nhun (return) cho giai on thi gian t 0 n t cho mi khon
u t m gi tr ti thi im 0 (thi im ban u) l V (0) v ti thi im t l V (t).
Trong trng hp m li tin gi c tnh theo qui c li n, th mc li nhun ca
tin gi trong khong thi gian t vi li sut R chnh bng tR:
K(0, t) = tR. (4.6)
Qui c tnh li theo li n l qui c c dng cho cc khon tin gi v vay n
ngn hn lin ngn hng (interbank deposits and loans) cc th trng tin t (money
market), tc l cc th trng ti chnh dnh cho cc sn phm n ngn hn. Bi vy,
kiu tnh theo li n cn c gi l qui c tnh li sut theo th trng tin t (money-
market yield convention). Nhc li rng, theo qui c ny, gi hin ti V (0) ca mt
khon u t trn th trng tin t c gi tr V (t) sau thi gian t (tnh theo nm) v
mc li sut danh ngha R s l:
V (0) =
V (t)
1 + tR
(4.7)
Tin mt trong cc ti khon chng khon trn th gii thng l c tr li hng
thng, vo u thng sau cho tin trong ti khon trong thng trc, theo qui c li
n: tin li c tnh cho tng ngy mt (bng li sut tin gi thi hn 1 ngy, nhn
vi s tin mt c trong ti khon vo thi im cui ngy), nhng tng s tin li ca
cc ngy trong thng c cng li cho c thng n u thng sau mi c tr vo ti
khon.
Bi tp 4.1. Mt nh u t mua mt sn phm n trn th trng tin t. Sn phm n
ny cn k hn 14 ngy, v s c gi tr l 1 triu $ sau 14 ngy khi ht k hn. Gi s
ngi ny c hng li sut n R = 5.3%, v qui c 1 nm = 360 ngy. Hi ngi
ny phi tr bao nhiu tin mua sn phm n trn?
Bi tp 4.2. Mt khon tin 10000$ c gi vo nh bng trong vng 61 ngy, vi li
n, s thu v $10076 khi o hn. Tm li sut n R ca khon tin gi ny, v mc
li nhun (return) ca n. (Qui c 1 nm = 360 ngy).
Bi tp 4.3. Gi s mt ngi c mt ti khon chng khon, vi s tin mt trong ti
khon l 12000$ trong 17 ngy u thng, 15000$ trong 13 ngy cui thng, ca mt
thng no c 30 ngy. Gi s li sut m ngi ny nhn c cho khon tin mt ca
mnh l 3%/nm, tnh theo qui c li n nh trn, vi qui c 1 nm l 365 ngy. Hi
u thng sau ngi ny c bao nhiu tin li cho khon tin mt trong ti khon?
4.1.2 Li sut chit khu
Mt s sn phm ti chnh ngn hn thng dng, c bit l cc thng phiu (com-
mercial paper) v cc tn phiu kho bc (treasury bill ) c k hn khng qu 1 nm, khng
dng qui c tnh li n, m dng mt qui c khc, gi l qui c li sut chit khu
(discount rate). Nhng sn phm m li sut c tnh theo qui c li sut chit khu
ny s c gi chung l tri phiu chit khu (discount bond). ngha ca t chit
khu y l: gi ca mt tri phiu chit khu nh hn mnh gi ca n, v phn chnh
lch gi l phn chit khu (discount), v y chnh l phn li tr cho tri phiu cho n
khi o hn. Cng xa thi im ht hn, th gi ca tri phiu chit khu cng gim i,
mt cch tuyn tnh theo thi gian cn li, vi h s l li sut chit khu (vi gi s l
li sut ny khng thay i).
Nu nh mt tri phiu chit khu c tng k hn l T, c gi tr ti thi im ht
hn (mnh gi) l F = V (T), v mc li sut chit khu l R, th gi V (t) ca n ti
thi im t (k t khi pht hnh) c tnh theo cng thc sau:
V (t) = (1 (T t)R)V (T). (4.8)
Ngc li, nu bit gi V (t), th mc li sut chit khu l
R =
V (T) V (t)
(T t)V (T)
. (4.9)
Mc li nhun K(t, T) := (V (T) V (t))/V (t) cho giai on t thi im t n thi
im T ca tri phiu chit khu c th c tnh ra t li sut chit khu R theo cng
thc:
K(t, T) =
1
1 (T t)R
1 =
(T t)R
1 (T t)R
. (4.10)
Tt nhin, qui c li sut chit khu khng tng ng vi qui c li n: nu hai
sn phm n c cng thi hn v mc li sut danh ngha, nhng li sut ca sn phm
th nht l li n cn li sut ca sn phm th hai l li sut chit khu, th sn phm
th hai tr li cao hn sn phm th nht.
4.1.3 Li kp
Gi s mt ngi cho vay mt khon tin P di hn, vi thi hn l t, li sut c
nh l R, v c tr li nh k mi nm m ln (v d m = 4 nu c tr li mi
qu mt ln), nhng thay v rt tin li ra khi ti khon, ngi ny tip tc cho vay
cc khon tin li nhn c. Nh vy, khng ch c tin gc sinh ra li, m cc khon
tin li cng sinh ra li, hay cn gi l li m li con. tnh tng cng s tin m
ngi ny s nhn c khi ht k hn cho vay trong trng hp ny, cng thc tnh li
sut theo li n khng cn thch hp na, m ta phi tnh nh sau: vo thi im 0, ti
khon cho vay ca ngi ny c gi tr l V (0) = P. Ti thi im 1/m (sau khi c
tr li ln u tin), ti khon ny tr thnh V (1/m) = (1 + R/m)P = P + (R/m)P
nh theo cng thc tnh li n. Cho giai on thi gian t 1/m n 2/m, ngi ny
cho vay khng ch gc ban u P, m l ton b V (1/m) trong c c gc ban u
v li nhn c ln u tin. Nh vy, ti thi im 2/m, ti khon ny tr thnh
V (2/m) = (1 + R/m)V (1/m) = (1 + R/m)
2
P. C tip tc k ln nh vy, ti thi im
k/m, ti khon ny tr thnh V (k/m) = (1 + R/m)
k
P. t t = k/m (gi s l k = tm
l s nguyn), ta c cng thc sau:
V (t) =
_
1 +
R
m
_
tm
P. (4.11)
Ni cch khc, mc li nhun K(0, t) = (V (t) V (0))/V (0) trong trng hp ny chnh
bng
K(0, t) =
_
1 +
R
m
_
tm
1 (4.12)
Cc cng thc trn c gi l cc cng thc tnh li kp (compound interest), bi v n
c tnh n chuyn li m li con. K c khi m tm khng phi l s nguyn, th cng
thc tnh li kp ny vn c s dng theo cc qui c tnh li sut theo li kp.
Vi cng mt mc li sut danh ngha nh nhau, v cng mt k hn tin gi nh
nhau, th li kp s cho mc li nhun cao hn l li n:
_
1 +
R
m
_
tm
1 > tR, (4.13)
bi v cng thc tnh li n khng tnh n chuyn li m li con.
V d 4.3. Gi s mt ti khon c li sut danh ngha l 5,75%/nm tnh theo qui c
li kp theo thng (tc l R = 0.0575 v m = 12 trong cc cng thc trn). Nu tin gc
l 10000$ th sau ba nm ri, gi tr ca ti khon s l V (3.5) = (1 +
0.0575
12
)
123.5

10000$ = 12223.42$. Trong khi , nu tnh theo li n th gi tr ca ti khon s ch
l (1 + 0.0575 3.5)10000$ = 12012.5$.
Mnh 4.1. Hm mc li nhun K(t; R; m) :=
_
1 +
R
m
_
tm
1 ca cng thc li kp
l hm n iu tng theo cc bin R (li sut), t (thi hn) v m (s ln tr li trong
mt nm).
Tnh n iu tng ca hm K(t; R; m) theo cc bin R v t l tng i hin nhin.
thy rng hm K(t; R; m) cng n iu tng theo m, ta c th ly o hm ca n
theo bin m, ri chng minh l o hm lun dng. Vic chng minh ny l mt bi
tp gii tch tng i n gin, dnh cho bn c.
Bi tp 4.4. Gi s mt khon tin c th c gi theo 2 cch: hoc li sut 15% tnh
li kp theo ngy, hoc li sut 15.5% tnh li kp theo na nm. Hi cch no em li
mc li nhun cao hn cho thi hn 1 nm ?
4.1.4 Li sut hiu dng v li sut tri phiu
Mc li nhun cho khng thi gian 1 nm ca cc khon tin gi hoc vay c gi l
mc li sut hiu dng (effective interest rate). Gi s mt khon tin c tnh mc
li kp theo m ln mt nm l R
. Khi li sut hiu dng ca n bng

R = K(1; R
; m) =
_
1 +
R
m
_
m
1. (4.14)
Nu nh khon tin c tnh li kp theo nm, vi mc li kp theo nm bng R, th n
cng c mc li sut hiu dng ng bng R. Bi vy, mc li sut hiu dng chnh l
mc li kp theo nm vi li nhun tng ng: Mc li kp R
tnh theo m ln 1 nm
v mc li kp theo nm R, tuy khc nhau v con s danh ngha (R ,= R
), nhng bng
nhau v bn cht, v cng cho mt mc li nhun hng nm nh nhau.
Mc li nhun cho khong thi gian 1 nm ca mt tri phiu di hn (c hn di hn
1 nm) cn c gi l li sut (yield) ca n, hay ni cch khc, li sut ca tri phiu
chnh l li sut hiu dng ca n. i vi cc sn phm n di hn ni chung, li sut
hiu dng ca chng cn c gi l li sut kiu tri phiu (bond-equivalent yield).
i vi cc tri phiu zero-coupon
(1)
, th li sut c tnh t gi ca n nh sau: Ta
s dng k hiu B(t, T) ch gi ca mt tri phiu zero-coupon c mnh gi l 1 (1
(1)
Nhc li rng cc tri phiu zero-coupon l cc tri phiu khng c tr li gia chng, m ch tr
mt ln tin, bng mnh gi (face value) ca n, khi o hn
y hiu l mt n v no , v d c th l 1 triu VND), c thi hn l T, v pht
hnh c mt khong thi gian l t, tc l t l thi gian tri qua (running time) k
t khi tri phiu c pht hnh, T t l thi gian cn li cho n khi o hn. Thi
im t = 0 l thi im tri phiu mi c pht hnh. Khi :
B(t, T) = (1 + R)
tT
= (1 + R)
d/365
, (4.15)
trong R l li sut ca tri phiu, d l s ngy cn li cho n khi o hn, Tt = d/365
l thi gian cn li tnh theo n v nm, theo qui c l 1 nm c 365 ngy (ch khng
phi 360 ngy nh i vi li sut ngn hn). Cng thc ngc li tnh li sut t gi
l:
R = exp
_
ln B(t, T)
T t
_
1 (4.16)
Tri phiu zero-coupon c gi l B(t, T) vo thi im t v bng 1 vo thi im T (khi
o hn) th c mc li nhun cho khong thi gian t t n T l:
K(t, T) =
1
B(t, T)
1 = (1 +R)
Tt
1 (4.17)
Cng thc trn l cng thc qui i gia li sut R ca tri phiu v mc li nhun
K(t, T).
Ghi ch 4.1. Cng thc B(t, T) = (1 +R)
tT
cho ta mt s h qu n gin nhng quan
trng sau y v tri phiu zero-coupon: gi B(t, T) ca tri phiu lun nh hn l mnh
gi ca n (nu li sut R l s dng, v T t > 0), v tin ti mnh gi 1 ca n khi
m thi gian tin i im o hn, tc l thi gian cn li T t tin ti 0. Li sut R
cng cao th gi B(t, T) cng nh, v ngc li nu li sut cng thp th gi ca tri
phiu cng cao.
Bi tp 4.5. a) Tm s tin cn phi u t ban u vi li sut kp theo nm l 12%,
ta thu c 1000$ sau 3 nm.
b) Nu nh by gi ta phi tr 800$ 3 nm sau thu c 1000$ th ta c hng li
sut kiu tri phiu l bao nhiu?
Bi tp 4.6. Cn bao lu tng vn ln gp i nu li sut l 6%/nm ?
Bi tp 4.7. Nu mt khon tin gi, c tnh li kp theo nm, tng ln gp i sau
10 nm, th mc li sut (li kp theo nm) ca n l bao nhiu?
Bi tp 4.8. Tnh li sut hiu dng ca mt khon tin gi c li kp theo thng l
10%/nm.
Bi tp 4.9. Nu li sut hiu dng l 10%/nm, th li sut danh ngha trong li tc
c tr theo tun (tc l mc li kp tnh theo 52 ln mt nm) l bao nhiu ?
4.1.5 Qui c v tnh s ngy
Cc sn phm n khc nhau trn cc th trng ti chnh trn th gii khng nhng
ch khc nhau v qui c tnh li sut t li sut, m cn khc nhau v qui c m s
ngy tnh li (day count). C rt nhiu qui c khc nhau v vic m s ngy: s ngy
trong mt nm c th l 360 (c dng rt ph bin cho cc khon tin gi, tin vay),
nhng cng c th l 365 (hay c dng cho tri phiu), hoc c khi li l s ngy thc
s ca nm (v d cho nm nhun c 366 ngy). S ngy vay n c th l s ngy thc t,
hoc cng c khi c iu chnh theo thng (cho nhng thng c s ngy khc 30 ngy).
Bi vy, vic tnh ton cc khon li tuy kh n gin v l thuyt, nhng trong thc t
c th kh rm ri, v ngi thc hnh tnh ton phi bit l mnh dng cng thc g, c
ng so vi cc qui c cho sn phm v th trng m mnh tnh khng. Gia cc sn
phm v th trng khc nhau, th c cc cng thc chuyn i, a chng v cng
mt h qui chiu trc khi so snh chng vi nhau. Bn c c tm hiu chi tit qui c
v vic tnh ngy (day count) trong Chng 2 ca cun sch ca Neftci [19] hoc tra trn
internet.
4.1.6 Li kp lin tc
Nhc li rng, nu mt khon tin P c gi theo li kp r, th sau thi gian t n c
gi tr l:
V (t) =
_
1 +
r
m
_
tm
P, (4.18)
trong m l s ln tnh tr li trong 1 nm. Khi m tin ti v cng, ta c cng thc
gii hn sau:
lim
m
_
1 +
r
m
_
tm
= exp(tr) (4.19)
Nh vy, nu ta gi s l li c tr lin tc (tc l coi s ln tr li tin ti v cng),
th ta c cng thc sau:
V (t) = e
tr
P. (4.20)
Cng thc trn c gi l cng thc tnh theo li kp kin tc (continuously compound
interest).
V d 4.4. Gi s ti khon ban u 30 triu VND c tr li kp lin tc mc 9.5%.
Sau hai nm ri tng s tin trong ti khon (c gc ln li) l
V (2.5) = exp(0.095 2.5) 30 38.04
triu VND.
Ghi ch 4.2. V hm
_
1 +
r
m
_
tm
l hm n iu tng theo m, v gii hn ca n khi
m tin ti v cng l exp(rt), nn ta c
_
1 +
r
m
_
tm
< exp(rt). C ngha l, vi cng mt
mc li sut danh ngha, th li sut tnh theo li kp lin tc ln hn l li sut tnh
theo mi li kp khc.
Mi li kp u c th qui i tng ng v li kp lin tc nh sau. Nu V (t) l
gi tr ti thi im t ca mt ti khon vi li kp R tnh theo m ln mt nm, th ta c
V (t) = (1 + R/m)
tm
V (0) = exp(tmln(1 + R/m))V (0) = exp(tr)V (0) (4.21)
vi r = mln(1 + R/m), hay ni cch khc,
_
1 +
R
m
_
m
= exp(r). (4.22)
iu c ngha l, mc li sut kp R tnh theo m ln 1 nm tng ng vi mc li
sut kp lin tc r = mln(1 + R/m).
Trng hp ring m = 1 cho ta cc cng thc chuyn i sau gia mc li sut hiu
dng (= li sut kp theo nm) R, v mc li sut kp lin tc r:
r = ln(1 + R) (4.23)
v
R = e
r
1. (4.24)
Ghi ch 4.3. V mc li sut hiu dng cn c gi l li sut, nn mc li kp lin tc
cn c gi l li sut log (logarithmic yield). Ni chung, nu mt khon u t c
mc li nhun l K(t, T) = (V (T) V (t))/V (t) trong khon thi gian t t n T, th i
lng k(t, T) = ln(K(t, T) + 1) = ln(V (T)/V (t)) = ln V (T) ln V (t) c gi l mc
li nhun log (logarithmic return) tng ng. Mc li nhun log c tnh cng tnh theo
thi gian: k(t
1
, t
2
) + k(t
2
, t
3
) = k(t
1
, t
3
) vi mi t
1
t
2
t
3
.
Bi tp 4.10. Tnh mc li sut log (tc l mc li kp lin tc tng ng) cho cc
mc li kp sau:
i) 10% tnh theo qu,
ii) 9.8% tnh theo ngy,
iii) 10.2% tnh theo nm.
4.2 Gi tr v li sut ca dng tin t
4.2.1 Cng thc dng tin chit khu
Nu ta c mt lng tin V v c th gi n vi mc li kp lin tc r, tc l vi
mc li sut R = exp(r) 1, th sau mt khong thi gian t lng tin s tr thnh
W = e
tr
V . Tnh ngc li, vi mt mc li kp lin tc r cho trc, th mt lng tin
W m n thi im t mi c nhun s ch qu bng lng tin V = e
tr
W nhn
c ngay vo thi im hin ti. Lng tin W = e
tr
V c gi l gi tr tng lai
ca lng tin V , cn V = e
tr
W c gi l gi tr hin ti ca lng tin W (vi
mc li kp lin tc r v khong cch thi gian t). Cng thc
V = e
tr
W (4.25)
c gi l cng thc gi tr chit khu, tc l chit khu i t gi tr tng lai W bng
cch nhn n vi mt h s e
tr
nh hn 1, tnh ra gi tr hin ti ca n.
Ni mt cch tng qut hn, gi s ta s nhn c mt dng tin t, tc l mt dy
cc lng tin C
1
, C
2
, . . . vo cc thi im t
1
, t
2
, . . . tng ng. Gi s mc li kp lin
tc r l c nh. Khi gi tr hin ti ca C
i
l exp(t
i
r)C
i
, v nh vy tng gi tr
hin ti ca dng tin m ta s nhn c l:
V =
i
exp(t
i
r)C
i
(4.26)
Cng thc trn gi l cng thc dng tin chit khu hay cng thc gi tr hin
ti, tnh gi tr hin ti ca mt dng tin t nhn c trong tng lai, vi gi s l
mc li kp lin tc r l mt hng s c bit.
Nu thay v s dng mc li kp lin tc r, ta s dng mc li kp R
tnh theo m
ln mt nm (exp(r) = (1 + (R
/m))
m
), th cng thc gi tr hin ti ca dng tin pha
trn c th c vit li nh sau:
V =
i
_
1 +
R
m
_
mt
i
C
i
. (4.27)
Trng hp ring ca cng thc trn l khi m = 1 v R = exp(r) 1 l mc li sut,
ta c:
V =
i
(1 + R)
t
i
C
i
. (4.28)
4.2. GI TR V LI SUT CA DNG TIN T 77
V d 4.5. Gi s mt nh u t s nhn tin ti cui mi nm trong vng 6 nm vi
s tin nh trong bng sau:
Nm 1 2 3 4 5 6
Tin 465 233 632 365 334 248
y l mt dng tin t xy ra trong 6 nm. Nu mc li kp theo thng l 3,99%,
th gi tr hin ti ca khon u t l bao nhiu? V khon tin u tin nhn c sau
mt nm k t thi im hin ti, gi tr hin ti l tng
465(1 +
0.0399
12
)
12
+ 233(1 +
0.0399
12
)
24
+ 632(1 +
0.0399
12
)
36
+ 365(1 +
0.0399
12
)
48
+334(1 +
0.0399
12
)
60
+ 248(1 +
0.0399
12
)
72
2003.01
Ch rng gi tr hin ti ca khon u (tng cng bng 2277) t s khc so vi tng
cc khon tin nhn c trong vng 6 nm.
Bi tp 4.11. Gi s mt ngi s nhn c nhun bt cho mt quyn sch ca mnh
tng cng 5 ln: ln u tin l 3000$ ngay ngy hm nay, ln th hai l 2000$ sau 6
thng, ln th ba l 1500$ sau 1 nm, ln th t l 2000$ sau hai nm, v ln cui cng
l 2500$ sau 3 nm. Gi s l mc li sut (= li kp theo nm) l 5%. Hi gi tr hin
ti ca dng tin nhun bt m ngi ny s nhn c cho quyn sch l bao nhiu?
Ghi ch 4.4. Gi tr hin ti ca mt dng tin t l hm n iu gim theo bin li
sut (= li sut hiu dng tng ng): nu li sut gim, th gi tr hin ti tng, v nu
li sut tng th gi tr hin ti gim (v tin n 0 khi li sut tin n v cng). Bi
vy, nu ta bit mt dng tin, v bit gi tr hin ti ca dng tin , th cng th tnh
ngc li ra li sut ca dng tin . Vic tnh ngc ny i hi phi gii mt phng
trnh c th kh l phc tp, bi vy cch tnh tt nht l dng phn mm my tnh (da
trn nhng thut ton tnh ton gii phng trnh, v d nh thut ton Newton).
V d 4.6. Gi s bn vay mt ngi bn 100$ vi tha thun l s tr cho anh ta trong
5 nm, mi nm mt ln, cc khon tin 21, 22, 23, 24, 25 (mi nm mt ln, theo th
t ca dy). Li sut R ca dng tin t ny s l nghim thc (duy nht) ca phng
trnh
21
1 + R
+
22
(1 + R)
2
+
23
(1 + R)
3
+
24
(1 + R)
4
+
25
(1 + R)
5
= 100.
C th s dng my tnh tnh xp x nghim R 0.047.
Ghi ch 4.5. Thay v ni n li sut, ta cng c th ni n t l lm pht (inflation):
lm pht l khi sc mua ca tin gim i theo thi gian (gi c trung bnh ca cc mt
hng tng ln). T l lm pht cng c tnh theo n v %/nm, vi qui c tng
t nh l li kp theo nm. T l lm pht ni chung l s dng, nhng i khi cng
c nhng giai on gim pht (deflation), khi sc mua ca tin li tng ln so vi thi
gian. Trong cng thc gi tr hin ti, nu R l t l lm pht theo nm (thay v li sut
kp theo nm) th ta c sc mua hin ti ca dng tin thay v gi tr hin ti.
Nu nh li sut bng ng t l lm pht (tin li va b cho lm pht) th sc mua
hin ti bng gi tr hin ti. Thng l li sut cao hn l t l lm pht (tuy cng c
lc thp hn khi thp hn th ngi gi tin b thit hi ti sn, v sc mua ca khon
tin gi, k c li, khng tng ln m li gim i theo thi gian), v do vy sc mua hin
ti ca dng tin t thng l ln hn gi tr hin ti ca n.
Ghi ch 4.6. Khi ngi ta ni n mt dng tin t, thng c hiu l cc khon tin
u l s dng. Tuy nhin, cc cng thc vn dng c cho trng hp tng qut hn,
khi m c cc khon tin l s m, tuy rng khi gi tr hin ti ca dng tin khng
nht thit phi tng ln khi m li sut gim i. (Hnh dung nh l mt ti khon, c
lc nhn c tin vo nhng cng c lc phi tr tin ra).
4.2.2 Dng nin kim
Dng nin kim (annuity) l mt trng hp c bit ca dng tin t, khi m cc
khon tin c xut hin ti cc mc thi gian cch u nhau (v d c ng mi thng
mt ln) v c tr s bng nhau (v d mi ln u l 3.5 triu VND). Trong thc t c
nhiu dng nin kim, v d nh: tin lng hu, tin tr n hng thng cho mt khon
n mua nh tr gp, tin li nhn c nh k t tri phiu coupon, v.v.
Vic tnh gi tr hin ti ca dng nin kim n gin hn l trng hp dng tin t
tng qut, nh cng thc
1 + q + q
2
+ . . . + q
n1
=
1 q
n
1 q
(4.29)
(vi q ,= 1). Gi s ta c mt dng nim kim vi n khon tin, mi khon u bng C,
ti cc thi im t
1
= 1/m, t
2
= 2/m, . . . , t
n
= n/m (tnh theo nm), v mc li sut
kp R tnh theo m ln mt nm. Khi gi tr hin ti ca dng nin kim ny l (t
q =
_
1 +
R
m
_
1
):
V =
n
i=1
_
1 +
R
m
_
i
C =
n
i=1
q
i
C =
1 q
n
1 q
qC, (4.30)
hay c th vit li thnh:
V =
_
1
_
1 +
R
m
_
n
_
R/m
C = P(
R
m
, n)C, (4.31)
trong h s
P(
R
m
, n) =
n
i=1
_
1 +
R
m
_
i
=
_
1
_
1 +
R
m
_
n
_
R/m
(4.32)
c gi l tha s gi tr hin ti (present value factor) ca dng nim kim.
V d 4.7. (Vay tr gp) Nu mt ngi vay 20000$ trong 5 nm vi li sut kp theo
thng l 4.80% v tr cc khon tin bng nhau hng thng, khon phi tr hng thng
s l mt s x (tnh theo n v $) sao cho dng nim kim trong vng 5 nm mi thng
mt ln (tng cng 5 12 = 60 ln) mi ln bng x c gi tr hin ti l 20000 theo
li sut kp theo thng 4.8%. T suy ra tin tr n hng thng l: x =
20000
P(
0.048
12
, 60)
,
vi P(
0.048
12
, 60) = P(0.004, 60) =
_
1 (1 + 0.004)
60
_
0.004
53.249, tc l x =
20000
53.249

375.59.
V d 4.8. Xt khon cho vay 1000$ phi tr lm 5 ln nh nhau, mi nm 1 ln (vo
thi im cui nm), vi li sut kp theo nm l 15%. Khi s tin phi tr hng nm
l:
1.000
P(15%, 5)
298.32.
V d 4.9. (Tin tit kim). Gi s c hai ngi 20 nm na s v hu. Mt ngi bt
u tit kim tin cho tin hu tr ngay t by gi nhng do b tht c l vn nn phi
dng li sau 4 nm. S tin anh ta u t trong 4 nm u vn c gi nguyn nhng
trong sut 16 nm tip theo anh ta khng tit kim thm c cht no na. Mt
ngi th sau 4 nm u khng tit kim v trong 16 nm lm vic tip theo th anh ta
lin tc gi tit kim. Ta s xem xt s chnh lch trong s tin tit kim cui cng m
hai ngi nhn c. Ta gi s li sut kp theo thng l R = 0.05 v c hai ngi hng
thng cng gi tit kim s tin x. Ngi u tin c s tin trong s tit kim vi gi tr
hin ti l
48
i=1
(1 +
0.05
12
)
i
x 43.42 x.
gi tr hin ti ca tng s tin u t ca ngi th hai l
240
i=49
(1 +
0.05
12
)
i
x 108.10 x.
Nh vy ngi th nht c thi gian (v tng s tin rt vo) gi tit kim ch bng 25%
ngi th hai (4 nm so vi 16 nm), nhng ti khon tit kim ca ngi th nht vo
thi im v hu c gi tr xp x bng 40% ca ngi th hai. chnh l do ngi th
nht gi tit kim sm hn. Bi hc: tit kim v u t t cng sm th cng c li v
sau.
V d 4.10. (Tnh qu hu). Gi s mt ngi mun lp mt qu hu (mt ti khon
trong ngn hng dnh ring cho vic tr lng hu v sau). Ngi ny s lm vic 30 nm
na, v mi thng s rt vo qu hu mt khon tin u n l x trong vng 30 nm
lm vic. Khi v hu (30 nm sau), ngi ny s rt ra t qu hu ca mnh mi thng
l 2000$, trong vng 20 nm (sau 20 nm th va vn ht qu hu). Gi s rng mc
li sut m ngi ny nhn c cho qu hu ca mnh l c nh bng 5% theo li kp
tnh theo thng. Hi gi tr ca qu hu vo thi im ngi ny v hu l bao nhiu, v
ngi ny phi np hng thng bao nhiu tin vo qu hu ?
Gi gi tr ca qu hu vo thi im ngh hu bng W. Khi W c th coi l
gi tr hin ti ca dng nin kim ko di 20 12 = 240 thng, mi thng 2000$. Li
sut kp theo thng l R = 5%, bi vy ta c tha s gi tr hin ti bng P(
R
m
, n) =
P(0.05/12, 240) = (1 (1 + 0.05/12)
240
)/(0.05/12) 151.525, do
W = 2000 151.525 303050,
tc l gi tr ca qu hu ti thi im ngh hu bng 303050$.
W l gi tr ca qu hu vo thi im sau 30 nm lm vic. Gi tr chit khu ca
W cho thi im 30 v trc, khi mi lp qu hu, l:
V = (1+
R
m
)
30m
W = (1+0.05/12)
360
W 0.2238266W = 0.2238266303050 67831.
V tin trong qu hu c to ra l do dng nin kim m ngi i lm np vo qu hu
trong 30 nm, nn V cng chnh bng gi tr hin ti (tnh ti thi im mi lp qu
hu) ca dng nin kim , bi vy ta c s tin cn np hng thng l:
x =
V
P(0.05/12, 360)
=
67831
(1 (1 + 0.05/12)
3600
)/(0.05/12)

67831
186.28
364.13
Nh vy, ch cn np 364.13$ mt thng cho qu hu trong vng 30 nm, th c th
nhn c lng hu 2000$ mt thng trong vng 20 nm, nu li sut kp theo thng
l 5%/nm.
Tt nhin, trn thc t, him ai bit c trc l mnh s cn nhn c bao nhiu
thng lng hu k t khi v hu, v tui th mi ngi mt khc. Bi vy, lng hu
thng do cc cng ty bo him nhn th qun l, b tr tui th ca mi ngi cho
nhau khi tnh s thng lng hu trung bnh.
Bi tp 4.12. Trong v d pha trn, nu ch ng qu hu trong vng 15 nm thay v
30 nm, v vn mun nhn c 20 nm lng hu vi mc lng hu 2000$/thng, v
mc li sut kp theo thng vn l 5%/nm, th cn ng bao nhiu tin mt thng vo
qu hu ?
Bi tp 4.13. Trong v d pha trn, ta gi s l t l lm pht l 2%/nm, cc s liu
khc vn nh c, tr mc lng hu mun nhn c hng thng. Nu nh ngi ny
mun nhn c mt khon lng hu khng phi l 2000$/thng, m l lng hu hng
thng c sc mua bng 2000$ ca thi im mi m qu hu, th s phi ng bao nhiu
tin mt thng vo qu hu ?
4.2.3 Tri phiu coupon v tri phiu v thi hn
Mt tri phiu coupon l mt tri phiu m ngi s hu n c tr li nh k
(v d 6 thng mt ln) mt khon tin li C c nh no gi l tin coupon, v n
khi o hn th tr mt ln tin li cui cng cng vi mt khon tin gc F bng mnh
gi (face value) ca tri phiu. Ni cch khc, gi tr ca mt tri phiu coupon chnh l
gi tr ca mt dng tin t gm hai phn: mt dng nin kim cc khon tin coupon, v
mt khon gc tr vo cui k hn ca tri phiu. Bi vy, cc cng thc tnh ton
vi cc dng tin t ni chung v dng cc dng nin kim ni ring c th c dng
tnh ton vi tri phiu coupon.
V d 4.11. Mt tri phiu c mnh gi F = 10 triu VND, vi k hn T = 5 nm,
coupon C = 1 triu VND c tr hng nm. Tc l s c 1 dng cc khon tin tr 1,
1, 1, 1, 11 (triu VND) vo cui mi nm lin tip. Cho li kp lin tc r l 12%, ta tm
c gi ca tri phiu vo thi im pht hnh l:
V (0) = 1e
r
+ 1e
2r
+ 1e
3r
+ 1e
4r
+ 11e
5r
9.027
triu VND, tc l 9 triu 27 nghn VND.
V d 4.12. Tip tc v d 4.11. Sau 1 nm pht hnh, khi coupon va c tr, tri
phiu tr thnh tri phiu cn k hn 4 nm tr gi
V (1) = 1e
r
+ 1e
2r
+ 1e
3r
+ 11e
4r
9.178.
triu VND. Ch rng rng tng ti sn vo thi im 1 l
V (1) + C = 9.178 + 1 = 10.178 = 9.027 exp(0.12) = V (0)e
r
.
6 thng sau tri phiu s c tr gi
V (1.5) = 1e
0,5r
+ 1e
1,5r
+ 1e
2,5r
+ 11e
3,5r
9.745.
Gi s l coupon c tr mi nm 1 ln, khi t l C/F gia coupon v mnh gi
ca tri phiu c gi l li sut coupon ca tri phiu.
Mnh 4.2. Gi s coupon c tr mi nm 1 ln. Khi li sut coupon bng li
sut ca tri phiu khi v ch khi gi ca tri phiu bng ng mnh gi ca n. Trong
trng hp ny ta ni tri phiu c mua bn gi danh ngha (tc l mnh gi).
Vic chng minh mnh trn tng i d dng v l bi tp dnh cho bn c.
Nu mt tri phiu coupon c bn di mnh gi, th iu c ngha l li sut cao
hn li sut coupon, v ngc li, nu n c bn cao hn mnh gi, th c ngha l li
sut thp hn li sut coupon.
Tri phiu v thi hn, hay cn gi l tri phiu vnh cu (perpetual bond) l mt
trng hp c bit ca tri phiu coupon, khi m ngi s hu tri phiu nhn c
cc khon tin coupon mt cch v thi hn (vnh cu), v tri phiu khng o hn lc
no c, tc l khng tr tin gc lc no c. i vi tri phiu v thi hn, th mnh
gi khng cn ngha, m ci xc nh gi tr ca n chnh l ln v tn s ca cc
coupon c tr. Trn th trng ti chnh th gii c cc tri phiu v thi hn. V d,
Ta c th coi tri phiu v thi hn nh l mt dng nin kim vnh cu (c di v
hn). Nhc li rng, mt dng nin kim gm n khon tin th c tha s gi tr hin ti
bng
P(
R
m
, n) =
1 (1 + (R/m))
n
R/m
(4.33)
trong m l s ln xut hin tin trong 1 nm ca dng nin kim, v R l li kp tnh
theo m ln 1 nm. Khi n tin ti v cng th (1 + (R/m))
n
tin ti 0 (vi gi s l
R > 0), bi vy ta c tha s gi tr hin ti ca dng nin kim v hn l:
P(
R
m
, ) =
1
R/m
=
m
R
. (4.34)
V d 4.13. Gi s c mt tri phiu v thi hn vi li sut (= li sut kp theo nm)
5.2%, v c sau mi nm th tr coupon C = 100, tnh t thi im hin ti. Hi gi ca
tri phiu ny bng bao nhiu?
Theo cng thc gi tr hin ti ca dng nin kim v hn, ta c
V = CP(
R
m
, ) =
mC
R
.
y m = 1, C = 100, R = 0.052, bi vy gi tr hin ti ca tri phiu ny l V =
100/0.052 1923.07
Bi tp 4.14. Tnh gi tr hin ti ca tri phiu v thi hn tr coupon mi qu mt ln
5 triu VND, bit rng li sut kp lin tc l 10.5%/nm.
4.2.4 Li sut hon vn
Nhc li rng, nu ta c mt dng tin t C
1
, C
2
, . . . nhn c ti cc thi im
t
1
, t
2
, . . . tng ng tnh t thi im hin ti v o theo n v nm, v mc li sut
hiu dng (tc l mc li sut tnh theo qui c li kp theo nm) l R, th gi tr hin
ti ca dng tin l:
V (0) =
i
(1 + R)
t
i
C
i
. (4.35)
Ngc li, gi s ta bit gi tr hin ti V (0) ca mt sn phm n cho mt dng
tin (C
i
, t
i
). V d: sn phm n l tri phiu coupon, dng tin ny l cc coupon
nh k, cng vi phn gc tr khi o hn, v V (0) l gi ca tri phiu coupon ny trn
th trng. Khi (vi gi s l C
i
> 0 v t
i
> 0 vi mi i), tn ti duy nht mt s R
sao cho cng thc 4.35 pha trn c tha mn. S R c gi l li sut hon vn
hay li sut hon vn (yield to maturity) ca sn phm n .
Ni cch khc, li sut hon vn ca mt sn phm n chnh l mc li sut hiu
dng, sao cho nu tnh theo mc li sut hiu dng , th gi tr hin ti ca dng tin
ca sn phm n chnh bng gi giao dch ca n trn th trng. so snh cc
khon n khc nhau (vi cc kiu tr n khc nhau, thi gian o hn khc nhau, v.v.)
xem khon no c li sut cao hn, ngi ta c th tnh li sut hon vn ca chng, ri
so snh cc li sut hon vn (ch khng phi l so snh cc li sut danh ngha).
V d 4.14. Mt ngi vay tr gp 10000$, v phi tr trong 5 nm (60 thng), c cui
mi thng tr mt ln 235$. Hi li sut hon vn ca khon vay ny l bao nhiu ?
tr li cu hi , ta vit phng trnh
60
n=1
(1 + R)
n/12
235 = 10000.
t x = (1 + R)
1/12
, ta c phng trnh
60
n=1
x
n
= (x x
61
)/(1 x) = 10000/235 42.5532.
S dng my tnh gii phng trnh trn, ta c nghim x 0.988105, t suy ra
R = x
12
1 0.1544,
c ngha l li sut hon vn ca khon vay ny vo khong 15,44%.
V d 4.15. Gi s c mt tri phiu coupon mnh gi 1000$, cn hn 10 nm, v c
coupon l 100$ (tc l c cui mi nm nhn c 100$ tin li, ng vi li sut coupon
ca tri phiu l 10%). Gi ca tri phiu ny trn th trng s khng c nh l
1000$, m c th tng hay gim ty tnh hnh th trng. Khi m gi tri phiu ny tng
ln, th tc l li sut hon vn ca n gim i, v ngc li khi m gi tri phiu gim
i, th tc l li sut hon vn ca n tng ln. Khi m gi tri phiu ng bng 1000$,
th li sut hon vn ng bng li sut coupon, tc l 10%. Di y l mt bng li
sut hon vn ca tri phiu ny, ng vi gi ca n trn th trng (tc l gi ca n l
bao nhiu, th cho li sut hon vn bng bao nhiu):
Gi tri phiu ($) Li sut hon vn (%)
1200 7.13
1100 8.48
1000 10.00
900 11.75
800 13.81
4.3 Duration ca tri phiu
Nh chng ta thy pha trn, gi tr hin ti ca mt dng tin t (v do gi
ca cc tri phiu) ph thuc vo li sut: li sut gim th gi tr hin ti ca n tng,
v li sut tng th gi tr hin ti ca n gim (vi gi s l cc khon tin l s dng).
phn tch c th hn s ph thuc ny, ta c th lm nh sau: Gi B l gi tr hin
ti (hay gi hin ti) ca mt dng tin (hay mt tri phiu no ), khi o hm
ln B
r
=
1
B
B
r
(4.36)
ca log ca B theo mc li kp lin tc hin ti r l i lng biu th nhy log ca
B theo li sut. y ta dng mc li kp lin tc r thay v dng li sut R = exp(r) 1
tng ng, v cc cng thc tnh theo r s gn nh hn.
4.3. DURATION CA TRI PHIU 85
Khi B = exp((t T)r) l gi ca mt tri phiu zero-coupon cn thi hn l T t
(trong T l ton b k hn, t l thi gian tri qua), th ta c:
ln B
r
= t T = (T t) (4.37)
Do vy, khi B l gi ca tri phiu zero-coupon, th i lng
ln B
r
chnh l thi hn
cn li ca tri phiu.
Mt h qu quan trng l: tri phiu zero-coupon c thi hn cn li cng di th c
gi cng nhy vi li sut, v nhy log ca gi theo li sut chnh bng thi hn cn
li ca tri phiu.
M rng t trng hp tri phiu zero-coupon ln trng hp dng tin hay tri phiu
(hay mt r cc tri phiu) bt k, ta c nh ngha sau:
nh ngha 4.3. Gi s ta c mt dng tin (hay mt r cc tri phiu) m gi tr hin
ti (hay gi hin ti) l mt hm s B ph thuc vo mc li sut kp lin tc r. Khi
i lng
ln B
r
(4.38)
c gi l duration hay k hn trung bnh ca dng tin (hay r tri phiu) ny.
T duration c ngha l di v thi gian. y, n c hiu l di trung bnh
v thi gian, tc l k hn trung bnh, ca cc khon tin trong dng tin, hay l ca tt
c cc tri phiu v cc coupon trong r tri phiu.
V d 4.16. Gi s c 1 tri phiu mi pht hnh c k hn T = 3 nm, c mnh gi
F = 10, v c tr li 3 ln, mi nm mt ln, mi ln mt coupon C = 1. Gi ca tri
phiu ny, tnh theo li sut kp lin tc, l:
B = 1. exp(r) + 1. exp(2r) + 11. exp(3r)
T suy ra duration ca n l:
D =
ln B
r
=
B
r
1
B
=
1.e
r
+ 2.e
2r
+ 33.e
3r
1.e
r
+ 1.e
2r
+ 11.e
3r
.
T cng thc trn, ta c th thy ngay rng duration ca tri phiu ny nh hn 3, tc
ngn hn k hn ca tri phiu, nhng ln hn 1. l bi v tri phiu ny c th coi l
1 dng tin gm 3 phn: 1 phn c duration bng 1 (coupon u tin), 1 phn c duration
bng 2 (coupon th hai), v mt phn c duration bng 3 (coupon th ba cng vi mnh
gi). Duration ca tri phiu l trung bnh cng c trng lng ca ba ci duration khc
nhau , bi vy n nm gia 1 v 3.
Bi tp 4.15. Trong v d 4.16 pha trn (vi gi s l li kp lin tc r l s dng),
chng minh rng duration D ca tri phiu khng nhng nh hn 3 m cn tha mn
bt ng thc D < 36/13.
Cng thc tnh duration ca tri phiu cho thy, tri phiu no c k hn cng di,
th gi ca n s cng nhy so vi s thay i li sut. V d, i vi mt tri phiu c
duration l 20 nm, th ch cn li sut thay i 0.2% lm cho gi ca n thay i
khong 20 0.2% = 4%. iu ny gii thch v sao gi ca cc tri phiu di hn trn th
trng c giao ng ln (trong khi gi ca cc tri phiu ngn hn t giao ng). V
d, trong vng 5 thng 04-08/2010, gi ca cc tri phiu chnh ph di hn M (loi
20 nm tr ln) tng trung bnh hn 20%, ng vi vic li sut tri phiu chnh ph gim
khong 1.5%.
Khi nim duration l mt khi nim v cng quan trng trong ti chnh, v n lin
quan trc tip n vn u t v qun l ri ro cc sn phm n. V d, nu mt nh
u t tri phiu ngh rng li sut ang cao, s gim i, th thng s chn gi cc tri
phiu c duration ln, v duration cng ln th gi s cng tng mnh khi m li sut
gim xung. Ngc li, nu nh u t ngh rng li sut ang thp, c th tng ln,
th s ngn ngi khi u t vo cc tri phiu c duration ln, m s chn cc tri phiu
vi duration ngn, b gim gi khi li sut tng. Cc nh bng nu vay vo ngn hn
m cho vay ra di hn, th s c kh nng ri ro l: khi li sut cao ln th cc khon
cho vay di hn b gim gi tr i nhiu so vi cc khon vay vo ngn hn, dn n nh
bng b l. (iu ny tng xy ra trn thc t). chnh l ri ro v li sut, hay cn c
th gi l ri ro v thi hn, khi m duration ca tng cc khon vay vo v cho vay ra
l khc 0.
Gi s mt ngi mun u t tri phiu trong mt khong thi gian T no (vo
thi im T th ngi ny cn rt tin ra). Nu c tri phiu zero-coupon cn thi hn
ng bng T, th cch n gin nht cho ngi ny l mua tri phiu , s bit chc l
n thi im T mnh s c bao nhiu tin. Nhng nu trn th trng khng c tri phiu
nh vy, th vic u t c th tr nn bp bnh hn, v khng bit l n thi im T s
c bao nhiu tin, v c th c ri ro v li sut (li sut c th dao ng ngc hng
lm nh hng xu n khon tin s c ti thi im T). gim thiu ri ro ny, v
yn tm hn v s tin s c ti thi im T (khng b thp hn so vi l nu mua c
tri phiu zero-coupon vi thi hn nh mun), ngi ny c th tm cch u t vo
mt r tri phiu c duration ban u bng T, ri iu chnh n ti cc thi im sau sao
cho duration lun bng thi gian u t cn li. nh l sau cho thy v mt l thuyt
4.3. DURATION CA TRI PHIU 87
lm nh vy s loi b c ri ro v li sut. Ch rng bn thn duration cng bin
ng theo li sut, v bi vy phi iu chnh li r tri phiu thng xuyn nu mun
c duration lun bng k hn cn li d kin ca khon u t.
nh l 4.4. Gi s l, vo mi thi im bt k, li sut ca mi tri phiu c trn mt
th trng no u bng nhau
(2)
, v ph giao dch bng 0. Gi s c mt r tri phiu
c iu chnh lin tc
(3)
sao cho ti mi thi im t (0 t T), duration ca n bng
T t. Khi gi tr ca r tri phiu ny vo thi im T chnh bng exp(Tr
0
).V (0),
trong r
0
l li kp lin tc ti thi im 0 ban u, v V (0) l gi tr ca r tri phiu
ti thi im ban u.
Ch l, trong nh l trn, mc li nhun K(0, T) = exp(Tr
0
) 1 ca r tri phiu
cho khong thi gian t 0 n T hon ton c xc nh ti thi im 0, khng b nh
hng ca bin ng ca li sut, v n chnh bng mc li nhun ca mt tri phiu
zero-coupon c thi hn T v li kp lin tc r
0
.
Chng minh. Ta s k hiu gi tr ca r tri phiu ti thi im t bng tng
V (t) =
i
(t)B
i
(t), (4.39)
trong B
i
l tri phiu th i trn th trng, B
i
(t) l gi ca n ti thi im t, v
i
(t)
l s lng tri phiu th i trong r. K hiu r(t) l mc li kp lin tc vo thi im
t, r(0) = r
0
. n gin, ta s gi s r(t) l hm kh vi lin tc theo t, cc hm
i
(t)
cng kh vi lin tc hu khp ni theo t tr mt s hu hn cc im gin on, v hm
V (t) l hm lin tc theo t.
Gi ca tri phiu B
i
ph thuc vo r = r(t) v t: B
i
= B
i
(t, r) = exp((t T
i
)r) (ta
coi mnh gi ca n bng 1), trong T
i
l thi hn (hay duration) ca B
i
tnh t thi
im 0. Bi vy ta c cc cng thc sau:
B
i
t
= rB
i
(4.40)
v
dB
i
dt
=
B
i
t
+
B
i
r
dr
dt
= rB
i
+
B
i
r
dr
dt
. (4.41)
(2)
tc l li sut c th thay i theo thi gian nhng khng ph thuc vo bn thn tri phiu
(3)
iu chnh tc l mua bn tri phiu trong r, nhng khng rt tin khi r hoc cho tin thm vo,
v cc coupon nhn c th cng li trong r u t tip cho n khi ht k hn T
Vic iu chnh r tri phiu nhng khng thm bt tin vo th hin qua ng thc
sau:
i
d
i
dt
B
i
= 0. (4.42)
ng thc trn c ngha l tng tin ca cc s mua bn tri phiu trong r ti thi im
t (lm thay i
i
) bng 0. Ni cch khc, ta c:
dV
dt
=
i
dB
i
dt
, (4.43)
tc l mc vi phn (infinitesimally) th s thay i gi tr ca r ti khon theo thi
gian l do s thay i gi ca cc tri phiu trong ti khon em li, ch khng phi do
s thay i cc s lng tri phiu em li. Theo gi thuyt, duration ca r tri phiu
ti thi im t bng T t, bi vy theo cng thc tnh duration ta c
T t =
V
r
.
1
V
=
1
V
i
B
i
r
, (4.44)
c ngha l
(t T)V =
i
B
i
r
. (4.45)
Kt hp cc ng thc trn li vi nhau, ta c
dV
dt
=
i
dB
i
dt
=
i
rB
i
+ (
i
B
i
r
)
dr
dt
= rV + (t T)V
dr
dt
, (4.46)
tc l
d(ln V )
dt
= r + (t T)
dr
dt
=
d(rt)
dt
T
dr
dt
(4.47)
(vi hu ht mi t, tr mt s hu hn cc im). Ly tch phn hai pha ca ng thc
trn theo t t 0 n T ta c
ln V (T)ln V (0) =
_
T
t=0
(
d(rt)
dt
T
dr
dt
)dt = r(T)TT(r(T)r(0)) = Tr(0) = Tr
0
, (4.48)
chnh l iu cn phi chng minh.
Bi tp 4.16. i) Gi s c hai loi tri phiu sau: loi A l tri phiu zero-coupon c mnh
gi 100$ v cn hn 1 nm. Loi B l tri phiu cn hn 4 nm vi mnh gi 100$ v mi
nm tr mt coupon 10$. Gi s li sut (ca c hai loi tri phiu) l 8%. Hy tnh gi
hin ti ca mi loi tri phiu, v lp mt r tri phiu t hai loi ny sao cho gi tr
ca r bng 10000$ v duration ca r bng 2 nm.
ii) Nu 1/4 nm sau li sut tng ln thnh 10%, th cn iu chnh r tri phiu ny th
no, c duration bng 7/4 nm vo thi im ?
4.4. NG LI SUT 89
4.4 ng li sut
Trong cc phn trn ca chng ny, khi ni n li sut hay li sut ca cc dng
tin t, chng ta coi rng li sut khng ph thuc vo k hn, tc l chng ta p dng
cng mt mc li sut cho cc khon tin (trong cng 1 dng tin t) nhn c cc
thi im khc nhau. Tuy nhin, trong thc t, li sut c ph thuc vo k hn: li sut
ca cc tri phiu vi cc k hn di ngn khc nhau c th khc nhau mt cch ng
k. Bi vy, mc li sut trong cng thc tnh gi tr chit khu cn c hiu l mc
li sut trung bnh, cho cc khon tin khc nhau ti cc thi hn khc nhau trong dng
tin t. i vi cc tri phiu coupon th mc li sut trung bnh c s dng ny cn
c gi l li sut hon vn (yield to maturity).
Trong mc ny v mc sau, chng ta s xem xt vic li sut ph thuc vo k hn
ra sao, v iu nh hng nh th no n li sut k hn (forward rates), tc l
li sut cho cc khon tin gi hoc vay hoc tri phiu trong tng lai nhng c tho
thun v gi c t thi im hin ti.
ng li sut (yield curve) l th biu hin s ph thuc ca li sut vo k
hn. Li sut trn ng li sut thng c hiu l li sut ca cc tri phiu chnh
ph ca mt nc no , vi hai 2 tnh cht sau: thanh khon cao (c th mua bn cc
tri phiu ny d dng trn th trng, vi chi ph thp, chnh lch gia gi mua v gi
bn khng ng k), v c ri ro v i tc coi nh bng 0 (tc l chnh ph lun lun
tr tin cho cc tri phiu chnh ph theo nh cam kt iu ny c th khng ng i
vi mt s nc vo mt s thi im, tuy nhin n c coi l ng cho phn ln cc
nc c th trng ti chnh pht trin).
Hnh 4.1 l mt v d minh ha: trn hnh ny c 3 ng li sut ca tri phiu
chnh ph c (Australia), mt ng ng vi thi im 22/12/2008, mt ng ng vi
thi im 22/06/2009, v mt ng ng vi thi im 22/12/2009. Cc ng ny cho
thy li sut ca tri phiu chnh ph c c ph thuc vo k hn, v c thay i theo
thi gian. V d, trong vng 1 nm t 22/12/2008 n 22/12/2009, li sut c i ln
khong 1.5% (v d nh li sut cho tri phiu chnh ph cn k hn 4 nm i ln t
3.5% thnh 5%), tr li sut rt ngn hn li hi i xung.
Trong iu kin kinh t pht trin n nh th ng li sut thng c dng iu
i ln, tc l k hn cng di th li sut cng cao. C th gii thch bng mt s l do
sau: 1) Cho vay ngn hn c nhiu la chn hn l cho vay di hn: khi ht hn cho vay
ngn hn c th quyt nh u t mi, hoc l tip tc cho vay hoc l u t ch khc
Hnh 4.1: Cc ng li sut ca tri phiu chnh ph Australia
hay hn, nhng ngi cho vay di hn th b kt tin di hn, khng c nhiu la chn
bng. 2) Gi ca tri phiu di hn giao ng mnh mi khi c giao ng v li sut (v
n c duration cao) trong khi gi ca tri phiu ngn hn khng giao ng ng k theo
li sut, c ngha l tri phiu di hn c ri ro v li sut cao hn nhiu so vi tri phiu
ngn hn. V d khi lm pht tng, dn n li sut tng, th ngi u t tri phiu di
hn c th b thit hi nng, trong khi ngi u t tri phiu ngn hn khng b thit
hi ng k. Bi vy, ngi u t tri phiu di hn thng i hi phi c li sut cao
hn, b li cho mc ri ro cao hn, v mc la chn km hn.
C nhng khi m ng li sut li i ngc, tc l c li sut ngn hn cao hn li
sut di hn. Nhng c li sut nh vy gi l nhng ng li sut b ln ngc
(inverted yield curve). Chng hn nh ng li sut c vo thng 12/2008 l mt
ng b ln ngc cho khong k hn t 0 n 1,5 nm. Mt v d khc l hnh 4.2 v
ng li sut ca ng Bng Anh (GBP) vo 02/2005. ng ny b ln ngc cho ton
b khong k hn t 1 nm n 30 nm.
C nhiu l d khin cho ng li sut c th b ln ngc. V d nh khng hong
v thanh khon ngn hn, khin cho li sut ngn hn tng vt ln, trong khi li sut di
hn th n nh hn, t thay i. Cng c th l do trin vng kinh t v di hn khng
c tt, c t c hi tt cho u t di hn. Khi d bo l tng trng kinh t s gim
i, ko theo li sut s gim i trong tng lai, tc l cc mc li sut k vng cho tng
lai gim i, th n ko cc mc li sut di hn hin ti gim i theo. (Tht vy, mc li
4.4. NG LI SUT 91
Hnh 4.2: ng li sut ca tri phiu chnh ph Anh vo 02/2005 (ngun: wikipedia)
sut hin ti cho k hn 2T c th coi l trung bnh ca mc li sut hin ti cho k hn
T v mc li sut k vng cho khong thi gian t T n 2T trong tng lai. Nu mc
li sut k vng ny gim i, mc li sut hin ti cho k hn 2T s phi gim theo).
Thng l khi m ng li sut b ln ngc mnh, th l du hiu ca khng hong
ti chnh hoc l suy thoi v kinh t.
ng li sut, hay ni cch khc l hm li sut R(t) theo bin k hn t, cho php
chng ta xc nh c chnh xc gi tr tng lai V (t) ca mt khon tin V (0) c ti
thi im hin ti, cho bt k thi im tng lai t no, theo cng thc
V (t) = V (0).(1 + R(t))
t
= V (0). exp(tr(t)), (4.49)
trong R(t) l li sut cho k hn t, tc l im (t, R(t)) l mt im nm trn ng
li sut, v r(t) = ln(R(t) +1) l li sut log tng ng. Tht vy, mt cch chc chn
bin khon tin V (0) hin ti thnh V (t) = V (0).(1 + R(t))
t
ti thi im t l mua tri
phiu chnh ph zero-coupon cn thi hn t v hng li sut R(t). (Trong trng hp
khng c tri phiu zero-coupon cn thi hn t th trn th trng ti chnh c nhng sn
phm tng hp (synthetic) cho kt qu tng t, v th ngi ta mi tnh c li sut
R(t)). Hn na, khng c cch u t no m chc chn bin c khon tin V (0) hin
ti thnh mt khon tin ln hn V (t) vo thi im t trn th trng ti chnh d tnh
hung no xy ra, v nu c cch nh vy th tc l c c hi kinh doanh chnh lch gi
(bn khng tri phiu zero-coupon cn thi hn t v ly tin bn c u t theo cch
), tri ngc li vi nguyn l no-arbitrage.
i vi mt dng tin t C
1
, C
2
, . . . xy ra ti cc thi im t
1
, t
2
, . . . trong tng lai,
th cng thc chnh xc tnh gi tr hin ti (hay l gi ca n vo thi im hin ti)
l
V (0) =
i
(1 + R(t
i
))
t
i
C
i
, (4.50)
v tm li sut n khi o hn R ca dng tin , cn gii phng trnh sau theo
bin R:
i
(1 + R)
t
i
C
i
=
i
(1 + R(t
i
))
t
i
C
i
. (4.51)
Bi tp 4.17. Gi s li sut tri phiu chnh ph M cho k hn 1 nm l 4%, k hn 2
nm l 4.2%, k hn 3 nm l 4.3%, v k hn 4 nm l 4.4%. Xt mt tri phiu coupon
chnh ph cn k hn 4 nm, mnh gi 100$, tr li coupon 5$ sau mi nm. Tnh gi (=
gi tr hin ti) ca tri phiu coupon ny, li sut n khi o hn ca n, v duration
ca n (dng li sut n khi o hn lm li sut khi tnh duration).
Bi tp 4.18. Tm v phn tch mt s ng li sut ca Vit Nam v trn th gii.
Ghi ch 4.7. Cc li sut trn ng cong li sut c th c dng nh li sut tham
chiu (reference rates) da vo cc li sut cho cc phm vay n khc nhau c
xc nh. Khi cho mt i tc vay, ngoi vn k hn, cn vn mc tn nhim (credit
rating), hay ri ro v n (default risk), s c bn n trong Mc 4.6. Trn th gii
c mt s cng ty, trong c Moodys, Standard and Poors, v Fitchs, chuyn nh
gi chm im mc tn nhim ca cc doanh nghip v t chc, theo thang im gi l
credit rating. V d, Standard and Poors cho credit rating cc mc sau, xp hng t
cao xung thp: AAA (n nh nht c th), AA, A, BBB, BB (bp bnh theo tnh hnh
kinh t Vit Nam vo nm 2009 c nh gi qung mc ny), B, CCC, CC, C, CI
(khng tr c li ng hn), R, SD, D (coi nh ph sn), NR (khng xp hng). Credit
rating m cng cao th c th vay c vi li sut cng thp, tc l chnh lch gia li
sut tin vay v li sut cho bi ng cong li sut cng thp. Nu i gi tin vo nh
bng, th ni chung khng th c li sut cao hn l li sut cho bi ng cong li
sut.
4.5 Cu trc k hn tng qut
Nh chng ta thy cc phn trn, khi ta bit ng cong li sut (t, R(t)) (vi
mi t > 0), th tc l ta bit gi tr tng lai V (t) ca mt khon tin V (0) hin ti cho
4.5. CU TRC K HN TNG QUT 93
mi thi im t trong tng lai, theo cng thc
V (t) = V (0)(1 + R(t))
t
= V (0) exp(tr(t)) =
V (0)
B(0, t)
, (4.52)
trong B(0, t) = exp(tr(t)) = (1 + R(t))
t
l k hiu gi ti thi im hin ti ca
tri phiu chnh ph zero-coupon cn k hn l t v c mnh gi l 1.
n gin, tt c cc tri phiu m ta ni n trong phn ny s l tri phiu chnh
ph zero-coupon c mnh gi bng 1.
Cc li sut R(t) v li sut log r(t) = ln(R(t) + 1) c gi l li sut giao ngay
(spot rates).
Mt cch tng qut hn, ta s dng k hiu B(s, t) ch gi, c xc nh vo
thi im hin ti, cho mt tri phiu s mua vo thi in s v o hn vo thi im
t (t > s). Tc l, vo thi im hin ti, ngi ta c th lm mt hp ng k hn
(4)
(forward contract), nh sau: bn A s bn cho bn B mt tri phiu chnh ph, ti thi
im s (thi im thc hin hp ng), vi gi c nh l B(s, t), mt tri phiu o hn
vo thi im t. Theo tho thun ca hp ng ny, khi n thi im s, d cho gi ca
tri phiu chnh ph zero-coupon mnh gi 1 o hn ti thi im t c bn trn th
trng vi gi bao nhiu, th bn A vn c phi bn n cho bn B vi gi B(s, t) v bn
B vn c phi mua t bn A vi gi nh vy. Gi B(s, t) l gi c chn vo thi im
hp ng c thit lp (thi im 0) sao cho hai bn A v B khng c bn no b thit,
hay ni cch khc, khng c c hi kinh doanh chnh lch gi vi hp ng nh vy.
Mnh 4.5. Cc gi B(s, t) tha mn ng thc sau:
B(0, t) = B(0, s)B(s, t) (4.53)
vi mi 0 s t.
Chng minh. Nu nh B(0, t) < B(0, s)B(s, t) th c chin lc kinh doanh chnh lch gi
sau: ti thi im 0, mua mt tri phiu cn k hn t vi gi B(0, t), bn B(0, t)/B(0, s)
tri phiu cn k hn s vi gi B(0, s)B(0, t)/B(0, s) = B(0, t), v lp mt hp ng k
hn bn ti thi im s mt tri phiu o hn ti thi im t, vi gi B(s, t). Tng s
tin b ra ti thi im 0 l 0. Khi n thi im s, th bn li 1 tri phiu k hn t theo
hp ng k hn c s tin l B(s, t), ng thi phi tr mt s tin l B(0, t)/B(0, s)
cho B(0, t)/B(0, s) tri phiu k hn s bn, v nh vy ti thi im s th khng cn
(4)
nhc li rng, t k hn trong cm t hp ng k hn l ch thi im m hp ng c
thc hin trong tng lai, ch khng phi l ch k hn ca tri phiu
gi tri phiu hay hp ng no, v c li nhun l B(s, t) B(0, t)/B(0, s) > 0. Nu
nh B(0, t) > B(0, s)B(s, t) th lm ngc li nh trn (i bn thnh mua, mua thnh
bn), ta s c mt li nhun dng thi im s. Nh vy, nu bt ng thc xy ra
theo chiu no th ta cng c c hi kinh doanh chnh lch gi. Bi vy, theo nguyn l
no-arbitrage, ta phi c ng thc B(0, t) = B(0, s)B(s, t).
Ngi mua tri phiu, ti thi im s, tri phiu c k hn n t, theo hp ng k
hn thit lp ti thi im 0, c th coi l ngi u t tri phiu trong khong thi gian
t s n t, nhng vi li sut u t c bit trc t thi im 0, ch khng phi n
thi im s mi bit. K hiu li sut ny l R(s, t), v li sut log tng ng l r(s, t),
ta c
B(s, t) = (1 + R(s, t))
(ts)
= exp((t s)r(s, t)), (4.54)
bi v khong thi gian u t l t s, v theo u t ny th mt khon tin l B(s, t)
vo thi im s s tr thnh 1 vo thi im t.
Cc li sut R(s, t) v li sut log r(s, t) c gi l cc li sut k hn (forward
rates), phn bit vi cc li sut giao ngay R(0, t) = R(t) v r(0, t) = r(t). Ni mt
cch nm na, cc li sut k hn l cc li sut ca cc khon u t hay vay n c
tha thun trc theo cc hp ng k hn (v khi n k hn ca hp ng th mi
thc hin).
Mnh 4.6. Cc li sut log k hn r(s, t) c th c tnh theo cng thc sau:
r(s, t) =
tr(0, t) sr(0, s)
t s
(4.55)
vi mi 0 s < t.
Chng minh. Mnh 4.5 cng vi cc cng thc tnh li sut cho ta ng thc sau:
exp(tr(0, t)) = exp(sr(0, s)) exp((t s)r(s, t)). (4.56)
Ly log ca c hai v ri i du, ta c tr(0, t) = sr(0, s) + (t s)r(s, t), t suy ra
cng thc cn chng minh.
Ghi ch 4.8. Vi gi s l cu trc k hn tng qut tha mn nguyn l no-arbitrage,
tc l khng c chnh th gi, th li sut log k hn r(s, t) bng chnh li sut log k
vng ca th trng ti thi im hin ti, theo mt phn b xc sut trung ha ri ro,
cho cc tri phiu zero-coupon pht hnh vo thi im s v o hn vo thi im t.
Chng minh ca iu ny l bi tp cho bn c.
4.6. CU TRC RI RO CA LI SUT 95
Hm li sut log r(s, t) theo hai bin s, t (bin s l bin k hn ca hp ng k hn,
bin t l bin k hn ca tri phiu) c gi l cu trc k hn tng qut (general
term structure) ca li sut. Cng thc (4.55) cho thy cu trc k hn tng qut c
hon ton xc nh bi hm li sut log giao ngay r(t) = r(0, t) mt cch kh n gin.
Hm li sut log giao ngay r(t) cn c gi l cu trc ban u (initial structure) ca
li sut.
Ghi ch 4.9. Cu trc k hn tng qut rt quan trng trong vic xc nh li sut ca
cc hp ng vay n k hn. V d, hnh dung mt doanh nghip ln k hoch xy nh
my mi pht trin sn xut, v cn vay tin cho vic . Nhng khng phi l cn
vay ngay, m l 1 nm sau mi cn vay. Nu nh doanh nghip ny i mt nm ng
n lc cn tin mi i vay, th c th s phi chu ri ro v li sut: nu lc m li
sut tng ln ngoi d kin, th khon vay s tr nn t hn d kin, nh hng xu n
ti chnh ca doanh nghip, v c th bin mt d n ang t li tr thnh l. trnh
ri ro , doanh nghip s lm mt hp ng k hn t by gi cho khon vay vo 1 nm
sau, vi mt li sut k hn xc nh t by gi. Cu hi l li sut k hn bng bao
nhiu l hp l ? Cu tr li ph thuc vo tn nhim v ti chnh (credit rating) ca
danh nghip, v cu trc k hn tng qut. (Khi tn nhim mc cao nht, c th
vay vi li sut k hn cho bi cu trc k hn tng qut).
4.6 Cu trc ri ro ca li sut
Mt t chc hay c nhn i vay n lm n hay tiu dng, nhng sau , do lm
n tht bt hoc do cc l do khc, c th khng tr c n theo tha thun m hon
n hay qut n. Nhng khon n kiu nh vy c gi l n xu. Hu nh trong danh
sch ti sn ca nh bng no cng c nhng khon n xu, ln n 2% hoc thm ch
hn th, tng d n ca nh bng, v y l nhng khon n gy l cho nh bng.
c tin b l cho nhng khon n xu nh vy, nh bng phi cho vay vi li sut cao
hn ng k so vi li sut khng c ri ro (tc l li sut cho nhng khon vay m xc
sut thu hi c li c tin vn ln tin li ng hn l 100%). S chnh lch mt
phn l d tr b l cho cc n xu, phn cn li l em li li nhun cho nh bng.
Nu nh xc sut mt khon n tr thnh n xu cao, th tc l nguy him cao
i vi ngi cho vay, d tr b l cho n xu cng phi cao, v do chnh lch gia li
sut ca khon n so vi li sut khng ri ro cng phi cao. Ngc li, nu nh kh
nng mt khon n tr thnh n xu rt thp, th khng cn nhiu d tr b l cho n
xu, v do khng cn chnh lch cao gia li sut ca khon n v li sut khng
c ri ro. y chnh l s ph thuc ca li sut vo mc ri ro v n. S chnh lch
gia li sut ca khon n c ri ro v n v khon n khng c ri ro (cho cng mt
thi hn) c gi l ph ri ro (risk premium).
Xc sut v n ca bn i vay (bn i vay c th l chnh ph, t chc, doanh
nghip, hay c nhn) thng c nh gi theo mt h thng thang im no , gi l
mc tn nhim (credit rating). C nhng cng ty nh Moodys, Standard and Poors
(vit tt l S&P) v Fitch chuyn v nh gi cho im mc tn nhim cho cc chnh ph
v doanh nghip ln. Cc thang im ca Moodys v S&P nh sau
(5)
:
Moodys S&P ngha V d nm 2010 Premium
Aaa AAA an ton nht General Electric 80
Aa AA cht lng cao Walmart, PepsiCo 90
A A trn trung bnh McDonalds, Boeing 120
Baa BBB trung bnh Motorola, FedEx 180
Ba BB di trung bnh Ford, Chnh ph Vit Nam 350
B B ri ro cao Levi Strauss 600
Caa CCC, CC ang kht n Integrated Electrical Services 1300
C D ang v n Northwest Airlines
Ct cui cng ca bng l c lng chnh lch v li sut (risk premium) so vi
mt tri phiu chnh ph M (c coi l khng c ri ro), tnh theo basic points. V
d nh 350 basic points c ngha l chnh lch li sut l 3.5%, nu tri phiu chnh
ph M c li sut khong 3% th li sut ca bn vay vi mc tn nhim BB s phi vo
khong 6.5% (nu l vay tin USD). Cc con s ny ch c tnh cht tham kho, v cng
khng phi l hng s. Khi m risk appetite (s thch mo him) ca cc nh u t
tng ln trn th trng, th ph ri ro (risk premium) cho cc khon n s gim i, v
ngc li, khi cc nh u t tr nn lo ngi hn vi ri ro (v d nh v k kinh t suy
thoi, khin cc nh u t d dt hn) th ph ri ro s tng ln.
Cc tri phiu c mc tn nhim t BBB (Baa) tr ln c gi l c investment
grade (thch hp cho cc qu u t t mo him, v d nh cc qu hu tr), cn t BB
(Ba) tr xung th c gi l speculative bonds (tri phiu u c), hay cn c gi
l junk bonds (tri phiu ph phm), ch thch hp vi cc nh u c hay u t sn
sng chp nhn mo him cao.
(5)
Xem chi tit v cc thang im tn nhim ti: http://en.wikipedia.org/wiki/Credit_rating
4.6. CU TRC RI RO CA LI SUT 97
Mc tn nhim ca mt doanh nghip hay t chc khng phi l mt hng s, m
thay i theo thi gian, ph thuc vo vic tnh hnh ti chnh ca doanh nghip hay t
chc tt ln hay xu i. V d, mc tn nhin ca nc Hy Lp b gim lin tip trong
giai on 2009-2010, v ang t investment grade A xung thnh junk BB, do chnh
ph nc ny n nn qu nhiu v tr nn c nguy c v n.
mt s ni trn th gii, cng c chm im tn nhim ti chnh (gi l im tn
dng, credit score) i vi cc c nhn
(6)
. V d, M, c mt h thng tnh credit score
cho cc c nhn c s dng rng ri, do cng ty Fair Isaac Corporation (FICO) thit
lp, vi thang im t 300 n 850, v im tn nhim ca mt ngi M trung bnh theo
h thng ny l 723. Ngoi FICO cn c mt s cng ty khc tham ra vic tnh im tn
dng, vi cc cch tnh khc nhau
(7)
. Ngi no c im tn nhim cng cao, th cng d
vay c tin nh bng vi li sut thp
(6)
Xem: http://en.wikipedia.org/wiki/Credit_score
(7)
Xem: http://en.wikipedia.org/wiki/Credit_score_(United_State)
Chng 5
Phn tch gi c phiu
Mt trong nhng ng dng quan trng nht ca ton ti chnh l u t chng khon,
da trn cc l thuyt v qun l danh mc u t, v cc l thuyt v phn tch gi tr
v s bin ng gi c ca cc chng khon, trong c hai loi hnh chng khon ph
bin nht l tri phiu v c phiu. u t vo tri phiu thng c gi l loi hnh
u t c thu nhp c nh (fixed-income investments), tng i t ri ro, v ngi gi
tri phiu thng bit trc s c nhn li nhun l bao nhiu, v gi ca tri phiu
trn th trng (c bit l cc tri phiu ngn hn) t khi c bin ng mnh. i vi
cc cc c phiu th ngc li, mc thu nhp rt kh xc nh trc v c khi l m, v
gi c thng thay i mnh hn nhiu so vi tri phiu. Bi vy, ni chung u t vo
c phiu mo him hn so vi u t vo tri phiu, nhng b li n cng cho k vng
li nhun cao hn.
trong chng ny v chng 7, chng ta s tm hiu nhng yu t nh hng n
gi tr v s bin ng gi c ca cc c phiu, v vic xy dng cc m hnh ton hc
nhm m t v nghin cu s bin ng gi. Trong Chng 6 chng ta s bn n vic
qun l danh mc u t chng khon.
5.1 Gi th trng v gi tr tht
Khi phn tch c phiu, chng ta cn phn bit gia hai khi nim gi th trng
(market price, gi tt l gi ) v gi tr tht (fair value), hay cn gi l gi tr ni ti
(intrinsic value). Gi th trng ca c phiu l khi nim n gin d hiu: l gi
giao dch ca c phiu trn th trng, tc l c ngi mua v ngi bn trn th trng
vi gi nh vy. V d, gi ng ca (tc l gi giao dch cui cng ca phin giao dch)
99
100 CHNG 5. PHN TCH GI C PHIU
ca c phiu ca cng ty Vietcombank (Ngn hng Ngoi thng Vit Nam, m chng
khon: VCB) trn th trng c phiu Vit Nam ngy 22/03/2010 l 44.8 (nghn VND /
c phiu). l gi th trng, v thng tin v gi c th ly c d dng t nhiu
ngun tin khc nhau, v d nh cc trang web v ti chnh hay cc cng ty chng khon.
Gi tr tht l mt khi nim tru tng v t nh hn nhiu khi nim gi th trng.
Chng ta c th nh ngha n nh sau:
nh ngha 5.1. Gi tr tht (fair value) ca mt cng ty c phn no (ti thi
im t
0
) l gi tr hin ti k vng (ti thi im t
0
) ca dng tin t (v ti sn qui i
ra tin) m cng ty s em li cho cc c ng. Gi tr tht ca mt c phiu ca mt
cng ty c phn bng gi tr tht ca cng ty chia cho tng s c phiu ca cng ty.
Mt cng ty c phn c th tn ti mi mi (v mt l thuyt) hoc l s thay i
cu trc vo mt thi im no , khng cn l cng ty c phn c na (y l iu ni
chung s xy ra vi mi cng ty phn ln cc cng ty c phn ln ca th gii vo thi
im cch y 1 th k by gi mt i, nhng ch cho cc cng ty mi mc ln). V
d, n c th t gii th, hoc ph sn, hoc tch ra thnh nhiu cng ty ring bit, hoc
st nhp li vi cng ty khc, v.v. Trong sut qu trnh tn ti ca mt cng ty c phn
(tnh t mt thi im no , cho n khi n khng cn na), n c th chia cho cc c
ng ca mnh cc li tc v cc ti sn khc (v d nh c phn trong cc cng ty mi),
v l ton b nhng g m cc c ng s nhn c. Tng gi tr ca cc li tc v
cc ti sn ny chnh l gi tr tht ca cng ty (i vi cc c ng). Nh chng ta
thy trong Chng 4, nhng khon tin m trong tng lai mi nhn c th cn phi
c chit khu i theo mt mc li sut no , tnh ra gi tr hin ti. i vi cc
ti sn khc cng vy. Bi vy, nh ngha gi tr tht pha trn s dng gi tr hin ti,
tc l chit khu, ca dng tin t v ti sn qui i ra tin.
Ch rng, cc khon li nhun ca mt cng ty c phn ph thuc rt nhiu vo
cc yu t c th coi l ngu nhin, s xy ra trong tng lai, khng bit trc c, v
nm ngoi tm kim sot ca cng ty. Bi vy, ta cng khng th bit trc c l dng
tin t (v ti sn qui ra tin) m cng ty s em li trong tng lai cho c ng s thc
s l bao nhiu, m chng ta ch c th xt dng tin t nh l mt bin ngu nhin,
v ni n gi tr k vng ca bin ngu nhin (trn khng gian cc tnh hung c
th xy ra, vi xc sut thc t v kh nng xy ra ca mi tnh hung). chnh l
nguyn nhn ti sao c t k vng trong nh ngha gi tr tht.
Tng t nh gi c phiu, gi tr tht ca c phiu cng thay i theo thi gian, khi
5.1. GI TH TRNG V GI TR THT 101
m c nhng thng tin mi v tnh hnh kinh t v tnh hnh lm n ca cng ty c phn,
lm thay i k vng v li nhun v v gi tr ca cc ti sn ca cng ty.
Khc vi gi th trng, khng c mt ngun tin no c th cho ta bit l gi tr tht
ca mt c phiu vo mt thi im no l bao nhiu. Chng ta ch c th c lng
gi tr tht , da trn cc thng tin c c, vi tin cy v khong tin cy no
(ni theo ngn ng ca thng k ton hc), ch khng th bit c chnh xc gi tr
tht. Vic c lng ny s c bn n trong phn sau ca chng. Ta s coi l, vi mi
c phiu, ti mi thi im, ch c 1 gi tr tht (m khng ai bit l bng bao nhiu),
nhng c th c nhiu c lng khc nhau v gi tr tht , v gi tr tht c lng
(estimated intrinsic value) c th c hnh dung nh l mt bin ngu nhin. Bin ngu
nhin c th c di gi tr rt rng: khng him trng hp m trong cng mt thi
im, cho cng mt c phiu, nh u t ny c lng gi tr tht ca n cao gp 2-3
ln so vi nh u t khc.
Khi m nn kinh t c du hiu pht trin, th ni chung trin vng li nhun ca
cc cng ty c phn tng ln, ko theo gi tr tht ca chng tng ln, v thng l gi
c phiu cng tng ln trong nhng giai on kinh t tng trng. Ngc li, khi kinh
t bt u c du hiu suy thoi, th k vng li nhun gim i, v gi c phiu trn th
trng cng gim i. V nguyn tc, gi ca c phiu trn th trng phi phn nh gi
tr tht ca cng ty, tc l ni chung khi gi tr tht tng ln th gi c phiu tng ln,
khi gi tr tht gim i th gi c phiu gim i, v c phiu no c gi tr tht ln hn
th cng s c gi cao hn. Trong iu kin l tng th gi phi trng vi gi tr tht.
Tuy nhin, trn thc t, rt t khi m gi c phiu trng vi gi tr tht. Khng cn phi
xc nh c gi tr tht, chng ta cng c th nhn thy iu . Tht vy, gi tr tht
ca cc cng ty c phn c thay i theo thi gian, nhng thng l thay i mt cch
t t v mi thay i ln thng i hi mt thi gian di. Trong khi , gi c phiu
c th thay i rt nhanh trong mt thi gian ngn. Trong qu trnh thay i gi nhanh
nh vy, nu c mt thi im no m gi bng gi tr tht, th ti nhng thi im
sau gi s khng cn bng gi tr tht na, m c th l cao hn rt nhiu hoc thp hn
rt nhiu so vi gi tr tht.
Mt trong nhng l do khin cho gi c th lch nhiu so vi gi tr tht chnh l
tnh bt xc nh ca gi tr tht. Gi c phiu phn nh gi tr tht, khng phi l mt
cch trc tip, m l thng qua cc gi tr tht c lng, bi v cc nh u t c th
c lng gi tr tht ch khng bit chnh xc n bng bao nhiu. Khi m c nhiu c
lng khc nhau, chnh nhau nhiu, to ra mi di gi tr c lng ln, th gi c phiu
cng khng bit l phi chn c lng no, v bi vy n d b giao ng trong mt
di ln. Nhng khng phi l l do duy nht khin cho gi c phiu khc vi gi tr
tht. Cc yu t th trng, nh l cung cu v tm l th trng, cng nh hng rt
ln n s bin ng ca gi c phiu.
Hnh 5.1: Gi c phiu ca CHKP trong 2 nm 1998-1999
V d 5.1. Cng ty Checkpoint Software (m chng khon trn th trng M: CHKP)
l mt cng ty phn mm tin hc kh ln vi sn phm c bn khp ni trn th gii,
chuyn v an ton thng tin trn internet. Vo thi im u nm 2010, n c gi c
phiu khong 34$, vn ha vo khong 7 t USD, v li nhun trn 350 triu USD mt
nm. Hnh 5.1 l th gi ( iu chnh) ca CHKP trong 2 nm 1998-1999. Nhn vo
th ny ta thy, trong nm 1998 c lc gi c phiu CHKP i xung mt hai phn ba,
t qung 7.5$ cn qung 2.5$. Vo u nm 1999 cng c giai on c phiu CHKP i
xung mt mt na, t gn 10$ cn di 5$. Gi c phiu im thp nht v im cao
nht ca CHKP trong hai nm 1998-1999 chnh lch nhau n 15 ln. Nhng iu
khng c ngha l gi tr tht ca CHKP c lc gim nhng 2/3 trong giai on , hoc
l c lc gi tr tht tng n 15 ln trong vng hn 1 nm. Trn thc t, trong hai nm
1998-1999 cng ty CheckPoint Software lun lm n rt tt, sn phm c sc cnh tranh
mnh, mc li nhun cao, v pht trin nhanh ( mc 40%/nm lc ), trin vng sng
sa v nhu cu an ton internet trn th gii cng ngy cng tng. C th ni l gi tr
tht ca CHKP lun lun tng ln trong giai on 19981999, v nhng lc gi CHKP
gim khng phi do l gi tr tht ca n gim, m l do cc yu t khc ca th trng.
Trong ba nm 2000-2002, CHKP tip tc giao ng ln xung nhiu ln rt mnh, c
lc ln trn 110$, ri sau li gim xung ch cn hn 10$. Phn ln s giao ng l
do cc yu t khc to nn, ch gi tr tht ca CHKP khng thay i nhanh n vy.
y ta s khng i vo phn tch c lng gi tr tht ca CHKP, nhng ta c th phn
on rng, khi CHKP cn gi di 2.5$ trong nm 1998, th gi qu thp so vi gi
5.1. GI TH TRNG V GI TR THT 103
Hnh 5.2: Gi c phiu ca CHKP trong 3 nm 2000-2002
tr tht ca CHKP vo lc
(1)
, nhng khi gi ca CHKP i ln trn 110$ vo cui nm
2000 th gi li vt ln qu cao so vi gi tr tht.
C phiu tuy c lc ln rt cao, v c lc xung rt thp, so vi gi tr tht, nhng
trong mt qu trnh di nhiu nm, c th k vng rng gi c phiu s c nhiu ln giao
vi gi tr tht. iu ny gn ging nh vic hu nh chc chn l mt chuyn ng ngu
nhin (random walk) 1 chiu s c v s ln i qua im 0. Thc ra, vic gi c phiu
quay v gi tr tht d dng xy ra hn nhiu so vi vic mt random walk quay v im
ban u, bi v khi gi i ra qu xa so vi gi tr thc n mc nh u t no cng nhn
ra, th s c lc y ngc gi li v gn gi tr tht, trong khi trong mt random walk
khng c lc y ngc nh vy. Tuy v ngn hn, gi v gi tr tht c th khc nhau
nhiu v hon ton c th chuyn ng ngc hng vi nhau, nhng v di hn, th ni
chung gi s i theo gi tr tht. C th ni mt cch nm na rng, quan h gia gi v
gi tr tht tng t nh l quan h gia mt con ch v ngi ch ca n: ch i u
th ch i theo y, nhng c lc ch chy ln pha trc c lc li chy xung pha sau,
ch him khi i ngang bng vi ch.
V d 5.2. Trong giai on 15 nm, t u nm 1986 n cui nm 1999, gi c phiu
ca hng Microsoft (m chng khon trn th trng M: MSFT) tng ln khong 500
ln, t qung 0.1$ (sau khi iu chnh sau cc ln chia nh c phiu) ln thnh qung
50$ . Tt nhin, trong giai on , khng phi gi c phiu lc no cng tng, m cng
c nhng lc n gim vi chc phn trm. Th nhng, nu tnh cho c 15 nm, th trung
bnh mi nm gi c phiu tng ln hn 50% (theo cp s nhn). 15 nm cng l thi
k hong kim ca hng Microsoft, t mt cng ty tng i nh tr thnh mt cng ty
khng l, nh v tr gn nh c quyn trn th trng phn mm my tnh c nhn.
(1)
lc ch s P/E ca CHKP di 5, cng ty khng b mc n v ang pht trin mnh
Ghi ch 5.1. Mt iu th v l gi ca c phiu cng c th nh hng ngc li n
gi tr tht ca n. V d, nu mt cng ty c phn thy gi c phiu ca mnh ang cao
hn nhiu so vi gi tr tht, th cng ty c th pht hnh thm c phiu (secondary
offering), bn ra vi gi rt cao . Vic bn ny s lm tng gi tr tht ca c phiu ca
cng ty (gi tr tht mi ny l mt s trung bnh cng c trng gia gi tr tht c v
gi c phiu em bn), tuy rng c th lm cho nhng c ng mi ca cng ty b thit
(nhng ngi mua vi gi cao hn gi tr tht), nhng li lm c li cho cc c ng c.
Ngc li, nu cng ty thy gi c phiu ang thp hn nhiu gi tr tht, th c th mua
li mt phn c phiu ca chnh mnh (share buy-back), lm gim lng c phiu i, v
vic mua li ny khi s lm tng gi tr tht ca c phiu. Suy lun ngc li, khi trn
th trng c cng ty no mua li c phiu ca mnh th c th l du hiu c phiu
ang undervalued (c gi thp hn gi th tht).
5.2 c lng gi tr tht ca c phiu
Vic phn tch gi tr tht ca mt cng ty c phn l mt vic phc tp, i hi
nhiu kin thc v kinh nghim v ti chnh doanh nghip (corporate finance) v nhiu
kin thc khc. Mun nh gi c chnh xc mt cng ty no , th phi tm hiu
n rt su, nh gi tng li th v yu th ca n, cc i th cnh tranh vi n, gi
tr thc s ca tng ti sn ca n, trin vng ca tng th trng m n tham gia, v.v.
Nhng ci nm ngoi khun kh ca quyn sch ny. y, chng ta s ch im qua
mt s cch c lng gi tr kh th s, tng i d s dng, tuy chnh xc khng
cao, nhng cng cho mt ci nhn s b v cc c phiu.
Mt bi tp thc hnh quan trng cho bn c: hy c lng gi tr ca mt s c
phiu ln trn th trng chng khon Vit Nam v cc th trng chng khon th gii.
Tm mt s bo co ca cc cng ty chng khon, ngn hng u t, hay cc dch v t
vn u t, v nh gi gi tr ca cc c phiu, c v phn tch cc bo co .
5.2.1 Dng tin li tc, v li sut ca c phiu
Mi cng ty c phn u c vn ch s hu (equity, hay cn gi l book value),
bng tng s ti sn (assets) tr i tng s n (liabilities). Tuy nhin, gi tr ca mt
cng ty c th rt khc xa vn ch s hu ca n. Cng c vn ch s hu nh nhau,
nhng cng ty no lm ra nhiu li nhun hn, em li nhiu c tc cho c ng hn, th
5.2. C LNG GI TR THT CA C PHIU 105
gi tr phi cao hn l cng ty c t li nhun. Nhng cng ty siu li nhun c th c gi
tr ln gp nhiu ln vn ch s hu. c lng gi tr ca mt cng ty, mt iu rt
quan trng l c lng tng s li nhun m cng ty s em li trong tng lai cho
cc c ng, thng l di hnh thc c tc (dividend), tc l tin li nhun tr hng
nm cho c ng.
Gi s cng ty tn ti vnh vin, v c tc ca cng ty tr vo nm th n (tnh t
thi im hin ti) s l mt i lng (ngu nhin) no c k vng bng D
n
. (Nu
tr c tc nhiu ln mt nm, v d mi qu mt ln, th qui i ra theo nm). Khi ,
dng tin t m nh u t s nhn c trn u 1 c phiu c cc gi tr k vng l:
D
1
, D
2
, D
3
, . . .. Nu nh y l tt c nhng g m c phiu em li cho nh u t (tc
l nh u t s khng nhn c thm ti sn no khc ngoi cc c tc ny), th gi
tr ca c phiu chnh bng gi tr hin ti ca dng c tc k vng ny, tc l ta c th
s dng cng thc dng tin chit khu Chng 4 c lng gi tr c phiu vo thi
im hin ti:
V =
n=1
D
n
(1 + R)
n
, (5.1)
trong R l mt mc li sut thch hp (cao hn l li sut khng ri ro, v n c
tnh n ri ro ca cc c phiu). Vic xc nh R s c bn pha di.
Cng thc (5.1) rt kh s dng trong thc t, v rt kh c lng cc c tc k vng
D
n
khi n ln. n gin ho, ta s tm coi rng cng ty c mt tc tng trng
(trung bnh trong rt nhiu nm) l g, v k vng c tc hng nm tng theo tc ny:
D
n
= (1 + g)
n
D
0
. Khi ta c trng hp ring sau ca cng thc c lng trn:
V =
n=1
D
0
(1 + g)
n
(1 + R)
n
=
(1 + g).D
0
R g
,
hay c th vit l
V =
D
1
R g
. (5.2)
(Tt nhin, tc tng trng trung bnh phi nh hn li sut, tc l ta phi c Rg > 0,
nu khng th gi tr ca cng ty s l v cng, l mt iu khng th xy ra).
Cng thc (5.2) cho thy, gi tr ca cng ty ph thuc vo mc li sut R mt cch
rt nhy: n gn nh l t l nghch vi R. Trong trng hp c bit, khi g = 0, th
ta c cng thc n gin V = D
0
/R (tng t nh cng thc gi tr hin ti ca tri
phiu v thi hn), v khi th V ng l t l nghch vi mc li sut R.
Quay li cu hi: R bng bao nhiu?
Nu nh dng c tc ca c phiu cng chc chn s u n n nh nh dng tin
coupon ca tri phiu v thi hn, th c phiu lc khng c g ri ro hn tri phiu,
v nu nh vy th t R = R
0
l hp l, trong R
0
l li sut ca tri phiu v thi
hn khng ri ro. Ta s ni ngn gn l R
0
= li sut khng ri ro. Th nhng, li
nhun ca cc cng ty c phn thng khng u n, c ri ro, v bi vy R ,= R
0
. S
chnh lch RR
0
c th c gi l ph mo him dnh cho nhng nh u t c phiu
chp nhn ri ro v li nhun. Bi vy ta c th vit
R = li sut khng ri ro + ph mo him (5.3)
Ph mo him ny ph thuc vo mc ri ro ca cng ty, v ph thuc vo th trng
(th trng chp nhn ph bao nhiu cho mc ri ro nh vy).
Mt h qu ca cng thc trn l, nu gi s ph ri ro l khng i, khi mc li
sut R c thay i theo mc li sut khng ri ro R
0
: nu R
0
gim th ko theo R
gim, v lm cho gi tr ca c phiu theo cng thc (5.2) tng ln. iu ny gii thch
mt phn v sao khi li sut ca tin trn th trng gim (v d chnh ph tuyn b
gim li sut), th gi c phiu thng tng ln, v ngc li, khi li sut ca tin gi
tng ln th th trng c phiu i xung.
c lng ph mo him RR
0
, ta c th lm nh sau: Nhn hai v ca cng thc
(5.2) vi (R g)/V , ri cng vi g, ta c
R = g +
D
1
V
. (5.4)
Th nhng, g + D
1
/V chnh l li sut ca u t c phiu, gm c 2 phn: g l tc
tng trng ca gi c phiu (khi cng ty tng trng vi tc trung bnh l g, th gi
c phiu ca n cng c tc tng trung bnh l g), v D
1
/V l li sut c tc trn gi
tr tht (nu gi th trng bng gi tr tht th li sut c tc bng s ). Tc l ta
c cng thc c lng sau:
R = li sut trung bnh ca c phiu (5.5)
Cng thc trn cho php c lng R v ph mo him R R
0
, da trn cc s liu v
li sut do u t c phiu em li, v li sut tri phiu di hn.
V d 5.3. Trn th trng M, nu tnh trong sut gn 140 nm k t nm 1871 n
nm 2009, li sut trung bnh hng nm ca c phiu (CAGR, cumulative annual growth
rate, tc l tnh theo trung bnh nhn), c k c li tc v tng gi, l gn 9%/nm. Nu
tr i lm pht th li sut trung bnh thc s hng nm ca c phiu M l vo khong
6.7%, nhng y ta dng mc li sut cha tr i lm pht. Nh vy, i vi cc c
phiu M, ta c th c lng R = 9%. Vo u nm 2010, mc R
0
trn th trng M
vo khong 4%, v nh vy ph mo him cho c phiu l vo khong 9% 4% = 5%.
(Cc thng tin trn ly t internet). Nh vy, trn th trng M, ta c th coi l i vi
mt cng ty trung bnh, c mc mo him trung bnh, th cn ly R = 9%. Nu mc mo
him ca cng ty cao hn trung bnh (v d nh cng ty dng n by ti chnh cao, vay
n qu nhiu) th phi iu chnh s R cao ln.
V d 5.4. cc th trng mi ni (emerging markets), th mc li sut khng ri ro,
v k vng v li sut c phiu, thng cao hn l cc th trng pht trin, v mc
lm pht cng thng cao hn. V d, Vit Nam vo nm 2010, c th c lng l
R
0
= 12%, R = 17%, ph mo him c phiu cng khong 5%. (V lm pht Vit Nam
cao, nn mc li sut k vng thc s Vit Nam sau khi tr i lm pht khng cn
cao hn nhiu so vi M).
Bi tp 5.1. Hy tm hiu mc li sut trung bnh ca c phiu, v mc li sut khng
ri ro, cc nc trn th gii, v d nh Nht Bn, Trung Quc, Anh, Php, Brazil, v.v.
Cng thc V =
D
1
R g
thch hp cho vic c lng gi tr ca cc cng ty c phn c
th gi l trng thnh, tc l c li tc tng i n nh hng nm, v ht giai
on pht trin nhanh, ang giai on m tc pht trin ch cn nh thi. Cc c
phiu ca cc cng ty nh vy trn th trng c gi l cc c phiu gi tr (value
stock). c trng ca c phiu gi tr, l c li sut c tc (dividend yield, bng li tc
mt nm chia cho gi) ln, v tc c tng trng nh.
s dng cng thc (5.2), ngoi vic xc nh R, chng ta cn cn c lng c
li tc D
1
ca nm ti, v tc tng trng di hn g ca cng ty. Cc phn tch vin
(analysts) lm vic cho cc cng ty ti chnh, chuyn phn tch v c phiu, thng c
c lng tc tng trng ca cc c phiu m h theo di, cho 5 nm ti (ch khng
cho di hn hn), v cc thng tin v c tc v tc tng trng k vng cho 5 nm
ti, i vi cc c phiu ln c nhiu phn tch vin theo di, c th tm c t cc
ngun tin ti chnh ph bin. Mt cng thc c lng mc tng trng di hn l:
g =
g(5-year) + inflation
2
, (5.6)
trong g(5-year) l mc tng trng k vng cho 5 nm ti, v inflation l mc lm
pht k vng. (Hnh dung l tc tng trng s gim dn cho n lc ch cn bng
tc lm pht).
Theo cng thc (5.2) th
D
1
V
= R g, (5.7)
tc l li tc chia cho gi tr bng li sut c phiu tr i tc tng trng. H qu l
ta c c lng s b sau nh gi xem gi th trng ang r hn hay t hn so vi
gi tr tht:
Nu li sut c tc ln hn R g th gi c phiu r hn gi tr tht (undervalued),
cn nu li sut c tc nh hn R g th c phiu t hn gi tr tht (overvalued).
Nhc li rng y ch l c lng s b, v ch hp vi cc c phiu gi tr (value
stocks).
V d 5.5. C phiu ca cng ty ha cht Dupont (mt trong 30 thnh phn ca ch s
Dow Jones, m chng khon trn th trng New York: DD) l mt c phiu gi tr, vi
li sut c tc 4.35%, tc tng trng k vng g = (8% + 2%)/2 = 5%. (S liu ly
t trang web finance.yahoo.com, vo thi im 26/03/2010). Nu ly R = 9%, th ta c
R g = 4% < 4.35%, tc l theo cc c lng ny th gi ca DD hi r hn so vi gi
th tht.
Bi tp 5.2. c lng gi tr tht ca cc c phiu khc trong ch s Dow Jones
(2)
theo
cc cng thc trn, v so snh chng vi gi th trng. Trong trng hp m chnh
lch gia gi tr c lng v gi th trng qu cao, hy th tm hiu ti sao.
Ghi ch 5.2. Trong mt s trng hp, gi tr ca mt cng ty nm ch yu mt vi
ti sn ch cht ca n, v d nh mt m vng, hay bn quyn ca mt loi thuc chng
ung th. Bn thn cc ti sn c gi tr rt ln, nhng v cha khai thc nn cha c
li nhun trn s sch. Trong nhng trng hp nh vy, vic c lng gi tr ca cng
ty qua li nhun hay tng trng l khng kh thi, m ch yu l phi c lng c
gi tr ca cc ti sn chnh ca cng ty, qua dng tin tng lai m cc ti sn c
th em li. Vic nh gi ti sn l mt vic rt kh, c bit i vi cc ti sn v hnh
(intangible), v d nh cc s hu tr tu (intellectual properties).
5.2.2 c lng gi tr ca c phiu tng trng
Khi nim c phiu tng trng (growth stock) l khi nim i ngc li vi c
phiu gi tr. N dng ch c phiu ca cc cng ty ang cn trong giai on tng
(2)
C th tm thng tin v cc c phiu trong ch s Dow Jones chng hn y:
http://finance.yahoo.com/q/cp?s=^DJI
trng nhanh v doanh thu v li nhun. Nhanh y c hiu l tc tng trng
cao hn ng k so vi mc li sut khng ri ro R
0
(bi v khng c cng ty no c th
c mc tng trng mi mi cao hn mc li sut khng ri ro c), cn nu thp hn
R
0
th coi l chm, nu thp hn mc lm pht th c ngha l khng tng trng m
co li (tc tng trng thc s, sau khi tr i lm pht, l s m). C phiu tng
trng thng c tm thy cc ngnh cng nghip mi hnh thnh, cc nn kinh t
mi ni, hay cc cng ty c mc sng to cao.
i vi c phiu tng trng, cng thc (5.2) khng dng c v b sai s qu nhiu,
v bi vy cn cc cch c lng khc.
Hnh dung 1 cng ty ang trong giai on tng trng nhanh, vi mc tng trng
li nhun hin ti l g. n gin, ta s coi cng ty s tng trng vi tc g
trong vng N nm na, ri sau s ngng tng trng, ch cn tng li nhun theo tc
lm pht. Gi li nhun nm va qua l E
0
. Khi li nhun ca N nm sau s l
(1 + g)
n
E
0
. Trong qu trnh tng trng nhanh, cc cng ty tr rt t li tc, li nhun
ch yu gi li ti u t nhm tng trng. Nhng khi ngng tng trng, th c
bao nhiu li nhun hng nm s tr ht cho c ng di dng li tc. Nh vy ta s coi
rng N nm u tin khng c li tc: D
1
= . . . = D
N
= 0, v t nm th N + 1 th li
tc bng li nhun: D
N+n
= (1 +g)
N
(1 +)
n
E
0
vi mi n 1, trong l tc lm
pht. p dng cng thc dng tin chit khu cho dng li tc ny, ta c c lng
sau v gi tr:
V =
_
1 + g
1 + R
_
N
1 +
R
E
0
. (5.8)
(Nu N = 0 th tc l khng c nm no tng trng nhanh, m ch tng vi tc l
tc lm pht, v ta tm li c cng thc c lng (5.2)). Nu c tr c tc trong
N nm u, th phi iu chnh cng thc c lng gi tr V thnh
V =
_
_
1 + g
1 + R
_
N
1 +
R
+ Np
_
E
0
(5.9)
trong p = D
0
/E
0
l t l gia c tc v li nhun (payout ratio) trong nhng nm
u.
i vi cc c phiu pht trin, th phn c tc NpE
0
trong N nm u thng rt
nh so vi phn chnh
_
1 + g
1 + R
_
N
1 +
R
E
0
trong cng thc c lng gi tr, nn c th
b qua m khng nh hng lm n c lng. Cng thc (5.8) c th c vit li
thnh:
V = ME
1
, (5.10)
vi
M = V/E
1
=
_
1 + g
1 + R
_
N
1 +
(1 + g)(R )
(5.11)
c gi l h s nhn gi tr (value multiple), nu bit li nhun E
1
(cho nm ti)
v bit h s nhn gi tr M th tnh c gi tr ca cng ty.
V d 5.6. H s nhn gi tr M cho bi cng thc (5.11) rt nhy theo cc bin g, N, R
v . Mt s v d chng t nhy ny:
i) M(g = 20%, N = 10, R = 10%, = 2%) 25
ii) M(g = 30%, N = 10, R = 10%, = 2%) 52
iii) M(g = 20%, N = 15, R = 10%, = 2%) 39
iv) M(g = 30%, N = 10, R = 15%, = 7%) 34.
Nh vy, vi gi s R = 10% v = 2%, nu mt cng ty c th tng trng li nhun
20% trong vng 10 nm lin k t thi im hin ti, th gi tr ca cng ty c th
c nh gi bng qung 25 ln li nhun nm ti, hay ni cch khc, nu ch s P/E
(price/earnings ratio, tc l gi chia cho li nhun) ca c phiu ca cng ty bng qung
25 th l va phi, di th l r (undervalued) trn th l t (overvalued).
Nu cng ty tng trng 30%/nm trong vng 10 nm, thay v 20%, th gi tr ca cng
ty s bng nhng 52 ln li nhun! Nu thay v tng trng 20% trong vng 10 nm, cng
ty tng trng 20% nhng trong vng 15 nm, th gi tr s nhy ln t 25 ln li nhun
thnh 39 ln li nhun. Nu nh cng ty tng trng c 30%/nm trong vng 10 nm,
nhng trong mt mi trng vi R = 15% v = 7%, th lc gi tr ca cng ty ch
cn l 34 ln li nhun, thay v 52 ln.
Ch rng, chnh v h s nhn gi tr rt nhy vi cc tham s, nn vic nh gi
gi tr ca cc c phiu tng trng rt kh chnh xc, v hai nh gi khc nhau c th
ra cc con s chnh nhau n vi ln.
Ghi ch 5.3. Mc tng trng chng ta bn n pha trn l mc tng trng trn u
mt c phiu. Nu cng ty tng trng li nhun bng cch i mua cc cng ty khc
bng c phiu ca mnh, phnh ra bng cch tng s c phiu ln, th c th l li nhun
tnh trn u c mt phiu khng tng. Vic nh gi mc tng trng trong tng lai
l mt vic kh, i hi c nhng phn tch v m (v d v t trng ca ton b mng
th trng m cng ty tham gia trong nn kinh t, v mc tng trng ca mng ),
v phn tch v v th cnh tranh ca cng ty. Cc nh gi ca cc phn tch vin c
nhng khi qu lc quan, nu nhn t quan im v m. V d nh M, c lc cng ty
thc phm no cng c nh gi c tc tng trng cao n gp 2 ln tc tng
5.3. CC LC TC NG N GI C PHIU 111
trng ca ton b th trng thc phm, v nh th th khng th ng c, v tc
tng trng doanh thu trung bnh ca cc cng ty thc phm khng vt qu c tc
c tng trng ca ton b th trng thc phm.
Ghi ch 5.4. Li nhun m chng ta ni n trong cc c lng gi tr l li nhun thc
s, v trong nhiu trng hp n rt khc li nhun cng b trong bo co ti chnh, do
vn l cc ti sn ca cng ty c nh gi trong cc bo co ti chnh nhiu khi rt
sai gi tr tht. Mt mt, c nhng ti sn c gi tr ln nhng khng th hin trong bo
co. V d c nhng bn quyn pht minh c gi tr hng trm triu USD, nhng trong
bo co ti chnh th gi tr ca n bng 0. Cng ty c th cng b ti chnh l l, m
cng b nh vy l ng theo cc lut qui nh, trong khi thc ra gi tr ca cng ty tng
ln. Mt khc, c nhng bong bng trong cc bo co ti chnh, c gi tr thc s rt
thp so vi gi tr c ghi. Mt v d in hnh l WorldCom, mt cng ty in thoi
ln vi hn 80 nghn nhn vin v vn ha trn 100 t USD vo nm 2000, nhng n
nm 2002 th ph sn, v ton li nhun o (do thi phnh ti sn) trong khi n chng
cht. Bi vy, c th c lng ng gi tr ca mt cng ty c phn, cn tm c
cc con s phn nh ng gi tr thc s cc ti sn ca n, ch khng ch n thun
nhn vo cc bo co ti chnh.
Bi tp 5.3. c lng h s nhn gi tr trong cc trng hp sau:
i) g = 40%, N = 15, R = 10%, = 2%.
i) g = 50%, N = 10, R = 13%, = 4%.
i) g = 15%, N = 12, R = 10%, = 2%.
Bi tp 5.4. c lng gi tr ca mt s c phiu ln Vit Nam nh VCB, SBT, FPT,
VNM, v.v. (Thng tin ti chnh ca chng c th tm c trn internet).
5.3 Cc lc tc ng n gi c phiu
C phiu cng l mt mt hng, v nh vy gi ca n cng tun theo qui lut cung
cu ca th trng. Mi khi c ngi t mua c phiu, th iu to mt lc y gi
c phiu i ln. Ngc li, mi khi c ngi t bn c phiu, th iu to mt lc
y gi c phiu i xung. Nu nh lc y ln trung ha vi lc y xung, tc l s
c phiu mun mua cn bng vi s c phiu mun bn, th gi ca c phiu s khng
thay i. Nhng t khi c s cn bng hon ho. Vo mt thi im bt k, thng c s
chnh lch v bn ny hoc bn kia gia s c phiu mun mua v s c phiu mun bn
( mc gi hin ti), v trong mt ngy s chnh lch ny c th o chiu rt nhiu ln.
Bi vy chng ta thng thy gi c phiu thay i mt cch lin tc, c khi o chiu
nhiu ln trong mt ngy. Cc chng khon khc cng vy.
Hnh 5.3: Gi c phiu ca PetroChina ngy 23/03/2010
Hnh 5.3 l mt v d v s giao ng trong ngy ca gi c phiu trn sn chng
khon. y l c phiu ca PetroChina (Du kh Trung Quc, c vn ha trn 200 t
USD) trn sn chng khon New York (NYSE) trong ngy 23/03/2010.
Do gi c phiu chuyn ng theo qui lut cung cu, nn cc lc lm thay i gi c
phiu chnh l cc lc, hay cc nng lng lm nh hng n cung cu ca c phiu.
Ni theo ngn ng vt l, th lc chuyn ng l do nng lng to ra, v khi ta xc nh
c hm nng lng ca mt h vt l th vit c phng trnh chuyn ng ca n.
hiu c v d on c, theo ngha no , chuyn ng ca gi c phiu, chng
ta cn nhn bit v phn tch c nhng nng lng ny.
Trong vt l, khi tm c cc lc tc ng n mt vt no , ngi ta c th
vit phng trnh chuyn ng ca n, di dng phng trnh sai phn (nu xt cc
bc thi gian ri rc) hoc phng tnh vi phn (thi gian lin tc). Trong ngn ng
ton hc, cc phng trnh sai phn v vi phn c gi l cc h ng lc. Vic nghin
cu mt h ng lc khng ch n thun l gii phng trnh sai phn hay vi phn tng
ng tm nghim, m cn l vic nghin cu cc tnh cht ca cc nghim, v d nh
l dng iu, tnh n nh, cc min c bit, v.v. Tng t nh vy, ta cng c th lp
cc m hnh h ng lc nghin cu s bin ng ca gi c phiu, v a vo cc
lc m ta xc nh c.
Nh ta s thy, v chuyn ng ca gi c phiu c tnh ngu nhin, nn cc h ng
lc m chng ta cn xt n cng l cc h ng lc ngu nhin (stochastic dynamical
systems), trong c c cc thnh phn nh tnh v cc thnh phn ngu nhin. Nghim
ca cc h ng lc ngu nhin khng phi l cc qu o theo ngha thng thng, m
l cc qu o ngu nhin, hay cn gi l cc qu trnh ngu nhin. Chng ta s tho
lun l thuyt ton hc ca cc qu trnh ngu nhin trong Chng 7.
5.3.1 Chnh lch gia gi th trng v gi tr tht
Mt trong cc nng lng quan trng nht nh hng n cung cu, v do n gi
c phiu, chnh l th nng, to ra bi s chnh lch gia gi c phiu v gi tr tht
ca n.
Khi gi th trng qu thp so vi gi tr thc, th n mt lc no cc nh u t
ang gi c phiu s khng chp nhn bn vi gi thp nh vy na, trong khi c nhng
nh u t khc mun mua c phiu, khin cho cu nhiu hn cung, y gi ln v pha
gi tr thc. Ngc li, nu gi c phiu qu cao so vi gi tr thc, th n mt lc no
cc nh u t mi s khng mun mua c phiu ny na v thy n qu t, trong
khi nhng nh u t ang gi c phiu th mun bn i hng li nhun thu c t
gi cao ny, khin cho cung nhiu hn cu, v lm gi c phiu i xung v pha gi tr
thc. Nh vy, gi tr thc nh l im cn bng to lc ko gi th trng v pha n.
iu ny tng t v tr cn bng ca qu lc hay ca l xo: nu qu lc hay l xo nm
chch v tr cn bng, th n c th nng cao ln to ra lc y n ngc li v v tr cn
bng.
Ch rng, khi gi c phiu chnh lch ln so vi gi tr tht, th khng phi l n
s quay v gi tr thc ngay lp tc, m c th i hi thi gian rt di, c khi l nhiu
nm. Ni cch khc, nh hng ca th nng n gi c phiu l nh hng v lu di;
cng ca n ti mi thi im c th khng ln.
Hnh 5.4: Gi c phiu ca Coca-Cola trong 10 nm 1997-2006
V d 5.7. Cng ty nc gii kht Coca-Cola (m chng khon: KO) vo thi im u
nm 1998 l mt trong nhng con cng ca th trng chng khon M, v c gi ln
n trn 80$/c phiu. Mt trong nhng l do l trong hai thp k 1980 v 1990 n pht
trin kh nhanh, bnh trng ra th gii, cng vi s ton cu ha nn kinh t, v n
c t ph Buffet, thn tng ca th trng chng khon, u t (t khi gi n cn
rt r). Nhng n u nm 1998 th Coca-Cola ht giai on tng trng nhanh (v
n qu to, cc th trng c bo ha, cc th trng mi v quan trng nh Trung
Quc thm nhp ri, khng cn ch pht trin nhanh na), tc chm li ch
cn trung bnh di 5%/nm. Nhng v v tr con cng ca n trn th trng chng
khon, v mt phn l do th trng lc ang nng, nn n vn c gi rt cao, vi
ch s P/E (gi chia cho li nhun mt nm) trn 40. Theo cc c lng v gi tr thc
t ca KO vo thi im lc , th mc V/E (gi tr chia cho li nhun) ca KO khng
th qu 20, tc l gi ca KO t hn gp i gi tr thc vo thi im u nm 1998.
S chnh lch ln ny gia gi th trng v gi tr tht ca KO to lc y gi KO i
xung. Thc t xy ra l, trong vng 5 nm sau , gi ca KO gim mt na cn 40$
vo u nm 2003, v trong vng 7 nm tip theo (cho n u nm 2010) giao ng
trong qung 40-60$.
Hnh 5.5: So snh gia gi c phiu Coca-Cola v ch s SP500, 1997-2006
Phn ln cc nh u c (mua i bn li chng khon trong thi gian ngn hn) t
n th nng do chnh lch gia gi th trng v gi tr thc to ra, m ch yu
quan tm n cc lc th trng khc, nh l tm l th trng, m chng ta s bn n
pha di. Nhng i vi cc nh u t di hn, th th nng ny l yu t rt quan
trng cn xt n. Xem, chng hn, hai quyn sch ca Greenblat [11, 12], v chin lc
u t lu di, n gin v hiu qu, da trn vic chn la cc c phiu ca cc doanh
nghip tng i tt (t kh nng ph sn) v ang c gi th trng thp hn gi tr
thc. Trong ngn ng u t, vic phn tch gi tr ca c phiu v so snh gia gi tr
thc v gi th thng c gi l phn tch c bn (fundamental analysis).
5.3.2 Tm l th trng
Yu t rt quan trng khc nh hng n cung cu l tm l th trng, tc l
tm l chung ca cc nh u t tham gia th trng. Ni theo ngn ng vt l, tm l
th trng c th c coi nh ng nng ca th trng. ng nng l do bn thn
chuyn ng to ra, v to nn qun tnh ca chuyn ng.
Khi cc nh u t lc quan v gi c phiu, th s mun mua vo, y gi i ln, v
khi h bi quan th khng mun mua vo m mun bn ra, y gi i xung. Bn thn
vic gi c phiu i ln c th khin cho cc nh u t tr nn lc quan v khin cho th
trng c tip tc i ln. Ngc li bn thn vic gi c phiu i xung s gy bi quan
v khin cho th trng tip tc i xung. Hin tng ny to qun tnh th trng,
v c th c gii thch mt phn bi tm l by n ca con ngi. V d, Vit
Nam, trong nm 2007, c rt nhiu nh u t mi tham gia th trng c phiu, mua
c phiu ch v h nghe ni l c phiu i ln, c nhng ngi giu ln nh c phiu, v
h cng mun bt chc vy, ch thm ch c khi khng bit l mnh mua c phiu g.
Do tm l th trng, nn c nhiu khi m gi c phiu ln rt cao so vi gi
tr tht, nhng vn cn ln tip, bi vn c nhiu ngi mua vo t ngi bn ra. Hin
tng ny gi l th trng bong bng (market bubble) hay th trng in cung
(market mania). Bong bng th trng l mt c ch khin cho nhiu ngi giu ln
nhanh (nhng ngi tham gia bong bng trong giai on phnh ln ca n) v nhiu ngi
khc ngho i nhanh (nhng ngi b mc vo bong bng lc n xt hoc n), v c th
to nhng khng hong v kinh t x hi. Cc bong bng c th c gii thch bng
tm l by n cng vi l thuyt k ngc hn (greater fool theory): k c khi ngi
ta bit rng mua mt c phiu no vo vi gi qu cao l ngc, nhng ngi ta vn
mua vo nu nh ngi ta ngh rng s cn c k khc ngc hn s mua li c phiu
vi gi cn cao hn na.
Trong lch s th trng chng khon th gii c nhiu v d v bong bng. Ni ting
nht c l l tulipomania (in cung hoa tulip) xy ra H Lan vo u th k 17,
khi m, vo nh cao ca n, mt c hoa tulip c gi bng n 10 nm lng ca mt th
lnh ngh
(3)
. Mt v d tng i mi l bong bng internet (dot com bubble) vo qung
nm 2000. Trong giai on , internet tr thnh ti nng, v rt nhiu cng ty lin
quan n internet (nh l my mc cho mng internet, dch v truy cp internet, dch v
thng tin internet, bn hng trn internet) c gi c phiu tng ln chng mt, k c khi
(3)
Xem: http://en.wikipedia.org/wiki/Tulip_mania
m trin vng li nhun rt m h (nhiu cng ty ph sn trong my nm sau ), ri
sau li gim xung ch cn qung mt vi phn trm so vi lc nh im
(4)
.
Trong ngn ng u t, vic phn tch tm l v ng nng ca th trng c phiu,
da trn cc thng tin v bin ng gi c, lng giao dch v cc yu t th trng khc
xy ra trong qu kh (gi chung l cc chui thi gian v th trng), c gi l phn
tch k thut (technical analysis). C rt nhiu sch v phn tch k thut, m bn c
quan tm c th tm c. Xem chng hn [23]. Tuy nhin, cn ch rng, nhiu iu
vit trong cc sch l da trn kinh nghim nhn dng (pattern recognition), nhng
thiu c s l lun khoa hc v sao n nh vy, v thiu kim chng cht ch. Phn tch
k thut kh hn l nhiu ngi tng (cc bnh lun vin v th trng trn tivi phn
tch rt hay sai!), v n cng ch cho thng tin nht nh v mt s lc tc ng n th
trng, ch khng phi l cho d on chnh xc v chuyn ng ca th trng.
Hnh 5.6: th c phiu Amazon.com nm 2007
V d 5.8. Hnh 5.6 l th c phiu ca Amazon.com, mt cng ty bn l ln trn
internet, vo nm 2007. Vo ngy 25/04/2007, sau mt tin tt v tnh hnh lm n ca
cng ty, gi c phiu AMZN tng hn 20% so vi hm trc (t 44.75$ ln 56.81$), vi
lng giao dch l hn 100 triu c phiu trong ngy , nhiu gp hn 10 ln lng giao
dch trung bnh. Sau hm , th trng tr nn lc quan v cng ty, v gi c phiu s
cn tip tc tng trong my thng tip theo. y l mt dng thc (pattern) kiu tn
la hay xy ra: khi gi c phiu ca mt cng ty ln bt mnh ln, km vi lng giao
dch rt ln, th l du hiu tm l th trng lc quan v c phiu, to tip tc i ln
(4)
Xem: http://en.wikipedia.org/wiki/Dot-com_bubble
sau .
5.3.3 Cc ngoi lc
Hin tng mt cn i cung cu c phiu xy ra khng ch do nhng tc ng bn
thn bn trong ca th trng, m cn do nhng tc ng t bn ngoi. V d, c khi c
nhng nh u t ln gp kh khn v ti chnh, buc phi phi bn ra nhng c phiu
m h ang gi d h cho rng cc c phiu ny ang c gi thp so vi gi tr thc,
khin cho gi c phiu s b gim xung, cho n khi th trng tm c nhng nh
u t mi thay th.
Hnh 5.7: th VnIndex
V d 5.9. Ch s VnIndex ca th trng c phiu Vit Nam gim t 500 im xung
cn 240 im trong giai on h 2008 - xun 2009, trc khi phc hi li, mt phn l do
c nhiu nh u t, trong c nh u t nc ngoi, rt ra khi th trng, do nh
hng ca khng hong ti chnh th gii.
Cc ngoi lc cng c th tc ng khng phi l trc tip n cung cu ca th
trng, m l gin tip, qua vic lm thay i nng lng bn trong ca th trng. V
d nh, nu c ngoi lc lm cho gi tr thc ca mt c phiu i ln, th iu lm
thay i th nng, ko gi c phiu ln theo.
Ghi ch 5.5. Ngoi lc l mt khi nim tng i: mt lc c th l ngoi lc i vi
mt h ny, nhng s tr thnh ni lc nu ta xt mt h khc ln hn, cha h ban u
v c cc yu t to ra ngoi lc . Mt h ng lc m nh (tc l c t thnh phn,
s chiu thp) th v nguyn tc d nghin cu hn mt h ng lc ln (nhiu thnh
phn, phc tp). Nhng b li, mt h ln m cc lc trong ch yu l ni lc, vit
ra c nh l hm s ca cc bin ca bn thn h, th c th tnh ton c chnh xc
hn, so vi nu c nhiu ngoi lc m ta khng biu din c c th.
5.3.4 Phm vi nh hng ca cc lc
Nh chng ta thy pha trn, cc lc tc ng lm thay i gi ca mt c phiu c
th chia lm hai nhm chnh: nhm c bn, th nng (lc tc ng n gi tr tht ca
c phiu, v lc to ra bi s chnh lch gia gi tr tht v gi th trng), v nhm k
thut, ng nng (tm l th trng, do bn thn din bin th trng chng khon
to nn). Chng ta cng c th phn loi cc lc theo phm vi nh hng ca n. Chng
hn c th chia lm 3 loi: 1) loi nh hng n ton th trng, 2) loi nh hng n
mt ngnh (hay mt vng a l), v 3) loi nh hng ring n mt mnh cng ty.
Hnh 5.8: C phiu DD i theo ch s S&P500, 11/201002/2011
Nhng lc tc ng chung n ton th trng l nhng lc c tnh v m, v d nh
s thay i ca li sut, hay ca tc tng trng kinh t, v.v.. Khi li sut gim i,
th gi tr ca tri phiu v c phiu u tng ln, theo cng thc c lng gi tr, v
bi vy n to lc kch thch ton b th trng chng khon tng gi. Khi th trng
chung i ln, th phn ln cc nh u t phn chn v d chp nhn mua cc c phiu
vi gi cao hn, v to hiu ng lan ta t th trng chung n ton b cc c phiu.
Mt l do na khin cho c nhng lc chung tc ng n gi ca ton b cc c phiu
trn mt th trng l, c nhng qu u t theo ch s (index funds, v d nh SPY u
t theo ch s SP500), khi qu mua vo th l mua ng lot cc c phiu c trong ch
s, v khi bn ra cng bn ng loi cc c phiu, lm cho cc c phiu tng gi hay
gim gi cng nhau. Cc qu ch s ngy nay rt ph bin trn th gii. Ring qu SPY
c ti sn trn 75 t USD vo u nm 2011, v mi ngy lng giao dch c phiu
ca qu ny ln n hn 18 t USD. Hnh 5.8 l mt v d v nh hng ca th trng
chung n c phiu ring l: trong 3 thng 11/2010 02/2011, hu nh c hm ny m
ch s SP500 i ln th c phiu ca cng ty ha cht Dupont (l cng ty ha cht ln
nht th gii, m chng khon: DD) i ln, cn hm no m ch s S&P500 i xung th
DD cng i xung.
C nhng lc khng nh hng chung n ton th trng, m ch nh hng ring
n mt ngnh no . V d, khi ngnh sn xut t b khng hong tha, th iu
ny xu cho ngnh t nhng khng nh hng nhiu n th trng chung. Vo ngy
28/01/2011, tin xu t hng Ford Motor bo hiu im xu chung cho ton ngnh sn
xut t, khin c phiu ca cc hng sn xut t u gim mnh, trong Ford
(m chng khon: F) gim 13% v General Motors (m chng khon: GM) gim 6%. Th
trng chung hm cng gim, nhng ch mc 1,5%.
C nhng lc tc ng ch nh hng n mt c phiu, hay l mt nhm rt nh
cc c phiu. V d, khi mt cng ty b pht hin l gian ln s sch ti chnh, th gi c
phiu ca n c th b gim rt nhiu ngay sau , nhng iu ny khng nh hng g
my n th trng chung.
5.3.5 Cc lc ngu nhin
C nhiu lc, m chng ta khng c cch xc nh trc c, s tc ng n th
trng trong tng lai. Cc lc nh vy c th c gi l cc lc ngu nhin. Bi v gi
c phiu chu nh hng ca cc lc ngu nhin, nn bn thn s thay i ca gi c
phiu theo thi gian c tnh ngu nhin, khng th xc nh trc c mt cch chnh
xc.
C th kim chng tnh ngu nhin (khng xc nh trc c) ca gi c phiu
trong tng lai. Tht vy, gi s mt chng khon S c gi hin ti trn th trng l
S(0) > 0 bit, v gi s l gi th trng S(t) ca S cho thi im t cng c th
trng bit trc vo thi im hin ti. Khi , theo nguyn l no-arbitrage, S(t) phi
tha mn ng thc
S(t) = S(0)e
tr
, (5.12)
trong r l li sut kp lin tc khng ri ro (li sut log ca tri phiu zero-coupon
cn k hn t), bi v nu khng th s c mt chin lc kinh doanh chnh lch gi, bng
cch mua S v bn tri phiu zero-coupon thi hn t ti thi im 0 ri bn S v thanh
ton tri phiu ti thi im t, hoc ngc li. Ni cch khc, nu mt chng khon c
mc li nhun c xc nh v c th trng bit trc cho mt giai on no
, th mc li nhun phi bng ng mc li nhun khng ri ro (ca tri phiu
zero-coupon khng ri ro), v nu khng th s c c hi kinh doanh chnh lch gi. Trong
thc t, rt him khi m c phiu li em li mc li nhun ging tri phiu, v l
du hiu cho thy tnh ngu nhin ca bin ng ca gi c phiu.
T nm 1900, trong lun n tin s ca mnh, nh ton hc Luis Bachelier
(5)
(1870
1946) nghin cu bin ng gi c phiu, v cc cng thc nh gi quyn chn ca c
phiu, da trn chuyn ng ngu nhin. Trong na sau th k 20, c nhng nh kinh t
cn i xa hn na trong vic nhn nh s ngu nhin ny ca gi c phiu. H coi rng
s thay i gi c phiu trong tng lai l mt chuyn ng hon ton ngu nhin,
khng h c mt xu hng no ht, ngoi tc tng trng trung bnh hng nm ca
ton b th trng c phiu. Cun sch A random walk down Wall Street (xut bn ln
u nm 1973, ti bn nhiu ln) ca Burton Malkiel
(6)
gp phn truyn b t tng
chuyn ng hon ton ngu nhin ny, v c nh hng ln n gii ti chnh.
L thuyt chuyn ng hon ton ngu nhin ca gi c phiu xut pht t ci gi
l gi thuyt th trng hiu qu (efficient market hypothesis
(7)
), c mt s nh
kinh t nh Eugene Fama
(8)
xng t nhng nm 1960. Theo gi thuyt th trng
hiu qu, th mi thng tin g c th c nh hng n gi c phiu m th trng c
bit th u c tnh vo gi ca c phiu ngay lp tc, v do mi chuyn ng gi
c phiu trong tng lai l do nhng tin tc hon ton mi mang li ch khng phi do
tin tc c mang li (v nh hng ca cc tin c c th hin ht trong gi c phiu
ri). V cc tin mi xy ra mt cch hon ton ngu nhin, khng ai d on c trc
n s tt xu ra sao, nn khi th trng hiu qu, th chuyn ng ca gi c phiu l
hon ton ngu nhin.
Nu nh bin i gi c ca c phiu l hon ton ngu nhin, khng h c xu hng
no ht, th tt c mi phn tch v c phiu, k c phn tch c bn v phn tch k
(5)
Bachelier c coi l ngi u tin nghin cu cc tnh cht ton hc ca qu trnh ngu nhin m
ngy nay ngi ta gi l chuyn ng Brown
(6)
Xem: http://en.wikipedia.org/wiki/Burton_Malkiel
(7)
Xem: http://en.wikipedia.org/wiki/Efficient-market_hypothesis
(8)
Xem: http://en.wikipedia.org/wiki/Eugene_Fama
thut, u tn cng v ch cho vic u t c phiu, bi v cc phn tch u nhm
dn n kt lun v mt xu hng no ca c phiu, trong khi m chuyn ng ca
c phiu hon ton ngu nhin khng h c xu hng no ht!
Gi thuyt th trng hiu qu, v tnh hon ton ngu nhin ca bin ng gi c
phiu, c nhiu nh kinh t chp nhn nh l chn l trong my thp k sau khi chng
xut hin. Tuy nhin, thc t cho thy, th trng khng hon ton ngu nhin. Mt
s phn tch chng t cc yu t khng ngu nhin ca th trng c hai nh kinh
t Andrew Lo v Craig MacKinlay trnh by trong cun sch A non-random walk down
Wall Street (xut bn ln u nm 1999). Bn thn ng Eugene Fama trong nhng nm
v sau cng phi tha nhn rng th trng khng hiu qu. Ni chnh xc hn l, th
trng khng hiu qu theo ngha ca Fama, ch nguyn l no-arbitrage ni chung vn
dng c. Nhng nh u t rt thnh cng nh Warren Buffet (t ph giu nht th
gii vo nm 2008 vi ti sn ring 62 t USD, u t da trn phn tch c bn) hay
James Simons
(9)
(nh ton hc tr thnh t ph, s dng cc cng c ton hc tm
xu hng th trng) cng l nhng v d chng t th trng bin ng mt cch khng
hon ton ngu nhin, m c nhiu yu t nh tnh. Bi vy, mt m hnh ng lc v
s bin i gi c phiu, mun st vi thc t, cn c c nhng lc ngu nhin v nhng
lc nh tnh. Khi no m lc nh tnh yu v lc ngu nhin mnh, th dng iu ca
th trng s gn nh l chuyn ng ngu nhin hon ton, nhng ngc li nhng khi
no m lc nh tnh mnh, th th trng s c th c xu hng r rng. Mt lc ngu
nhin, sau khi xy ra, th tr thnh nh tnh, v c th c nh hng lu di n th
trng ch khng ch nh hng trong mt khonh khc m n xy ra.
Ghi ch 5.6. V mt l thuyt, iu khin cho gi thuyt th trng hiu qu khng ng
c nm ch n b qua yu t thi gian, v coi l ci g phi xy ra th s xy ra
ngay (thng tin nh hng n c phiu th s c tnh ht vo gi c phiu ngay). Th
nhng, trong th gii vt l ca chng ta, mi s u cn c thi gian xy ra, v thi
gian c th l rt di. V d, vo nm 1944, s thua trn ca c quc x trong chin
tranh th gii ln th II tr nn r rng, nhng chin tranh cn ko di thm 1 nm
na trc khi c u hng. Theo ngn ng vt l, m t trng thi ca mt vt, cn
xc nh c v tr ln vn tc, v khng gian pha s c s chiu gp hai ln s chiu khng
gian cc v tr. (Cng chnh v vy m cc phng trnh vi phn m t chuyn ng trong
vt l thng l phng trnh vi phn bc 2 nu vit theo cc bin v tr, ch khng phi
phng trnh vi phn bc 1). Th nhng, trong gi thuyt th trng hiu qu th vn
(9)
Xem: http://en.wikipedia.org/wiki/James_Harris_Simons
tc khng c tnh n, ch c v tr thi, khng gian pha mt i mt na s chiu,
v mt m hnh nh vy th kh chnh xc.
5.4 Phn tch thng k cho gi c phiu
Cc phng php thng k ton hc, c bit l phng php hi qui (xem Chng 5
ca [7]), hay c dng d on phn b xc sut v s ph thuc vo nhau ca cc
bin ngu nhin hay cc qu trnh ngu nhin hay cc chui thi gian. p dng vo gi
c phiu, cc phng php thng k ny s cho chng ta thng tin v h s volatility, v
s ph thuc ca gi c phiu vo s thay i ca cc yu khc, v d nh: ch s ca
ton b th trng c phiu, mc tng trng kinh t, t l lm pht, tin tng trung
bnh ca nh u t vo nn kinh t, v.v.
5.4.1 H s volatility
Cc c phiu khc nhau c giao ng (h s volatility) khc nhau, v cng mt
c phiu th h s volatility ca n cng thay i theo thi gian, khi cc iu kin thay
i. Hnh 5.9 l mt v d minh ha, so snh giao ng gia gi c phiu ca Wal-Mart
(m chng khon: WMT) v Walgreen (m chng khon: WAG), l hai cng ty bn l
ln, trong vng 3 thng t ngy 22/01/2010 n ngy 22/04/2010. th cho thy WAG
c giao ng mnh hn WMT trong 3 thng : thng nhng hm no gi c phiu
i ln, th WAG i ln nhiu hn WMT, v nhng hm no gi c phiu i xung, th
WAG cng xung nhiu hn l WMT, tuy rng tng cng sau 3 thng th chnh lch gia
s thay i gi ca WMT v ca WAG khng nhiu (ch khong 2%).
Hnh 5.9: So snh giao ng ca WMT v WAG trong 3 thng
C nhiu nguyn nhn khin cho c phiu ny li c giao ng ln hn c phiu
5.4. PHN TCH THNG K CHO GI C PHIU 123
khc, v trong giai on ny li giao ng nhiu hn giai on khc. V d, gi c phiu
ca cc cng ty nh, s lng c phiu pht hnh t (gi l c phiu nh), th d giao ng
mnh hn l gi c phiu ca cc cng ty ln, vi s lng c phiu pht hnh nhiu,
bi v ch cn mt lng mt cn i cung cu nh lm cho c phiu nh giao ng
mnh, trong khi c phiu ln cn c s mt cn i cung cu ln hn nhiu t mc
giao ng tng ng. Nhng c phiu ang trong giai on c nhiu tin tc quan trng
nh hng n gi tr v tm l th trng, th d giao ng mnh hn l trong nhng
giai on im ng t tin tc. Nhng c phiu no m c nhiu nh u c ngn hn quan
tm, mua i bn li nhiu ln (ting lng gi l lt sng), th cng d giao ng mnh
hn l nhng c phiu t c u c. y, chng ta s khng i su tm hiu cc nguyn
nhn dn n giao ng ca gi c phiu, m s ch bn n cch tnh giao ng,
tc l h s volatility.
Cng thc tnh volatility ca gi ca mt c phiu nh sau:
Theo qui c, ta s s dng gi ng ca hng ngy (tc l gi vo thi im cui
phin ca mi ngy trn th trng c phiu). Gi S
k
l gi ng ca ca mt c phiu
vo ngy th k. Ta s tnh volatility ca S trong giai on n ngy, t ngy th N n
ngy th N + n, vi gi s rng cc s liu c bit, tc l ngy th N + n l mt
ngy trong qu kh hoc hin ti ch khng phi trong tng lai. t
X
i
= ln(S
N+i
/S
N+i1
) (5.13)
l thay i ( log ha) ca gi c phiu t ngy th N + i 1 n ngy th N + i,
sau ta ly lch chun ca dy s (X
1
, X
2
, . . . , X
n
), tc l t
= C
n
i=1
(X
i
M)
2
n 1
, (5.14)
trong M =
n
i=1
X
i
n
l gi tr trung bnh ca cc i lng X
i
, cn C l mt hng s,
bng cn bc hai ca s ngy m th trng c phiu m ca trong mt nm. (C th coi
C
252 16, v mt nm c 52 tun, mi tun c 5 ngy m ca, nhng tr i mt

s ngy l). i lng tnh theo cng thc trn c gi l volatility, hay ni chnh xc
hn, l volatility lch s (historical volatility) ca c phiu S trong gian on n ngy
k t ngy th N cho n ngy th N + n.
C s ton hc ca cng thc (5.14) chnh l phng php c lng lch chun
bng thng k (xem Chng 5 ca [7]), v m hnh bin ng gi c phiu
dS
t
S
t
= dt + dB
t
(5.15)
s c bn n trong Chng 7, trong bin thi gian t c tnh theo n v nm, B
t
l chuyn ng Brown, v n gin ta gi s l v l hng s. Ta c th coi cc i
lng X
i
= ln(S
N+i
/S
N+i1
)
S
N+i
S
N+i1
S
N+i1
l cc gi tr thc nghim ca mt phn
b xc sut xp x bng phn b normal N(,
2
/C
2
) ca +B
1/C
2 (v mt nm c C
2
ngy, nn 1 ngy bng 1/C
2
nm). T cc gi tr thc nghim X
i
ta c lng lch
chun /C ca phn b ny, theo cng thc (5.14).
Ghi ch 5.7. Cng thc (5.14) l cng thc tnh giao ng xy ra, v bi vy n
c gi l volatility lch s. giao ng xy ra ny c th hon ton khc vi
giao ng s xy ra trong tng lai. Khng c cch no tnh trc tip volatility tng
lai, tuy rng cc volatility lch s cho ta mt hnh dung v giao ng v c lng cho
tng lai, vi gi thit rng lch s lp li, c ngha l nhng g s xy ra trong tng
lai cng tun theo cng cc qui lut nh l nhng g xy ra trong qu kh, v bi vy
cc giao ng trong tng lai cng tng t nh trong qu kh. C mt cch tnh gin
tip giao ng trong tng lai ca gi c phiu, thng qua gi ca cc quyn chn, m
chng ta s cp n trong Chng 8. giao ng tnh gin tip theo cch ny c
gi l implied volatility.
V d 5.10. Volatility lch s ca Walgreen cho khong thi gian 3 thng tnh n ngy
22/04/2010 l 22.65%, trong khi ca Wal-Mart cho cng qung thi gian ch l 12.46%.
(iu ny th hin mt cch trc gic trn Hnh 5.9). Ch rng h s volatility thng
c vit di dng %. Khng c qui c th no l volatility thp hay cao, nhng ni
chung c th hnh dung rng volatility di 20% th l mc thp, trn 40% th l mc
cao. V d, volatility lch s ca cng ty Baidu (mt cng ty internet ln ca Trung Quc
cnh tranh vi Google) cho khong thi gian 1 nm tnh n 22/04/2010 l 41% (thuc
loi cao), ca PetroBrasil (hng Du ha Brazil) cho cng thi gian l 36% (tng
i cao), ca hng xe Honda l 27% (qung trung bnh), ca cng ty Vivus (mt cng ty
cng ngh sinh hc, lm thuc chng bo ph v mt s thuc khc) l 76% (rt cao), ca
Wal-Mart l 15% (thuc loi thp). S liu ly t trang web http://morningstar.com.
Bi tp 5.5. Bi tp thc hnh: tnh volatility lch s ca cc c phiu Vit Nam, cho
cc khong thi gian khc nhau (1 thng, 3 thng, 1 nm, v.v.)
5.4.2 H s beta
Nhng hm no m th trng c phiu i ln th hu ht cc c phiu trn th trng
i ln theo, v ngc li khi th trng i xung th hu ht cc c phiu i xung theo.
Ni cch khc, chiu hng thay i gi ca mt c phiu ph thuc kh nhiu vo tnh
hnh chung ca th trng. Hin tng ph thuc ny c th c gii thch bng mt
s l do nh: c nhng yu t kinh t v m nh hng chung n ton b cc c phiu,
v tm l chung ca th trng loan ta n ton b cc c phiu. Nhiu nh u t
khng chn la tng c phiu ring l, m u t c th trng, tc l khi mua/bn th
mua/bn mt r rt nhiu c phiu, i din cho ton b th trng. Xu hng u t
kiu ny, gi l u t theo ch s (index investing), kh ph bin, v bn thn n cng
lm tng s ph thuc bin ng gi c gia cc c phiu v ton b th trng.
Hnh 5.10: So snh giao ng ca XLNX vi S&P 500
Hnh 5.10 l mt v d minh ha, cho thy c phiu ca cng ty cng ngh bn dn
Xilinx (m chng khon: XLNX) c dng iu i ln i xung gn ging ht nh l dng
iu i ln i xung ca ch s S&P500 i din cho ton b th trng chng khon M
(trong vng mt nm t 04/2009 n 04/2010), tuy rng volatility ca XLNX cao hn so
vi S&P500. Da vo th ny, ta c th ni rng, phn ln s giao ng gi ca XLNX
l do s giao ng ca ton b th trng to ra (trong qung thi gian ).
Tuy phn ln c phiu i ln/i xung cng vi th trng, nhng c nhng c phiu
i ln i xung nhanh hn th trng v ngc li c nhng c phiu i chm hn th
trng. i lng o tc thay i ca mt c phiu tng i so vi th trng c
gi l h s beta ca c phiu .
Ni mt cch c th hn, gi S l gi mt c phiu, M l gi ca mt ch s i din
cho ton b th trng (v d nh ch s VnIndex Vit Nam, hay Nikkei 225 Nht
Bn). S bin ng gi ca S c tch lm 2 phn, mt phn ph thuc vo th trng,
v mt phn ca ring S (stock-specific), c lp vi bin ng chung ca th trng:
ln(S
n
/S
n1
) = ln(M
n
/M
n1
) + ( +
n
), (5.16)
trong v l cc h s khng ph thuc vo n, hay c th vit l
r
S
n
= + r
M
n
+
n
, (5.17)
trong r
S
n
= ln(S
n
/S
n1
) l thay i gi, hay cn gi l mc li nhun ( log
ha) ca S t ngy ny sang ngy khc (hoc t thng ny sang thng khc, nu ly
bc thi gian l thng), v r
M
n
= ln(M
n
/M
n1
) l thay i ca ton b th trng.
Trong phng trnh trn, c gi l h s beta ca S, cn +
n
l phn bin i
ca ca ring S, c tch tip lm hai phn: hng s v phn nhiu
n
.
Theo gi thuyt ca m hnh, th phn nhiu
n
, hay cn gi l phn sai s, c gi tr
trung bnh (k vng) bng 0, v c lp vi bin ng th trng r
M
n
theo ngha: h s
tng quan (correlation) gia
n
v r
M
n
(hiu nh l hai bin ngu nhin) bng 0.
Cc h s v trong phng trnh (5.17) c xc nh theo phng php hi qui
tuyn tnh (linear regression) vi sai s bnh phng nh nht (xem Chng 5 ca [7]).
Phng php hi qui tuyn tnh l phng php biu din mt i lng ngu nhin (
y l r
S
n
) nh l mt hm tuyn tnh (a thc bc 1) ca mt hay nhiu i lng ngu
nhin khc ( y l r
M
n
) cng vi mt sai s ( y l
n
), v cc h s ca hm tuyn
tnh ( y l v ) c chn sao cho phn sai s l nh nht c th.
Cng thc tnh cc h s v , cho khong thi gian t thi im N
1
n thi im
N
2
(thi im cui ny phi l mt thi im trong qu kh hoc hin ti, v ta cn s
liu tnh) nh sau:
=
cov(r
S
, r
M
)
var(r
M
)
=
E(r
S
r
M
) E(r
S
)E(r
M
)
E((r
M
)
2
) (E(r
M
))
2
(5.18)
v
= E(r
S
) E(r
M
), (5.19)
trong E(r
S
r
M
) =
1
N
2
N
1
+ 1
N
2
n=N
1
r
S
n
r
M
n
l gi tr k vng thc nghim (tc l gi tr
trung bnh) ca r
S
r
M
theo cc s liu lch s bit t thi im N
1
n thi im N
2
,
v tng t nh vy cho cc k vng khc trong hai cng thc trn. Vi v c tnh
theo cc cng thc trn, th phn sai s
n
= r
S
n
r
M
n
s t ng tha mn cc tnh
cht sau: E() :=
1
N
2
N
1
+1
N
2
n=N
1
n
= 0, cov(, r
M
) = 0, v
1
N
2
N
1
+1
N
2
n=N
1
(
n
)
2
t cc
tiu, tc l tng bnh phng ca cc sai s l nh nht c th.
V d 5.11. Vo thi im 22/04/2010, h s beta ca Xilinx (Hnh 5.10) l 0.99, ca
Wal-mart l 0.26, ca Intel l 1.17, ca Cisco l 1.23, ca Baidu l 1.79, ca Vivus l
0.84. S liu ly t trang thng tin ti chnh Google Finance. H s beta cng cao th
tc l tc tng/gim cng chiu vi th trng cng ln. a phn cc c phiu c h
s beta l s dng (tc l chng ni chung i ln i xung cng chiu vi th trng),
nhng cng c nhng c phiu no trong nhng giai on no c h s beta l s
m (i ngc li th trng).
Ghi ch 5.8. Vic tnh ton h s beta ph thuc vo cc tham s nh: bc thi gian
(v d c ni dng ngy c ni dng thng), v di thi gian dng tnh hi qui (c
th dng 1 nm, nhng cng c th dng cc di thi gian khc). Bi vy, cc ngun
thng tin ti chnh khc nhau c th cho ra cc con s v h s beta khc nhau cho cng
mt c phiu! V d, vo ngy 22/04/2010, theo Google Finance th XLNX c h s beta
l 0.99 nhng theo Yahoo Finance th n c h s beta l 0.88. (Ni theo ngn ng thng
k ton hc, th cc con s khc nhau l cc c lng ca mt h s beta tru tng
ca c phiu). Hn na, h s beta thay i theo thi gian, ch khng phi l hng s.
Theo l thuyt CAPM (capital asset pricing model m hnh nh gi ti sn vn), m
chng ta s cp n trong Chng 6, th k vng li nhun ca mt c phiu ch ph
thuc vo h s beta ca n ch khng ph thuc vo phn bin ng gi + c lp
vi th trng! (Tng t nh l gi thuyt th trng hiu qu, l thuyt CAPM l mt
l thuyt th v, nhng da trn nhng gi thit rt mnh, t ph hp vi thc t).
Ghi ch 5.9. Khng nhng ch c cc c phiu ring l ph thuc vo s giao ng chung
ca mt th trng chng khon, m cc th trng chng khon khc nhau cng ph
thuc ln nhau, v cng c th phn tch s ph thuc bng hi qui tuyn tnh. Hnh
5.11 l v d minh ha, cho thy s ph thuc ln nhau gia th trng chng khon
Hong Kong (ch s Hang Seng) v th trng M (ch s S&P500) trong giai on 5 nm
(t 04/2005 n 04/2010). Theo th ny, th trng Hong Kong giao ng mnh hn
th trng M, nhng hai th trng i ln v i xung cng nhau.
Hnh 5.11: So snh giao ng ca Hang Seng vi S&P 500
Bi tp 5.6. Lp bng h s beta v volatility ca cc c phiu trn mt th trng no
, v kim nh gi thuyt sau: c lin quan gia volatility v h s beta theo chiu
thun, c ngha l c phiu no c h s beta cng cao, th cng d c volatility ln.
Bi tp 5.7. Chng minh rng trung bnh cng (c trng) ca cc h s beta ca cc c
phiu trn mt th trng l bng 1. H qu l, trn mt th trng c phiu (vi nhiu
m c phiu), lun c c phiu c h s beta nh hn 1, v c c phiu c h s beta ln
hn 1.
Bi tp 5.8. Phn tch hi qui tuyn tnh ch s vnindex theo ch s S&P500.
5.4.3 Hi qui theo nhiu bin
S giao ng ca c phiu, ngoi vic ph thuc vo s giao ng chung ca ton b
th trng, cn c th ph thuc vo s giao ng ca cc bin khc, v d nh: s pht
trin ca ngnh cng nghip m cng ty tham gia, tin tng ca cc nh u t vo
nn kinh t, t l lm pht, gi nng lng, v.v. phn tch c th hn s ph thuc ca
c phiu vo nhiu bin khc nhau, gi l cc bin gii thch (explanatory variable), da
trn cc suy lun logic v s ph thuc ny v cc s liu c c, c th dng phng
php hi qui theo nhiu bin (xem Chng 5 ca [7] v phng php hi qui).
n gin nht trong cc m hnh hi qui nhiu bin l m hnh hi qui tuyn tnh bi.
N tng t nh l hi qui tuyn tnh n (theo mt bin) dng trong mc trc, nhng
vi hai hay nhiu bin dng gii thch s bin ng ca gi, thay v ch c mt bin
th trng: ta vit
r
S
n
= +
1
v
1
n
+ . . .
k
v
k
n
+
n
, (5.20)
trong r
S
n
= ln(S
n
/S
n1
) l thay i gi c phiu, v v
1
, . . . , v
k
l cc bin gii thch.
Cc cng thc hi qui tuyn tnh bi (xem chi tit cng thc trong Chng 5 ca [7]) cho
php tm cc h s v
1
, . . . ,
k
, (sao cho phn sai s
n
l nh nht theo mt ngha
t nhin no ) da trn cc s liu lch s thu c v gi c phiu v v cc bin gii
thch v
1
, . . . , v
k
. C th b qua h s (t = 0), nu coi rng phn bin ng m
khng gii thch c bng cc bin v
1
, . . . , v
k
l phn nhiu c k vng bng 0. Khi
c cc s liu v cc bin gii thch v gi c phiu, th c th dng mt chng trnh
my tnh vi chc nng tnh ton hi qui tnh ra cc h s mt cch nhanh chng.
C s ty trong phng php phn tch hi qui: khng c qui nh no v vic cc
bin gii thch no cn c trong m hnh. tng chung l nn chn cc bin gii thch
sao cho s lng khng qu ln ( trnh chng cho nhiu ln nhau), m gii thch c
hu ht s bin ng ca c phiu, tc l sao cho phn sai s cn li rt nh. Ch rng,
c nhng bin gii thch c th quan trng i vi c phiu ny nhng khng quan trng
i vi c phiu khc. V d nh bin gi du ha s nh hng mnh n cc cng ty
trong ngnh du kh, nhng t nh hng n cc cng ty trong ngnh dc phm.
V d 5.12. Trong bi bo ni ting Using macroeconomic factors to control portfolio
risk
(10)
ca cc tc gi Edwin Burmeister, Richard Roll v Stephen Ross, 03/2003, 5 bin
gii thch sau, gi l 5 yu t may ri (risk factor) v m, c dng trong phn tch hi
qui tuyn tnh bi cho bin ng ca gi c phiu:
Investor confidence (nim tin ca nh u t), o bng chnh lch gia li sut
tri phiu chnh ph v li sut ca tri phiu doanh nghip c ri ro v c cng k
hn 20 nm. tng l, cc nh u t cng tin tng vo trin vng lm n v
kh nng tr n ca cc doanh nghip, th s cng t i hi v chnh lch li sut
gia tri phiu c ri ro v tri phiu khng ri ro.
Time horizon (yu t thi hn ca u t), c o bi chnh lch li sut gia
tri phiu chnh ph k hn 20 nm v tn phiu kho bc (treasury bill) k hn 30
ngy. tng l cc c phiu tng trng (khi phn ln li nhun ca cng ty nm
tng lai xa) s nhy hn vi chnh lch ny (khi chnh lch cao ln th gi
tr ca c phiu gim i) so vi cc c phiu khc.
Inflation risk (ri ro v lm pht), c o bng chnh lch gia mc lm pht
thc t xy ra cho mi thng v mc lm pht k vng d on vo u thng cho
thng . tng l, nu lm pht tng ln so vi d on, th sc mua ca ngi
tiu dng gim i so vi d on, v iu ny nh hng xu n tiu dng cc
hng ha c tnh cht xa x phm (v cc cng ty kinh doanh cc hng ), trong
khi cc hng ha nhu yu phm th khng b nh hng bng.
Business cycle risk (ri ro v chu k kinh t) c o bng s thay i tc pht
trin k vng ca mt nn kinh t qua tng thng. Thng no m ch s dng
tc l tc pht trin k vng ca nn kinh t tng ln trong thng . tng
l c nhng cng ty (v d nh cc cng ty xy dng) c th nhy hn vi s thay
i ny so vi nhng cng ty khc.
Market timing, da trn mt ch s th trng (trong bi bo l ch s S&P500)
gii thch cc bin ng v gi c trn th trng m khng gii thch c bng 4
(10)
C th tm c bi bo ny nhiu ni trn internet, chng hn ti: http://www.birr.com
yu t kinh t v m pha trn.
Phn tch hi qui tuyn tnh ca Burmeister, Roll v Ross v bin ng gi ca cc c
phiu theo 5 bin gii thch trn gp phn khng nh cc suy lun logic v s ph thuc
ca gi c phiu vo cc bin , v cho thng tin th v v mc ph thuc. V d, h
s beta theo bin investor confidence ca cc c phiu tng trng l s dng cn ca
cc c phiu c mc c tc cao (high-yield stocks) l s m. C th gii thch hin tng
ny nh sau: khi m nim tin ca nh u t vo nn kinh t tng ln, th h thch u
t vo cc c phiu tng trng ha hn li nhun cao v lu di, hn l cc c phiu gi
tr tr li tc nh k u n nhng khng ha hn g nhiu v lu di.
Ghi ch 5.10. Phng php hi qui tuyn tnh bi phn tch giao ng ca gi c
phiu theo nhiu bin gii thch (cn c gi l cc yu t may ri risk factors) gn lin
vi ci gi l Arbitrage Pricing Theory
(11)
(l thuyt APT) gii thch bin ng gi
c phiu, c Stephen Ross xng vo nm 1976. L thuyt APT l mt s ci tin
ca l thuyt CAPM, v theo n th k vng li nhun c phiu gii thch c khng
phi l bng mt h s beta ng vi duy nht mt yu t may ri h thng (systematic
risk trong m hnh CAPM yu t may ri h thng ny l s giao ng gi ca tng
cng ton b th trng c phiu), m l bng mt s h s beta ng vi mt s yu t
may ri h thng khc nhau.
Bi tp 5.9. c v phn tch cc thng tin trong bi bo Using macroeconomic factors
to control portfolio risk ca Edwin Burmeister, Richard Roll v Stephen Ross, 03/2003
Bi tp 5.10. Phn tch hi qui tuyn tnh v bin ng gi c phiu ca mt s cng ty
ln trong ngnh du kh theo hai bin gii thch sau: gi du ha, v s giao ng ca
ton b th trng.
(11)
Xem: http://en.wikipedia.org/wiki/Arbitrage_pricing_theory. L thuyt ny cn c gi a l
arbitrary pricing theory (l thuyt nh gi ty tin), v s ty tin trong vic la chn cc yu t may
ri
Chng 6
Qun l danh mc u t
Nn kinh t th gii pht trin c l nh c u t, khng c u t th khng c
pht trin. u t c ngha l tin ca cng sc vo nhng ci g , vi k vng l
n s em li nhng ca ci vt cht v tinh thn trong tng lai. Tt nhin, khng phi
mi u t u em li hiu qu nh nhau, hoc l u d o hiu qu. V d nh gio
dc l loi hnh u t v cng quan trng, nhng o hiu qu ca n rt kh. Ngoi
hiu qu kinh t m gio dc em li qua vic lm tng trnh chuyn mn ca mi
ngi, cn c hiu qu v vn ha, lm cho x hi vn minh ln, cht lng cuc sng
tinh thn cao ln, v iu ny khng o c bng tin.
Mt thc o hiu qu u t, t quan im kinh t v m, l ch s ICOR (incremental
capital output ratio), tc l t l tng doanh thu trn vn u t thm. V d, nu u t
thm 1$ m nh mi nm tng thm doanh thu 0.25$, th ch s ICOR bng 1/0.25 = 4.
Nc no hay cng ty no c ch s ICOR cng thp th tc l u t cng hiu qu v
mt kinh t. Chng hn, khi ch s ICOR di 3, nh l trng hp ca i Loan hay
Hn Quc trong giai on pht trin nhanh, th l hiu qu u t cao. Khi Vit Nam c
ch s ICOR vo qung 4 trong thp k 1990, th l hiu qu u t mc trung bnh,
nhng khi ch s ICOR ln trn 5 nhng nm sau , ri thm ch ln n 8 vo nm
2009, th l hiu qu u t thp, ko theo vay n nc ngoi nhiu v bp bnh v ti
chnh.
y, chng ta s khng bn v hiu qu u t t kha cnh kinh t x hi, m l
t quan im cc nh u t ti chnh, tc l nhng ngi b vn ra u t vo nhng
loi hnh u t no , nhm thu li c mt khon vn ln hn trong tng lai, tuy
tt nhin hiu qu u t ca cc nh u t v hiu qu u t ca cc ni nhn c
u t l hai khi nim gn nhiu vi nhau, v cc nh u t mun t hiu qu u
131
132 CHNG 6. QUN L DANH MC U T
Hnh 6.1: Ch s ICOR Vit Nam. (Ngun: Tng Cc Thng K)
t cao th phi tm nhng ni no c hiu qu u t cao cho vn u t vo .
i vi cc nh u t, th hiu qu u t c o bng t l li nhun, v mc
an ton hay bp bnh v ti chnh ca cc u t. Cu hi t ra i vi cc nh u
t l: u t vo nhng u, nh th no, t k vng li nhun cao nht, ng thi
m bo mc an ton chp nhn c, khng qu mo him. L thuyt ton ti chnh
nhm tr li nhng cu hi ny gi l l thuyt qun l danh mc u t. Qun l danh
mc u t v phn b ti sn (chia ti sn vo cc loi hnh u t khc nhau th no
sao cho hp l) l mt vn rt ln ca ti chnh.
Trong khun kh ca chng ny, chng ta s ch bc u tm hiu nhng nguyn
tc c bn trong vic qun l danh mc u t, nhm to c s bn c c th xy
dng c trit l u t thch hp cho mnh, v nghin cu thm v vn ny trong nhiu
ti liu chuyn v u t cng nh qua thc hnh u t. Thut ng danh mc u t
ting Anh l portfolio, ting Php l portefeuille, c hnh thnh t hai t port (hay
porte), c ngha l mang gi, v folio (hay feillle), c ngha l giy t. S d c gi
nh vy, v trong lch s, cc chng khon l cc th giy t, v portfolio c ngha l cp
gi cc giy t chng khon khc nhau, hay ni rng ra l gi cc loi ti sn khc nhau.
Trong cc chng khon th c th c chng khon c gi tr m, v d nh giy ghi
nhn l ang n ai . L thuyt qun l mt danh mc m trong c c cc khon m
ln gi l asset liability management (ALM) c ngha l qun l ti sn v n, c bit
quan trng i vi cc ngn hng v hng bo him. Nhng chng ta s khng bn n
ALM trong chng ny, m s hn ch vo trng hp phn ln cc khon khc nhau
6.1. MT S NGUYN TC CHUNG V U T 133
trong mt danh mc u t c gi tr dng.
6.1 Mt s nguyn tc chung v u t
6.1.1 Quan h gia ri ro v li nhun
Ting Anh c cu no pain, no gain (khng chu au kh th cng khng t thnh
qu) , hay ting Vit c cu thnh ng gn ging th l c ch lm quan, c gan lm
giu. Gan y l kh nng chp nhn ri ro mo him. iu ny rt ng trong u
t, khi m nguy him ri ro v c hi li nhun lun i lin vi nhau. Nh chng ta s
thy trong chng ny, cc loi hnh u t no c k vng li nhun cao hn th cng
thng i km vi mc ri ro cao hn. Ri ro y c th hiu l kh nng b mt
tin (tin thu li c nh hn s tin ban u b ra) khi gp nhng tnh hung khng
thun li. V d nh gi tin tit kim l hnh thc u t an ton cao nhng em li
li nhun thp. u t vo c phiu ca cc doanh nghip l hnh thc u t m v lu
di em li li nhun trung bnh cao hn cc hnh thc u t khc nh u t vo tri
phiu v bt ng sn, th nhng n cng c mc ri ro cao hn. Tt nhin, khng phi
c mc ri ro cao th k vng li nhun nghim nhin s cao. Chng hn, cc loi hnh
nh bc c ri ro rt cao, v k vng li nhun l s m.
Bi ton qun l danh mc u t l bi ton ti u ha v ri ro v li nhun: mt
mt phi qun l ri ro gim thiu ri ro, sao cho danh mc u t c n nh v
gi tr, khng b thua l qu mc chp nhn c khi gp cc tnh hung khng thun
li, v mt khc phi lm sao t mc li nhun k vng ln nht c th c, trong
phm vi mc ri ro chp nhn c . Chng ta s tip cn bi ton ny, u tin
l bng cc phng php nh tnh (qualitative), tc l xc nh cc ngun em li ri
ro v li nhun, v cc qui tc chung nhm qun l ri ro v tng li nhun, ri n nh
lng (quantitative), tc l cc cng thc ton hc nh ngha v tnh ton vi mc
ri ro (nh volatility v value at risk) v k vng li nhun, v cc m hnh ton hc
cho chin lc u t nhm ti u ha ri ro v li nhun.
6.1.2 a dng ha
Tuy rng cc l thuyt ton ti chnh v a dng ha (diversification) trong u t,
trong c l thuyt gi l modern portfolio theory (l thuyt danh mc u t hin i)
ot gii Nobel v kinh t ca Harry Markowitz
(1)
, mi ch xut hin t gia th k 20,
nhng cc bi hc v a dng ha trong u t trn th gii c t hng ngn i nay.
Theo Roger Gibson [10], t hn mt nghn nm trc cng nguyn, trong sch Talmud
(kinh thnh ca o Do Thi
(2)
) vit nh sau:
Mi ngi phi chia ti sn ca mnh thnh ba phn, mt phn vo t
ai, mt phn vo doanh nghip, v mt phn d tr.
Li khuyn trn trong sch Talmud tuy rt n gin nhng cng rt sng sut v hiu
nghim. Nh t, doanh nghip, v d tr (nh l vng, hay tin gi ngn hng) l ba
loi hnh u t khc nhau, phc v cc nhu cu khc nhau, vi cc k vng v li nhun
v an ton khc nhau, khi kt hp vi nhau th cho c mt r ti sn v m bo
c mc an ton cao, va c trin vng li nhun tt.
Ni mt cch tng qut, a dng ha ti sn l bin php hiu qu nhm gim ri ro.
Khi a dng ha ti sn th ri ro gim i, bi v mi lc ri ro c th xy n vi mt
loi ti sn no , ch thng khng xy n vi tt c cc ti sn cng mt lc. Nu
ch gi mt ti sn, m ri ro xy n vi ti sn , th s b thit hi nng n. Nhng
khi gi nhiu loi ti sn, th mc thit hi chung trn tng ti sn s nh hn nhiu
khi ri ro xy ra vi mt trong cc ti sn.
6.1.3 n by ti chnh
Biu hin ca vic s dng n by u t, l khi mt ti khon u t vo mt loi
chng khon no li c tc thay i gi tr nhanh hn l chng khon . V d,
mt ngi c 1000$ u t vo vng, nhng vay cng ty chng khon thm 19000$
mua 20000$ tin vng, vi n by l 20 ln. Nu nh gi vng trong ngy tng ln 1%,
th thay v ch c li 1% nu ch u t bng vn ca mnh, ngi ny c li gp 20
ln nh vy, tc l li 20%, nh dng n by.
n by hp dn vi cc nh u t (hay ni chnh xc hn l u c) v cc qu u
c (hedge funds
(3)
) nh l ting gi ca nng tin c, v n ha hn trin vng tng li
nhun ln nhiu ln. Vic dng n by cao rt ph bin trn cc th trng ti chnh,
(1)
Xem: http://en.wikipedia.org/wiki/Harry_Markowitz.
(2)
Xem: http://en.wikipedia.org/wiki/Talmud
(3)
hedge fund nu dch theo tng ch th c ngha l qu phng v, tc l cc qu c s dng cc
chin lc ro cn (hedge) phng chng ri ro, nhng trn thc t y thng l cc qu u c vi
ri ro cao hn l qu tng h thng thng, do s dng n by ti chnh.
6.1. MT S NGUYN TC CHUNG V U T 135
nh l th trng hng ha (commodities) v ngoi hi (forex). Tuy nhin, n by l
con dao hai li rt nguy him, v i km trin vng tng li nhun ln nhiu ln cng
l s tng ri ro ln gp bi. Trong v d pha trn, nu gi vng khng i ln 1% m
li gim 5%, th ngi dng n by 20 ln u c vng s ph sn. Khi th trng c
phiu i xung, th cc nh u t c phiu dng n by cao (v d vay mt lng tin
bng s tin mnh c, c th mua c mt lng c phiu nhiu ln gp i) cng
gp nguy c ph sn tng t, nh xy ra vi nhiu ngi Vit Nam trong giai on
20082009.
K c khi m mt ngi c nhng phn on rt ng v gi ca mt chng khon
no , th vic dng n by cao vn c th gy ra ph sn, do cc bin ng ngn hn
bt li ca th trng. V d, mt ngi phn on l c phiu XYZ s i ln rt mnh
trong 1 nm, v mua c phiu vi n by 2 ln (tc l vay thm s tin bng 100%
vn mua). Qu tht, sau 1 nm, c phiu XYZ tng gi ln gp 5 ln. Th nhng,
trc khi i ln mnh nh vy, gi ca XYZ i xung ch cn bng 50% gi thi im
m ngi ny mua vo (ri sau tng gi ln gp 10 ln tnh t ch gi thp), kp lm
cho ngi ny ph sn v khng cn c hng thnh qu s phn on ng n ca
mnh na. Trn th trng chng khon khng thiu nhng v d c tht v bin ng
gi nh vy.
Mt trong cc nguyn tc quan trng ca u t l, phi rt thn trng vi n
by (v vi cc qu u t dng n by, nh l cc hedge funds), bi n by c th
lm tng ri ro ln qu mc chp nhn c.
6.1.4 m an ton
Nh chng ta thy t Chng 5, vic c lng gi tr ca mt c phiu, hay ni mt
cch tng qut hn, ca mt s loi ti sn no , l vic rt kh, v hai ngi khc
nhau c th cho hai gi tr c lng rt xa nhau i vi cng mt chng khon, c
lng ca ngi ny c khi cao gp n my ln c lng ca ngi kia. Ngi no c
lng ra gi tr ca chng khon cng cao, th cng d chp nhn mua chng khon vi
gi cao, m khi mua vi gi cao nh vy th d b ri ro v gi, bi v sau kh bn li
cho nhng ngi khc c c lng gi tr thp hn cho chng khon , sn sng bn
n vi gi r hn. Trong l thuyt v cc tr chi u gi c mt nh l gi l ni kh
ca ngi thng (the winners curse): ngi thng cuc trong mt cuc bn u gi l
ngi tr gi cao nht, v sau c th hi hn v tr gi cao n vy.
trnh ri vo tnh trng hi hn v tr gi qu cao, c mt nguyn tc trong u
t, gi l m an ton (cushion of safety): mt nh u t ch nn mua chng khon
vi gi thp hn ng k so vi c lng gi tr ca nh u t v chng khon . S
chnh lch gia gi tr c lng, v gi mua vo, chnh l m an ton, nu chng
may c lng c b sai v cao qu so vi cc c lng ca cc nh u t khc, th
vn gim c ri ro v gi tr chng khon mua vo so vi tin b ra mua n. m
an ton chnh l mt trong cc nguyn tc u t quan trng nht ca t ph Warren
Buffet, ngi c mnh danh l nh u t gii nht th gii.
6.1.5 di thi gian
Mt cy n qu, t lc trng n lc c hi qu, c khi phi i vi nm. i vi
u t cng vy, mi loi hnh u t cng thng i hi mt di thi gian nht
nh. V d, vi cc tri phiu chnh ph di hn, nu gi n lc o hn th ni chung
m bo l c li nhun, nhng nu ch gi mt thi gian ngn th c th b l v ri ro v
li sut. i vi c phiu cng tng t nh vy: nu gi mt r c phiu lu di nhiu
nm, th ni chung l c li nhun tt, nhng nu ch gi ngn hn (u t theo kiu lt
sng, chy theo mt ca th trng) th ri ro cao, d thua l do cc bin ng gi bt
li xy ra trong ngn hn.
Nhng ti liu nh Greenblatt [11, 12] v Shenoy [27] cho thy, v mt l thuyt ai
cng c th tm c cc c phiu u t t mc li nhun trung bnh trn 20%/nm,
theo nhng nguyn tc tng i n gin d p dng, th nhng rt him ngi t hiu
qu u t nh vy. Vn nm ch, phn ln cc nh u t c ci nhn qu ngn
hn, chy theo mt th trng m b qua nhng c phiu c gi thp hn nhiu gi tr
thc. n khi cc c phiu nh vy tr thnh mt th cng l lc gi ca chng cao
ln nhiu ri.
Theo nguyn tc chung, nhng ngi cng c th gi di hn cc khon u t, th
cng b nh hng ca ri ro bin ng gi trong ngn hn, v cng d chn c cc
u t mang li k vng li nhun trung bnh hng nm cao hn. V im ny, nhng
ngi cn tr tui c li th hn l nhng ngi nhiu tui.
6.1.6 u t c t chc
Cng vic u t l mt cng vic phc tp, v mun lm tt n i hi phi lm tt
nhiu cng on nh: thu thp thng tin, phn tch tnh hnh th trng, phn tch cc
6.2. CC LOI HNH U T 137
c hi u t, lp chin lc a dng ha v phn b ti sn, thc hin mua bn, qun
l ri ro, tnh ton s sch, v.v. V c nhiu cng vic nh vy, nn mt c nhn n l
thng khng th lm xu mt cch ti u c, m cn c mt t chc, c phn cng
cng vic, tng tr ln nhau, th kt qu s tt hn. Bi vy, ngi ta ni rng u t
l mt mn th thao tp th (investing is a team sport). Cc nh u t ni chung
nn trnh u t ring l, m nn tham gia mt nhm u t, hay mt cng ty u t c
t chc tt, hay gi tin vo mt ni nh vy, th s gim c ri ro v c c nhiu c
hi u t tt hn. Cc nh u t ln nht th gii u l u t c t chc, c nhiu
ngi tham gia ph trch cc vn khc nhau trong mt b my u t.
6.2 Cc loi hnh u t
C nhiu loi hnh u t khc nhau. y chng ta s im qua mt s loi hnh
u t thng dng nht, v k vng li nhun cng nh mc ri ro ca chng.
6.2.1 Vng bc chu bu
Ni v lu di, th vng bc chu bu ch l phng tin gi ti sn, ch khng sinh
ra li nhun (tr khi em cho vay ly li, th thnh loi hnh u t cho vay n, hoc
em dng trong vic ch to ci g , th khng cn l u t theo ngha y na, m
l sn xut). Mt cn vng 100 nm sau vn ch l mt cn vng ch khng sinh thm
ra ca ci. Bi vy c th ni, li nhun trung bnh t u t vng bng 0. i vo
chi tit hn, th trong mt qu trnh di hng th k, tng gi trung bnh hng nm
ca vng xp x bng mc lm pht trung bnh. Vo nm 1880, mt lng vng c gi
20.67$, v 130 nm sau, vo cui nm 2010 n c gi 1350$, tc l tc tng gi trung
bnh vo khong 3,27%/nm, tng ng vi tc lm pht trung bnh ca ng USD
trong 130 nm (hn 3%/nm). V lu di, gi vng khng th tng nhanh hn ng
k so vi t l lm pht, v vng trn th gii khng b khan him i, v t l gi tr ca
vng so vi tng cc ti sn trn th gii khng th phnh to qu c, cho nn gi ca
n cng khng th tng qu cao so vi gi ca cc th khc. Tt nhin, do giao ng ca
th trng, c nhng giai on m gi vng tng nhanh, v d trong 1 nm 19781979
gi vng tng hn gp i t 208$ ln 459$ mt lng, nhng cng c nhng giai on
gi vng khng tng m li gim, v d trong 10 nm 19871997 gi vng gim t gn
500$ xung cn 290$. Tnh trung bnh li trong rt nhiu nm, th tng ca gi vng
ch tng ng vi t l lm pht. T quan im u t di hn, th gi vng khng
nhm mc ch mang li li nhun, m ch l cch phn b ti sn nhm gim ri ro
v chng lm pht. Nhng nh u t mua i bn li vng thng xuyn trn th trng
ti chnh phn ln khng phi l u t theo ng ngha, m l u c gi vng, hay l
nh bc vi vng, vi k vng li nhun trung bnh (sau khi tr i lm pht) bng 0,
hay thm ch l s m sau khi tr chi ph giao dch, v c th c mc ri ro rt cao (v
c nhiu ngi tham, dng n by mnh, v d c 1 ng vay thm 9 ng u c
vng, d b mt ht ti sn).
6.2.2 Bt ng sn
Mt v d ni ting v thnh cng trong bt ng sn l cu chuyn v bn o
Manhattan (New York), mt ni thuc loi giu c v t nht trn th gii ngy nay,
vi hn 1,6 triu dn. Vo nm 1626, mt thng gia gc H Lan tn l Peter Minuit mua
o ny t nhng ngi th dn da bng mt lng hng ha tr gi ch khong 24$
thi . Ngy nay, 385 nm sau, khng ai bit bn o c gi tr l bao nhiu. Nhng
ta c th hnh dung l trn o c 1,6 triu dn giu c, v h trung bnh c t c
gi tr c 1 triu USD mi ngi, th ta c con s c lng l t o Manhattan ngy
nay tr gi khong 2 nghn t USD. Php tnh
(2 10
12
/24)
1/385
1.0675
cho ta thy l gi ca o ny (tnh theo USD, cha tr i lm pht) tng trung bnh
khong 6.75% trong 385 nm. Nu tr i lm pht th c l cn di 5%/nm. M y
l mt thnh cng tuyt vi v bt ng sn, him ni no c nh vy. Bi vy, c th
ni rng, u t vo bt ng sn c em li li nhun v lu di, nhng t l li nhun
trung bnh khng vt qu 5%/nm sau khi tr i lm pht. (Tt nhin, cng c nhng
giai on gi nh t ln cn st, tng gi rt nhanh, nhng v lu di vn khng vt
5%). u t vo vng em li li nhun bng 0, cn u t bt ng sn em li li
nhun dng, l bi v bt ng sn c nhng hiu ng lm tng gi tr m vng khng
c: khi mt mnh t cng c xy dng ln trn , cng c nhiu ngi mun n ,
tr thnh trung tm, th gi tr ca n cng tng ln.
Tt nhin, u t bt ng sn cng c ri ro, c bit i vi nhng ai mua vo lc
ang c bong bng bt ng sn. V d, bong bng bt ng sn Tokyo thp k 1980
y gi nh t ln n tn my xanh, c nhng khu c gi n 1 triu USD mt mt
vung, nhng ri gi gim trong sut nhiu nm sau . Vo nm 2004, gi nh Tokyo
ch cn bng khong 1/10 gi nm 1989, v nh t khu ti chnh Tokyo c gi ch cn
bng 1/100 gi lc nh im ca n
(4)
.
i vi nhng ai cha c nh , th u t bt ng sn bng vic mua nh c th
l mt hnh thc u t tt v t ri ro, c bit nu nh gi thu nh cao v c th vay
tr gp vi li sut tng i thp (tin tr gp hng thng c khi ch bng tin thu
nh, m li c c nh ca mnh).
u t vo nh cho thu cng c th l mt hnh thc u t hp dn (ngoi chuyn
gi t tng nu l ch tt, cn thu c tin nh, nn c th t li nhun trung bnh
trn 5%/nm sau khi tr lm pht). Hnh thc u t ny tng t nh l u t vo
mt loi doanh nghip (vi cng vic l kim nh ri cho thu). Cc hnh thc u t
nh mua t xy nh hay sa nh c bn li cng c th coi l cc hnh thc u t
vo doanh nghip ch khng phi l bt ng sn thun ty.
6.2.3 Cc sn phm n
Mt loi hnh u t rt ph bin l u t vo cc sn phm n, hay ni cch khc,
tc l i cho vay, trc tip hay gin tip. Tt nhin, c nhiu kiu cho vay khc nhau, v
mc ri ro v k vng li nhun ca chng cng khc nhau.
- Cho vay trc tip c nhn, hoc l u t vo cc tri phiu ph phm (junk bonds,
d v n): nu mc ch ca vic cho vay ny l kim li nhun t li sut cao (hn
hn li sut trung bnh), th y l hnh thc u t mo him cao, kh nng b qut n
ln. Nhng ngi i vay vi li sut rt cao so vi trung bnh l nhng ngi t ng tin
cy v ti chnh.
- Gi tin tit kim ngn hng, hoc l mua cc tri phiu ngn hn (u t trn
th trng tin t): an ton ni chung rt cao, nhng li nhun thp. Li sut thc
t ca cc khon gi tit kim (sau khi tr i t l lm pht) v cc sn phm n
ngn hn trung bnh trn th gii khng vt qu 1-2%/nm. V d, theo cc thng k,
1$ u t vo tn phiu chnh ph ngn hn M trong sut 80 nm t 1925 n 2005 s
c thnh 18,40$, nhng do lm pht nn 10,98$ nm 2005 ch c gi tr bng 1$ nm
1925
(5)
. Sau khi tr i lm pht, th tn phiu ngn hn ch cho li nhun trung bnh l
0,65%/nm trong 80 nm . nhng ni ang c nhiu c hi pht trin nhanh th li
(4)
Xem http://en.wikipedia.org/wiki/Japanese_asset_price_bubble
(5)
Cc con s thng k v th trng M giai on 19252005 y l ly t Ibbotson Associates 2006
Yearbook
sut gi tit kim cao hn. V d, Vit Nam nhng nm 1990 li sut thc cho tin gi
tit kim ln n 4-5%/nm (sau khi tr lm pht).
- Tri phiu di hn: li sut ph thuc vo k hn, v ri ro v n ca tri phiu.
Cc tri phiu cht lng thp (v d nh c mc tn nhim l BB) th c ri ro v
n cao hn l tri phiu cht lng cao (c mc tn nhim A+), nhng tnh trung bnh
( tr i phn v n) th cho li nhun cao hn l tri phiu cht lng cao. Cho n
gn y, ngi ta coi rng tri phiu chnh ph M l loi c cht lng cao nht. 1$ u
t lin tc vo cc tri phiu di hn loi ny vo nm 1925 s cho 70,85$ vo nm 2005,
tc l cho mc li nhun trung bnh hng nm gn 2,5% sau khi tr i lm pht (hay
gn 5,5% khi cha tr i lm pht), tt hn ng k so vi cc loi cho vay ngn hn.
B li, tri phiu di hn c ri ro v bin ng gi, i vi nhng ngi mua tri phiu
di hn nhng khng gi n lc o hn m ch gi mt thi gian ngn ri bn i: nh
chng ta thy t Chng 4, khi li sut tng th gi ca tri phiu gim, v tri phiu
cng di hn th gim cng ln khi li sut tng. C nhng giai on m gi tri phiu
chnh ph di hn c th gim trn 25%.
6.2.4 C phiu
C phiu l mt loi hnh u t c mo him cao, bi v gi c phiu hay giao
ng mnh, v c kh nng gim xung ch cn bng mt phn nh gi lc trc. V
d, trn th trng chng khon Vit Nam, gi cc c phiu gim trung bnh hn 70%
trong gian on cui 2007 u 2009. M, ch s Dow Jones Industrial (i din cho
gi c phiu ca 30 cng ty ln vo loi nht nc M) cng c lc gim t 381 xung
cn c 42 trong giai on 1929-1033. Tuy nhin, nu tnh v lu di, th c phiu li l
mt hnh thc u t em li li nhun cao hn hn so vi tri phiu, v cng cao hn
so vi bt ng sn. 1$ u t lin tc vo c phiu ca cc cng ty ln M nm 1925
s em li trung bnh l 2657$ vo nm 2005, tc l cho mc li nhun trung bnh 7.1%
sau khi tr lm pht (10.3% nu cha tr i lm pht). Vit Nam, sau nhiu ln
thng trm, gi c phiu tng trung bnh ln gp hn 4 ln trong 11 nm 2000-2011 (ch
s VNINDEX tng t 100 ln trn 400), tc l tng trung bnh qung 14%/nm (cha
tr i lm pht), vn tt hn so vi gi tit kim.
S d u t vo c phiu em li li nhun trung bnh cao v lu di, bi v l u
t vo cc doanh nghip, m danh nghip chnh l ni to ra sn phm hng ha dch
v, to thm ra gi tr cho x hi. V d, mt ci in thoi di ng loi tt c gi vi
trm USD, nhng cht liu th cn thit sn xut ra n c gi thnh rt thp, gi tr
ca n ch yu nm cng ngh, tc l sn phm cht xm, do cc cng ty to ra. Cc
doanh nghip khng ngng thay i, sng kin ci tin, to ra cng ngh mi, cch iu
hnh mi hiu qu hn, gi tr mi, v chnh v vy m gi tr ca chng tng ln nhanh.
Ni chung, cc cng ty ch i vay, khi m vic vay c li cho cng ty, c ngha l
khi cng ty s dng s tin i vay em li li nhun nhiu hn l li sut phi tr. Do
, tnh trung bnh, vn (equity) ca cc cng ty phi tng trng nhanh hn l mc li
sut. iu ny cng gii thch v sao u t vo c phiu em li li nhun nhiu hn l
u t vo tri phiu v lu di.
Ni chung cc doanh nghip nh c ri ro ti chnh cao hn l cc doanh nghip
ln, nhng c hi pht trin ca chng cng ln hn. (Nhiu danh nghip ln ni ting
ngy nay xut pht l t doanh nghip nh, v khi ln n mc no ri th khng
cn pht trin nhanh c na). Mt phn bi vy m u t vo cc c phiu nh
(small-cap stocks, tc l c phiu ca cc doanh nghip nh) cng c ri ro cao hn
l u t vo cc c phiu ln, nhng k vng li nhun v lu di cng cao hn. 1$ u
t lin tc vo cc c phiu nh M nm 1925 s em li trung bnh l 13706$ vo nm
2005, thay v ch c 2657$ nu u t vo cc c phiu ln.
Ghi ch 6.1. u t vo doanh nghip, khng nht thit phi mua c phiu, m cn
c cch khc, l xy dng doanh nghip. Cch ny kh hn l cch th nht, v t ngi
lm c. Nhng ngi giu nht th gii thng khng phi l nhng ngi mua c
phiu gii, m l nhng ngi xy dng doanh nghip gii, to ra c phiu bn cho ngi
khc ly vn xy doanh nghip. Th trng chng khon c cng dng to iu kin
cho nhng ngi khng bit xy dng doanh nghip cng c th c hng li t cc
doanh nghip tt bng vic u t vo nhng ngi bit xy dng doanh nghip. trong
sch ny chng ta s khng bn n vic xy dng doanh nghip, m ch bn n vic
u t chng khon vo cc cng ty c sn.
6.2.5 Chng khon phi sinh
Cc chng khon phi sinh ngy nay tr thnh cng c u t yu thch ca rt
nhiu ngi, c bit l cc qu u c (hedge funds). Chng khon phi sinh c th
c dng lm gim ri ro ca cc danh mc u t (v bi vy c t hedge, c ngha
l hng ro ngn chn ri ro). Th nhng n cng c th c dng lm n by u
c hng kim li nhanh chng. V d, khi mt c phiu tng 10%, th mt s loi quyn
chn mua (Call) ca n c th tng theo nhng 100%, nhanh gp 10 ln so vi c phiu,
v nh vy u t vo Call trong trng hp ny cho n by 10 ln, thng nhanh gp
10 ln so vi u t vo c phiu. Tuy nhin, cc n by trong ti chnh lun l cc con
dao hai li: nu n lm tng k vng li nhun, th cng lm tng ri ro. Cc hedge
funds thng c ri ro cao hn nhiu so vi cc loi hnh u t khc, do n by ti
chnh m h dng. Thc t trn th gii l c nhiu hedge funds ph sn, trong khi cc
qu u t vo c phiu hay tri phiu ni chung khng ph sn c.
6.3 Li nhun v li nhun k vng
6.3.1 Cc cng thc tnh li nhun
Nu mt ngi u t mt khon tin (hay ti sn tr gi) V (0) v sau mt thi gian
T u t c (k tt c cc khon thu c) tr gi l V (T), th li nhun ca u t
ny l V (T) V (0), v t l li nhun (rate of return, ROR, hay cn gi l return on
investment, ROI) l
R =
V (T) V (0)
V (0)
. (6.1)
Ghi ch 6.2. Cng thc trn l cng thc thng c dng, nhng n khng tnh n
lm pht. Nu tnh n lm pht ( c t l li nhun thc t, sau khi tr i lm
pht), th phi thay V (0) bng (1 +)V (0) trong cng thc trn, trong l t l lm
pht xy ra trong thi gian u t, c ngha l lng tin (1 + )V (0) sau thi gian T
ch c sc mua bng lng tin V (0) vo thi im ban u.
Gi s l qu trnh u t gm nhiu giai on, v d n nm, v sau nm th i gi
tr ca ti khon u t l V (i), v n gin ta gi s thm rng khng c s rt bt
tin ra hay b thm tin vo ti khon u t trong qu trnh . Khi t l li nhun
ca nm th i l
R(i) =
V (i) V (i 1)
V (i 1)
, (6.2)
hay c th vit l V (i) = (1 + R
i
)V
i1
, t suy ra:
V (n) =
n
i=1
(1 + R
i
)V (0), (6.3)
c ngha l t l li nhun ca ton qu trnh u t bng
R(n) =
n
i=1
(1 + R
i
) 1. (6.4)
6.3. LI NHUN V LI NHUN K VNG 143
Con s
R = (1 + R(n))
1/n
1 = (
n
i=1
(1 + R
i
))
1/n
1 (6.5)
c gi l t l li nhun trung bnh hng nm (hay trn mt giai on) ca qu
trnh u t n nm (hay n giai on) vi t l li nhun cc nm (hay cc giai on) l
R
i
(i = 1, . . . , n). ngha ca n l, nu nh giai on no cng c t l li nhun ng
bng R, th t l li nhun sau n giai on s ng bng R(n). Trong trng hp tnh
theo nm, con s R cn c gi theo ting Anh l CAGR (compound annual growth
rate).
Ch rng, t l li nhun trung bnh R khng phi l trung bnh cng ca cc con
s R
1
, . . . , R
n
, m ni chung nh hn trung bnh cng. (Nu qu u t no qung
co li nhun trung bnh hng nm bng cch tnh trung bnh cng, th l thiu trung
thc!). V d, nu u t 2 nm, nm u c t l li nhun 100% (tng gi tr ln gp
i), v nm th hai c t l li nhun -50% (gim gi tr i mt na), th li nhun sau
hai nm l bng 0, trong khi trung bnh cng ca t l li nhun hng nm l +25%.
Trong trng hp m danh mc u t gm c nhiu khon u t khc nhau, th t
l li nhun ca ton danh mc bng trung bnh cng c trng s ca cc t l li nhun
ca cc khon u t trong : gi s ta c mt danh mc u t gm m khon u t
c gi tr V
1
(0), . . . V
m
(0) tng ng ti thi im ban u, v tng gi tr ca danh mc
l:
V (0) =
m
j=1
V
j
(0). (6.6)
Khi
w
j
=
V
j
(0)
V (0)
(6.7)
c gi l t trng (weight) ca khon u t th j trong danh mc. Nu R
j
l t l
li nhun ca khon u t th j, v R l t l li nhun ca ton danh mc u t (ti
cng mt thi im T no ), th ta c:
R =
m
j=1
w
j
R
j
(6.8)
Bi tp 6.1. Hy chng minh cng thc trn.
6.3.2 Li nhun k vng
i vi cc qu trnh u t xy ra, nh u t c th tnh c l t li
nhun bng bao nhiu. Nhng i vi cc qu trnh u t ang hoc s xy ra, ni chung
khng th bit chnh xc c li nhun cho u t vo mt thi im trong tng
lai s l bao nhiu, m nh u t ch c th dng cc cch khc nhau c lng xem
k vng li nhun s bng bao nhiu, chng hn da trn s liu lch s, hoc l da trn
cc m hnh phn tch no .
V d 6.1. Thng k th trng chng khon M trong vng 80 nm 19252005 cho thy,
t l li nhun trung bnh ca vic u t vo c phiu l 10.3%/nm (cha tr i lm
pht), tuy rng c nhng giai on th trng i xung. Da vo con s , ngi ta cng
c th k vng rng, li nhun trung bnh ca vic u t vo c phiu M trong nhng
nm ti cng s t qung 10%/nm (hay 7%/nm sau khi tr i lm pht). Tng t
nh vy, da vo cc con s thng k trn th trng Vit Nam trong giai on 20002011,
ngi ta cng c th k vng rng li nhun trung bnh cho u t c phiu Vit Nam
s t qung 14%/nm (cha tr lm pht) trong nhng nm sau .
Ch rng, cc kt lun thng k m ch da trn t s liu th khng ng tin cy
(trong xc sut thng k ngi ta gi hin tng l lut s nh ). V d, cc nh u
t nhn thy c phiu i ln rt nhanh, trn 40%/nm, trong vng 2 nm lin, m vi kt
lun l n s i ln nhanh tip nh vy trong nm tip theo, th s rt d b tht vng.
i vi cc qu u t cng vy. Mt hedge fund m dng mt s chin thut n by
no , c th em li t l li nhun rt cao trong vi nm khi gp iu kin thun li,
nhng iu khng chng t l chin lc ca hedge fund s cho li nhun trung
bnh cao nh vy, m c th l n nm sau khi gp kh khn th hedge fund s thua
l nng hay thm ch ph sn.
V d 6.2. Mt xu hng th gii vo na u th k 21 l pht trin nng lng ti
to c (renewable energy), c bit l nng lng mt tri, thay th cho cc ngun
nng lng ha thch (nh du m, than ) va cn kit nhanh va hi mi trng.
Da trn cc s liu d on v s pht trin cc nh my in mt tri trn th gii,
ngi ta c th c lng rng u t c phiu vo cc cng ty ln chuyn v sn xut
v lp t in mt tri s mang li li nhun trung bnh trn 20%/nm trong giai on
20102020, cao hn so vi li nhun trung bnh ca cc c phiu khc.
Mt cch c lng li nhun k vng, l xy dng nhiu kch bn khc nhau, c
lng xc sut xy ra ca mi kch bn v t l li nhun trong trng hp xy ra, ri ly
6.3. LI NHUN V LI NHUN K VNG 145
trung bnh c trng theo xc sut. Gi s ta xy dng c khng gian =
1
, . . . ,
k
cc kch bn
1
, . . . ,
k
c th xy ra, vi cc xc sut xy ra tng ng l P(
i
) = p
i
(
k
i=1
p
i
= 1), v c lng t l li nhun khi m kch bn th i xy ra l R
i
. Khi k
vng t l li nhun s l:
E(R) =
k
i=1
p
i
R
i
. (6.9)
(Ch E trong cng thc trn l ch k vng, khi ta coi t l li nhun R nh l mt
bin ngu nhin cha xc nh c).
V d 6.3. Gi s mt hng dc phm b 300 triu $ u t vo nghin cu cho ra
mt loi thuc gim au mi, v cho n gin ta gi s rng c 3 kch bn c th xy
ra:
1) Nghin cu khng thnh cng, mt ton b tin. Xc sut ca kch bn ny l 65%.
2) Nghin cu thnh cng, nhng khng phi l thuc c hiu qu cao lm. Gi tr ca
thuc nghin cu c l 600 triu $. Xc sut ca kch bn ny l 25%.
3) Thuc rt tt, c gi tr 3 t $. Xc sut ca kch bn ny l 10%
Kch bn u tin c t l li nhun l R
1
= 1 (mt ton b vn u t); kch bn
th hai c t l li nhun l (600 300)/300 = 1; kch bn th ba c t l li nhun
l (3000 300)/300 = 9. Tnh tng cng li, ta c k vng li nhun l E(R) =
65%(1) + 25%1 + 10%9 = 50%.
Ni mt cch tng qut hn, nu ta gi s (, T, P) l khng gian xc sut tt c
cc tnh hung c th xy ra i vi mt danh mc u t, v R : (, T, P) R l bin
ngu nhin t l li nhun theo cc tnh hung xy ra, th k vng li nhun ca danh
mc u t chnh l gi tr k vng ca bin ngu nhin R:
E(R) =
_
RdP. (6.10)
Vn trong thc t, l lm sao xy dng c m hnh khng gian xc sut (, T, P)
hp l v c th tnh ton c vi n, v bin ngu nhin R hp l trn , da trn
cc m hnh phn tch khc nhau.
Ghi ch 6.3. Mt vn quan trng khi tnh ton vi k vng l phi lm sao m bo
tnh khch quan v nht qun ca n. V d, nu cng ty nc gii kht no cng k
vng tng trng 10%/nm, trong khi ton b th trng nc gii kht th gii ch c
k vng tng trng 5%/nm, th nh vy l khng nht qun, v iu c ngha l c
th nhiu cng ty c k vng tng trng ch quan, thiu thc t. Tng t nh vy, cc
con bc thng c k vng li nhun ch quan l s dng, trong khi k vng li nhun
khch quan l s m.
6.4 Hm tha dng
6.4.1 Khi nim hm tha dng
Gi s c hai chin lc u t A v B khc nhau cho mt ti khon u t cho mt
giai on no . Chin lc A s cho t l li nhun c nh bng 5% d bt c tnh
hung no xy ra. Chin lc B cho t l li nhun ph thuc vo tnh hung: +25%
nu tnh hung tt xy ra, 10% nu tnh hung xu xy ra, v gi s l xc sut
mi tnh hung xy ra l 50%. Khi , t l li nhun k vng ca chin lc B s l
(25%10%)/2 = 7.5%, cao hn l k vng li nhun ca A. Th nhng, mt nh u t
c th s thch chin lc A hn chin lc B, v A chc chn em li li nhun cn B
th bp bnh, c th gy l. Khi , ta ni rng, i vi nh u t, chin lc A c
tha dng (utility) cao hn l chin lc B. tha dng khng ch ph thuc vo k
vng li nhun, m cn ph thuc vo chc chn hay bp bnh ca cc u t.
Ni mt cch tng qut hn, gi s ta c khng gian xc sut (, T, P) tt c cc
tnh hung c th xy ra. ng vi mi chin lc u t A c mt bin ngu nhin
R
A
: (, T, P) R l t l li nhun s t c theo chin lc trong cc tnh
hung. Gi F(, T, P) l khng gian tt c cc bin ngu nhin (tc l cc hm o c)
trn (, T, P).
nh ngha 6.1. Mt hm s
U : F(, T, P) R (6.11)
c gi l hm tha dng (utility function), hay cn gi l hm tin ch, nu n tha
mn tnh cht n iu tng sau: nu R
A
v R
B
l hai bin ngu nhin trn (, T, P)
sao cho R
A
R
B
hu khp mi ni, th ta cng c U(R
A
) U(R
B
). tha dng,
tnh theo U, ca mt chin lc u t A vi bin t l k vng li nhun R
A
, l U(R
A
).
ngha ca hm tha dng l: nu hai chin lc u t A v B c U(R
A
) > U(R
B
)
th nh u t s thch A hn B. Nu nh chin lc A lun cho li nhun cao hn chin
lc B d tnh hung no xy ra, th tt nhin nh u t s thch A hn B, tc l
tha dng ca A cao hn ca B. y chnh l tnh cht n iu tng ca hm tha
6.4. HM THA DNG 147
dng. Nu tha dng ca mt chin lc no l , th tc l nh u t s khng
bao gi chp nhn n.
Ch rng, hm tha dng khng duy nht, m ph thuc vo s thch ca nh u
t. Vi hai chin lc A v B c cc bin ngu nhin t l li nhun R
A
v R
B
cho trc,
nh u t ny c th thch A hn B trong khi nh u t khc li thch B hn A. Chng
ta khng th bit c hm tha dng ca mi nh u t c th ra sao, nhng c th
a ra mt s hm tha dng hay c dng, v gi s l nh u t s dng mt trong
cc hm tha dng nh vy khi la chn chin lc u t.
Ghi ch 6.4. Mc ch chnh ca hm tha dng l so snh gia cc la chn. Bi vy
nu U, V l hai hm tha dng khc nhau tha mn ng thc U = f(V ), trong f l
mt hm s thc n iu tng cho trc no (v d nh V = U +1 hay V = U
3
), th
hai hm tha dng U v V ny c th c coi l tng ng vi nhau, v chng cho ra
cc la chn ging nhau.
Nu U l mt hm tha dng, th n cng c xc nh trn cc hng s, bi v mi
hng s u c th coi l mt bin ngu nhin vi gi tr l hng s . Trn tp cc hng
s (tc l tp s thc), U cng c tnh n iu tng. Ngc li, gi s c mt hm n
iu tng:
u : R R . (6.12)
Khi , ta c th xy dng mt hm tha dng U t u theo cng thc gi tr k vng:
U(R
A
) = E(u(R
A
)) =
_
u(R
A
)dP. (6.13)
Cc hm tha dng c xy dng theo cng thc trn c gi l hm tha dng
cng tnh, v gi tr ca n cn c gi l tha dng k vng (theo u). Hm s
u y cng c gi l hm tha dng. Loi hm tha dng cng tnh l loi hm tha
dng ph bin nht trong ti chnh. Theo mt nh l ca Von Neumann v Morgenstern
t nm 1944
(6)
, nu mt hm tha dng U tha mn mt s tin no , th n s l
cng tnh, tc l tn ti mt hm s u tha mn cng thc pha trn.
6.4.2 Hm tha dng Bernoulli
Mt trong cc hm tha dng hay c dng nht l hm tha dng Bernoulli, do
nh ton hc Daniel Bernoulli xng t nm 1838 trong li gii cho nghch l St.
(6)
Xem http://en.wikipedia.org/wiki/Von_Neumann-Morgenstern_utility_theorem
Petersbourg
(7)
.
nh ngha 6.2. Hm tha dng Bernoulli l hm tha dng cng tnh cho bi hm
s
u
Bernoulli
(x) = ln(1 + x), (6.14)
c ngha l
U
Bernoulli
(R
A
) =
_
ln(1 + R
A
)dP. (6.15)
Cng thc trong nh ngha trn c vit cho t l li nhun, vi gi s l t l li
nhun lun ln hn hoc bng 1 (tc l gi s trng hp xu nht th mt 100% tin
u t ch khng mt hn vy). Nu R
A
c nhn gi tr nh hn 1, th ta coi l tha
dng Bernoulli ca chin lc A bng m v cng.
Nu ta coi l s tin b ra u t l V (0) = 1 (tnh theo n v no ), th V
A
= 1+R
A
chnh l tng s tin thu li c t u t theo chin lc A, v do ta cng c th
vit cng thc hm tha dng Bernoulli nh sau:
U
Bernoulli
(A) = E(ln V
A
) =
_
ln(V
A
)dP. (6.16)
Ni cch khc, tha dng Bernoulli bng k vng ca log ca tr gi ca ti sn. Bi
vy, hm tha dng Bernoulli cn c gi l hm tha dng log.
Theo hm kh dng Bernoulli, th s chnh lch v tha mn v ti chnh gia mt
ngi c 1 t USD v mt ngi c 1 triu USD, cng ch bng s chnh lch v tha
mn v ti chnh gia mt ngi c 1 triu USD v mt ngi c 1 nghn USD, v trong
c hai trng hp th ngi th nht u c tin nhiu gp 10 ln ngi th hai, v c
chnh lch v tha dng Bernoulli so vi ngi th hai l ln 10.
Mt tnh cht t nhin rt quan trng ca hm tha dng Bernoulli l tnh cng tnh
theo thi gian, tc l tha dng ca mt u t trong mt giai on t T
1
n T
2
cng
vi tha dng trong giai on t T
2
n T
3
th bng tha dng trong giai on t
T
1
n T
3
. Ch c cc hm tha dng dng log mi c tnh cng tnh theo thi gian nh
vy.
(7)
Xem http://en.wikipedia.org/wiki/St._Petersburg_paradox. Theo nghch l ny, th c mt tr
chi St. Petersbourg m phi mua v mi c vo chi, v v l thuyt th k vng li nhun ca tr
chi ny l bng v cng, nhng ngi ta vn khng sn sng tr tin v cao qu mt s tin no .
6.4. HM THA DNG 149
6.4.3 Tnh lm ca hm tha dng
Gi s U l mt hm tha dng cng tnh cho bi hm s u, v A l mt chin lc
(hay danh mc) u t no . V u l hm n iu tng nn ni chung s tn ti duy
nht mt s

R
A
sao cho
U(R
A
) = u(

R
A
), (6.17)
c ngha l, mt chin lc u t cho t l li nhun c nh bng

R
A
th s c tha
dng bng chin lc A.
Cc nh u t ni chung thng khng a mo him. C ngha l, mt u t c li
nhun bp bnh th phi c mc k vng li nhun cao hn so vi l mt u t c mc
li nhun c nh, th mi em li cho h tha dng bng tha dng ca u t c
mc li nhun c nh:
E(R
A
)

R
A
. (6.18)
Phn chnh lch E(R
A
)

R
A
c th c gi l ph mo him (risk premium) m nh
u t nhn c (hay khng nhn c) nu chp nhn (hay khng chp nhn) u t
c mo him (tc l c li nhun bp bnh).
T bt ng thc trn, ta c u(E(R
A
)) u(

R
A
) = U(R
A
) = E(u(R
A
)). Bt ng
thc
u(E(R
A
)) E(u(R
A
)) (6.19)
c gi l bt ng thc Jensen, v n c tha mn vi mi bin ngu nhin R
A
khi v ch khi hm s u l hm lm. (Trong trng hp m u l hm kh vi bc hai, th
n l hm lm khi v ch khi o hm bc hai ca n nh hn hoc bng 0).
Khi u l hm lm, th vi mi 0 1 v mi bin ngu nhin R
A
v R
B
, ta cng
c
U(R
A
+ (1 )R
B
) U(R
A
) + (1 )U(R
B
). (6.20)
Bt ng thc trn c gi l tnh lm ca hm tha dng U. N ng vi s khng
a mo him (risk aversion) ca cc nh u t. Bi vy, tuy trong nh ngha hm tha
dng khng c tnh lm, nhng ni chung cc hm tha dng c dng trong ti chnh
u c tnh lm.
V d 6.4. Cc hm ln(1 +x),
1 + x, 1 exp(1 x) (cho x 1) l cc hm s n
iu tng v lm, v cc hm tha dng cng tnh sinh bi chng tha mn tnh lm.
Hnh 6.2: th mt hm s lm n iu tng
6.5 Cc thc o ri ro
Ri ro l khi nim v kh nng xy ra nhng tnh hung xu hn d kin. i vi
u t, c th l kh nng b mt tin (ri ro tuyt i), hay l c tin nhng
thp hn mong i hay khng c bng mt mc tham chiu no (ri ro tng i).
Chng ta c th xt ri ro tng i tng t nh l ri ro tuyt i, bng cch ch tnh
li nhun thng d (bng li nhun tr i mc li nhun tham chiu) thay v tnh tng
li nhun. Ngc li, khi ta c mt thc o ri ro tng i v bit c mc li nhun
tham chiu, th n cng cho ta mt c lng v mc ri ro tuyt i.
trong mc ny chng ta s im qua mt s thc o ri ro c in hay c
dng. Bn c mun tm hiu su thm v cc thc o ri ro c th tham kho cc ti
liu nh [17, 25]
6.5.1 Phng sai v lch chun
Gi V
A
= (1 + R
A
)V (0) : (, P) R l bin gi tr ti sn ca mt danh mc u
t (hay chin lc) A no , vi gi tr ban u l V (0), bin t l li nhun l R
A
, v
(, P) l khng gian xc sut cc tnh hung c th xy ra. Khi lch chun
ca V
A
, bng cn bc hai ca phng sai var, nh ngha theo cng thc lch chun
thng thng trong xc sut thng k:
(V
A
) =
_
var(V
A
) =
_
E((V
A
E(V
A
))
2
) =
_
E(V
2
A
) (E(V
A
))
2
, (6.21)
hay c dng nh l mt thc o ri ro ca u t A.
Thay v tnh lch chun ca gi tr ti sn, ta cng c th tnh lch chun ca
6.5. CC THC O RI RO 151
t l li nhun:
(R
A
) =
_
var(R
A
) =
_
E((R
A
E(R
A
))
2
). (6.22)
Hai lch chun ny lin h vi nhau theo cng thc n gin:
(V
A
) = (R
A
)V (0). (6.23)
lch chun l mt thc o ri ro tng i, v k c khi u t khng c kh nng
b thua l (bin t l li nhun lun c gi tr dng), th lch chun vn c th l s
dng. Mc li nhun tham chiu y chnh l mc li nhun k vng ca bn thn
u t (ch khng phi l mt mc c nh c sn, hay l mt mc tham chiu no
ca th trng). Bi vy, vic dng lch chun lm thc o ri ro to ra mt nghch
l l: c th c 2 chin lc u t khc nhau A v B, sau cho A lun em li li nhun
cao hn B d bt c tnh hung no xy ra (v nh vy mi nh u t c l tr phi
thch A hn B), th nhng lch chun to bi A ln hn lch chun to bi B, v
nu ch tnh theo lch chun th A li c coi l c ri ro cao hn B !
V d 6.5. Gi s c hai tnh hung tt v xu, vi xc sut mi tnh hung l 50%. Chin
lc u t A cho li nhun 50% trong trng hp tt, 0% trong trng hp xu. Chin
lc u t B cho li nhun 7% trong trng hp tt, -7% trong trng hp xu. Khi
A hin nhin l tt hn B. Th nhng lch chun ca B ch c 7%, trong khi lch
chun ca A nhng 25%.
Tuy v d trn cho thy, lch chun l mt thc o rt thiu chnh xc ca ri ro,
nhng n vn l mt thc o ri ro c a chung trong cc l thuyt ti chnh, v mt
s l do: Th nht l n d c lng (da trn s liu lch s), c bit trong thi k
m cng sut my tnh cn yu v ngi ta phi da trn nhng th i hi t thi gian
s dng my tnh. Th hai l n ng vi khi nim dd giao ng (volatility) ca gi
c, trong cc m hnh bin ng gi c ca chng khon. Vi gi s l gi c cc chng
khon tun theo phn b normal hay log-normal, th phn b c xc nh bi hai
yu t: k vng v lch chun. Chnh v vy m lch chun ng vai tr quan trng
trong cc cng thc tnh ton c lng trong ti chnh. (Trn thc t th phn b xc
sut ca gi c thng nng ui hn l phn b log-normal, do c nhng tnh hung
c th xy ra khin cho gi nhy t bin ln rt cao hoc xung rt thp, nhng c th
tm coi l phn b log-normal l xp x gn ng ca phn b thc t, vi sai s tm
chp nhn c).
Mt ci tin ca lch chun v phng sai (phng sai chng qua l bnh phng
ca lch chun), l khi nim na phng sai (semi-variance). nh ngha ca na
phng sai svar tng t nh nh ngha ca phng sai var, nhng ch tnh n nhng
phn thp hn trung bnh m khng tnh n nhng phn cao hn trung bnh:
svar(V
A
) = E
_
min(V
A
E(V
A
), 0)
2
_
. (6.24)
Theo Markowitz, ngi c gii Nobel kinh t v l thuyt danh mc u t, th
ng ta p dng na phng sai vo tnh ri ro cho mt s tp on u t t nhng
nm 1990 (xem Mc 2.3 ca [1]). Na phng sai l mt thc o tt hn so vi phng
sai trong nhng tnh hung m phn phi xc sut ca bin li nhun khng c tnh i
xng. Th nhng nghch l lc trc v u t lun cho kt qu tt hn li b coi l c
ri ro cao hn vn tn ti khi s dng na phng sai lm thc o ri ro.
6.5.2 Ri ro thm ht (shortfall risk)
Ri ro thm ht l mt khi nim kh t nhin v quan trng, nhng n mi ch c
gii ti chnh nghin cu mt cch c h thng t cui nhng nm 1980. Bn c mun
tm hiu k thm c th xem chng hn [1] v cc bi bo c trch dn trong .
tng nh sau: Trn th trng c nhng chin lc u t n gin v ph bin
thng c dng lm tham chiu. V d nh chin lc gi tit kim vi li sut c nh,
hay chin lc u t theo mt ch s chng khon no . Ta s gi mt chin lc nh
vy l chin lc th trng M. Nh u t, khi xem xt mt chin lc u t A no
, s em n so snh vi M. Nh u t bit rng, t ra c th t c t l li nhun
ca M, v s ch la chn u t vo A, nu A em li hiu qu tt hn M. Nhng tnh
hung m trong A em li li nhun thp hn so vi M, R
A
< R
M
, th c gi l
nhng tnh hung ri ro thm ht.
Gi s f : R
+
R
+
l mt hm s lin tc n iu tng vi f(0) = 0 (v d
f(x) = x
n
trong n l mt s dng no ). Khi , ri ro thm ht (v t l
li nhun) ca A theo tham chiu M v theo hm f c nh ngha l:
o
f,M
(A) = f
1
(E(f(max(0, R
M
R
A
)))). (6.25)
V d, t f(x) = x
2
, v c nh mt chin lc th trng M, ta c thc o ri
ro thm ht sau:
o(A) =
_
E(max(0, R
M
R
A
)
2
). (6.26)
Thc o ri ro thm ht trn tng t nh l na lch chun (cn bc hai ca
6.5. CC THC O RI RO 153
na phng sai), nhng n khc ch ta dng R
M
thay v k vng li nhun ca A lm
tham chiu. Bi vy, thc o ri ro thm ht khng b dn n nghch l v vic chin
lc tt hn li b coi l c ri ro cao hn, nh l trng hp ca phng sai hay na
phng sai: d thy rng, nu chin lc A lun cho li nhun cao hn chin lc B, th
ri ro thm ht ca A thp hn ca B (tnh theo bt k tham chiu no v bt k
hm f no).
6.5.3 Gi tr chu ri ro (value at risk)
Khi nim value at risk (VaR) rt ph bin trong gii ti chnh, c bit k t khi n
c a vo tr ct u tin (mt trong ba tr ct) ca Cng c Quc t Basel II
(8)
v qun tr ri ro trong cc ngn hng. Chng ti cha c bit thut ng ting Vit
tng ng, v tm dch thnh gi tr chu ri ro.
tng chung l, mt c nhn hay t chc c th chp nhn mt tin, nhng khng
th chp nhn mt qu mt mc no y, v mt qu mc th s c nh hng
rt xu, rt kh hi phc li, hoc thm ch s ph sn. C nhn hay t chc mun
rng, vi tin tng cao, v d 99%, s tin b mt s khng vt qu ngng no .
Ngng l ngng m VaR khng c vt qu.
nh ngha hnh thc ca VaR nh sau: gi s c mt ti khon tr gi ban u l
V (0), v gi s l mt s dng cho trc rt nh no , v d = 1%, v gi s T
l mt thi im cho trc no trong tng lai. Gi V (T) l gi tr ca ti khon ti
im T, c xt nh l mt bin ngu nhin ti thi im ban u. Gi W l s thc
sao cho xc sut V (T) < W bng , c ngha l ta c th tin rng gi tr ca V (T) s
khng nh hn W, vi tin tng (confidence) bng 1 . Khi hiu V (0) W (vi
gi s rng hiu ny l s dng) c gi l value at risk VaR
ca ti khon, vi
tin tng bng 1 .
C nhiu phng php c lng VaR, v d nh: dng cc m hnh m phng ngu
nhin v th trng, phng php Monte-Carlo, s dng s liu lch s vi RiskMetrics
(9)
,
v.v. Tuy nhin, Vic s dng VaR trong thc t gp phi nhng kh khn ln sau:
1) Tuy nh ngha VaR tng i d dng, nhng c lng c n mt cch ang
tin li l vic rt kh (bt k dng phng php no), c bit l vi cc chng khon
phi sinh.
(8)
Xem chng hn: http://en.wikipedia.org/wiki/Basel_II
(9)
Xem: http://en.wikipedia.org/wiki/RiskMetrics
2) VaR ch cho ta bit l trong s 1 cc tnh hung tt th s khng b mt qu
VaR
nu c mt tin. Nhng n khng ni cho ta bit, l nu ri vo tnh hung xu

cn li, th s b mt bao nhiu: lng tin b mt khi ri vo tnh hung xu c th
cao hn nhiu ln VaR
.
i ph vi vn th hai, ngi ta a thm vo nhng thc o ri ro mi, v d
nh tail value at risk (TVaR
, gi tr chu ri ro ui), hay cn gi l tail conditional

expectation (k vng ui c iu kin): n l k vng s tin b mt khi ri vo tnh
hung xu. Cng thc nh ngha ca n l:
TVaR
(X) = E[X[X VaR
(X)]. (6.27)
Hnh 6.3: Giao ng gi nh t M (ch s CaseShiller), 20002010
Mt v d in hnh cho thy hn ch ca VaR v cc cch c lng chng l vn
n tr gp di chun M. Trong nhng nm 20002007, gi nh t M v nhiu
ni trn th gii i ln mnh, tng trung bnh trn 100% trong 7 nm . Cng vi vic
gi nh i ln, l vic cc cng ty ti chnh khuyn khch nhn dn vay tin mua nh,
k c nhng ngi m mc thu nhp khng th tr n tin nh, m ch c th gi
c n trong trng hp gi nh tip tc i ln. Nhng khon vay n kiu nh vy gi
6.6. L THUYT MARKOWITZ 155
l n di chun (suprime loans). Khi gi nh cn i ln, th gi tr ca cc chng khon
n to thnh t cc khon n di chun trn th trng chng khon rt n nh, c
volatility thp, to ra mt s an ton o v chng, v theo cc c lng ri ro ch da
trn s liu lch s th cc chng khon n ny rt an ton, c VaR thp. Th nhng,
v mt c bn, y l cc chng khon n c ri ro v cng ln, v ch cn gi nh thi
khng tng na (nh xy ra vo qung 2007), th lp tc dn n nhng ngi vay
n di chun v n, b tch thu nh bn li cho ngi khc vi gi r hn, dn n hiu
ng dy chuyn ko gi nh i xung v lm cho mt t l rt ln cc khon n nh t
tr thnh n xu, v y chnh l mt trong cc nguyn nhn dn n khng hong ti
chnh th gii 20082009, ko theo mt lot t chc ti chnh ln ph sn.
6.6 L thuyt Markowitz
Bi ton ti u ha mt danh mc u t trong thc t thng l mt bi ton phc
tp, vi nhiu rng buc v nhiu tiu ch, v d nh ch c u t vo mt s chng
khon no , t l khng qu bao nhiu , VaR hay TVaR khng vt qu bao nhiu
, mun t cc tr cho nhng hm tha dng no , v.v. Mt m hnh n gin cho
bi ton ti u ny l l thuyt modern portfolio theory ca Markowitz
(10)
, m chng ta
s bn n y. L thuyt ca Markowitz l l thuyt v ti u ha mt danh mc u
t theo hai tiu ch n gin: k vng li nhun v lch chun (ca phn b li nhun,
c dng nh l mt thc o ri ro). S d lch chun, ch khng phi cc thc
o ri ro khc, c dng trong l thuyt ny, l bi v tnh ton vi lch chun d
hn l vi cc thc o khc, v tuy rng n khng phi l mt thc o hon ho v
ri ro, nhng l thuyt vn cho ta cc kt lun th v v th trng, v v cng dng ca
vic a dng ha ti sn.
n gin, chng ta s gi s l danh mc u t c thit lp vo mt thi im
0 ban u no , v s c gi nguyn nh vy n mt thi im T trong tng lai.
Danh mc gm c n chng khon, nh th t t 1 n n. T l li nhun ca chng
khon th k trong ti khon ti thi im T l mt bin ngu nhin R
k
, v chng ta gi
s rng phn b xc sut ng thi ca (R
1
, . . . , R
k
) c xc nh trc. (Chng ta
cha bit li nhun s bng bao nhiu, nhng bit l n tun theo phn b xc sut no).
Gi s l chng khon th k chim t trng w
k
trong danh mc u t (
n
1
w
k
= 1). Ta
(10)
Modern portfolio theory ca Markowitz cn c gi a l mediocre portfolio theory, v theo l
thuyt ny th khng ai u t c tt hn mc trung bnh ca ton th trng
s gi w = (w
1
, . . . , w
n
) l vector chin lc. Khi t l li nhun ca danh mc u t
vi vector chin lc w l bin ngu nhin
R
w
=
n
k=1
w
k
R
k
(6.28)
Nu nh c t nht mt trong cc t trng w
k
l s m, th ta ni rng danh mc c
bn khng (tc l gi mt lng m mt loi chng khon no ), cn ngc li th ta
ni l danh mc khng c bn khng. Mt s th trng cho php bn khng, cn mt s
th trng khng cho php bn khng. Khi th trng khng c bn khng, th ta s coi
l tp tt c cc chin lc c php s dng l tp tt c cc b n s (t trng) khng
m c tng bng 1. Cn khi th trng cho php bn khng, th ta b i iu kin khng
m.
Bi ton t ra l tm w sao cho cp s (E(R
w
), (R
w
)) (k vng v lch chun
ca bin li nhun) t ti u theo ngha no , v d nh sao cho lch chun (R
w
)
khng vt qu mc no , cn k vng li nhun E(R
w
) t mc cao nht c th.
6.6.1 Trng hp c hai chng khon
n gin, trc ht ta xt trng hp ch c 2 chng khon trong danh mc
(n = 2, w
1
+ w
2
= 1).
Mnh 6.3. Ta c cc cng thc sau tnh k vng v phng sai ca bin li nhun
R
w
= w
1
R
1
+ w
2
R
2
ca danh mc vi vector chin lc w = (w
1
, w
2
):
E(R
w
) = w
1
E(R
1
) + w
2
E(R
2
), (6.29)
v
var(R
w
) = w
2
1
.var(R
1
) + w
2
2
.var(K
2
) + 2w
1
w
2
.cov(R
1
, R
2
), (6.30)
trong cov(R
1
, R
2
) l k hiu hip phng sai (covariance) ca R
1
v R
2
:
cov(R
1
, R
2
) = E(R
1
R
2
) E(R
1
)E(R
2
). (6.31)
Chng minh ca cng thc trn suy ra trc tip t nh ngha ca phng sai, v tnh
tuyn tnh ca k vng, v ng cho mi cp bin ngu nhin.
Ghi ch 6.5. Mt trng hp ring nhng rt quan trng ca ti khon vi 2 chng
khon, l khi ch c 1 chng khon c ri ro, cn chng khon kia khng c ri ro:
var(R
1
) > 0, var(R
2
) = 0. Khi th lch chun li nhun ca danh mc t l thun
vi t trng tuyt i ca chng khon c ri ro trong ti khon: (R
w
) = [w
1
[(R
1
).
Nh vy, trong trng hp n gin ny, chnh lnh E(R
w
) R
2
gia k vng li
nhun ca danh mc v li nhun khng ri ro R
2
t l thun vi ri ro (R
w
) ca
danh mc, theo mt h s t l dng nu nh R
1
> R
2
v w
1
> 0 hoc R
1
< R
2
v
w
1
< 0 (w
1
< 0 c ngha l l gi mt lng m chng khon c ri ro, hay cn gi l
bn khng), cn nu ngc li th l theo mt h s t l m, tc l cng tng ri ro li
cng lm gim k vng li nhun.
Gi s l c hai chng khon u c ri ro ( y c ngha l c li nhun l bin
ngu nhin c lch chun dng). cho gn, k hiu
w
= E(R
w
)
w
=
_
var(R
w
),
1
= E(R
1
)
1
=
_
var(R
1
),
2
= E(R
2
)
2
=
_
V ar(R
2
),
v t
12
=
cov(R
1
, R
2
)
2
l h s tng quan (khi m
1
2
,= 0). H s tng quan lun
tha mn tnh cht 1
12
1 (xem [7]). Ta c th vit li cc cng thc trn nh sau:
w
= w
1
1
+ w
2
2
(6.32)
v
2
w
= w
2
1
2
1
+ w
2
2
2
2
+ 2w
1
w
2
12
2
(6.33)
V d 6.6. Gi s khng gian cc tnh hung c th xy ra gm c 3 tnh hung
1
,
2
,
3
,
vi cc xc sut, v cc mc li nhun R
1
v R
2
ca hai chng khon trong cc tnh
hung , c cho trong bng sau:
Tnh hung Xc sut Li nhun R
1
Li nhun R
2
1
0.4 10% 10%
2
0.2 0% 10%
3
0.4 20% 0%
Gi s w
1
= 40%, w
2
= 60%. Bng cch tnh trc tip, ta rt ra c
2
1
= 0, 0184,
2
2
= 0, 0024,
12

= 0, 96309,
t suy ra
2
w
= 0, 000736.
Ch rng
w
<
1
v
w
<
2
, tc l bng cch kt hp hai chng khon vi nhau
trong v d ny, ta t c ri ro thp hn l nu ch u t vo mt trong hai chng
khon .
V w
2
= 1 w
1
, nn cc cng thc pha trn trn cho thy
w
l hm bc 1 theo w
1
,
cn
2
w
l hm bc hai theo w
1
. Nu gi s
1
,=
2
, v ta cho php cc s w
1
, w
2
c th
m (ni cch khc, l ti khon c php bn khng), th khi bng cch thay i w
1
ta c th t mc k vng li nhun
w
cao ty ! (Trn thc t th iu ny khng xy
ra, v k c khi th trng cho php bn khng, th cng khng c php bn khng qu
mt mc no so vi tng gi tr ca ti khon).
Tp hp cc gi tr c th c ca cp s (
w
,
w
), khi w
1
thay i trong tp cc s
thc, to thnh mt ng i qua hai im (
1
,
1
) (ng vi w
1
= 1) v (
2
,
2
) (ng vi
w
1
= 0) trn mt phng ta . Hnh 6.4 l mt v d minh ha.
Hnh 6.4: Mt on ng cong (
w
,
w
), vi 0 w
1
1
Nu
1
,=
2
, th c th vit w
1
= (
w
2
)/(
1
2
), v thay cng thc ny vo biu
thc tnh
2
w
, ta c mt phng trnh bc hai dng
2
w
= A
2
w
+ B
w
+ C, trong
A, B, C l ba hng s. T suy ra rng, trong trng hp tng qut, khi m
12
,= 1
v
1
,=
2
, th tp hp cc gi tr c th c ca cp s (
w
,
w
) l mt ng cong bc
2 dng hyperbol nm theo chiu ngang c y quay v pha bn tri mt phng ta
(, ). Mt h qu n gin ca dng iu hyperbolic quay y v bn tri ny l bt
ng thc sau:
Mnh 6.4. Nu w
1
, w
2
0 (tc l khng c bn khng) th
2
V
max
2
1
,
2
2
. (6.34)
Chng minh. Gi s
2
1

2
2
. V w
1
, w
2
0 nn ta c
w
1
1
+ w
2
2
(w
1
+ w
2
)
2
=
2
.
V 1
12
1 nn
2
w
= w
2
1
2
1
+ w
2
2
2
2
+ 2w
1
w
2
12
2
w
2
1
2
1
+ w
2
2
2
2
+ 2w
1
w
2
2
= (w
1
1
+ w
2
2
)
2

2
2
.
Trng hp
2
1

2
2
c chng minh tng t.
Mnh 6.5. Gi s 1 <
12
< 1. Nu cho php bn khng, th danh mc u t c
ri ro t nht, theo ngha lch chun li nhun thp nht, l danh mc c w
1
= s
0
cho
bi cng thc
s
0
=

2
2

12
2
1
+
2
2
2
12
2
. (6.35)
Nu khng cho php bn khng, th ri ro thp nht xy ra khi w
1
= s
min
cho bi cng
thc
s
min
=
_
_
0, s
0
< 0,
s
0
, 0 s
0
1,
1, 1 < s
0
.
(6.36)
Trng hp c bit, khi m
12
= 1, th tp cc im (
w
,
w
) khng phi l ng
hyperbol trn na, m n suy bin thnh hai na ng thng trn mt phng (, ) gp
nhau ti mt im c = 0. im c xc nh nh sau:
Mnh 6.6. 1. Nu
12
= 1 v
1
,=
2
th
w
= 0 khi v ch khi
w
1
=

2
1

2
, w
2
=

1
1

2
2. Nu
12
= 1 th
w
= 0 khi v ch khi
w
1
=

2
1
+
2
, w
2
=

1
1
+
2
Chng minh ca cc mnh trn l bi tp dnh cho bn c.
Bi tp 6.2. Cho thng tin v mt danh mc u t nh sau, trong R
1
v R
2
l t l
li nhun ca hai chng khon tng ng:
Kch bn Xc sut R
1
R
2
1
0.3 5% 5%
2
0.3 20% 10%
3
0.4 10% 25%
a) Tm cc t trng w
1
, w
2
sao cho danh mc t k vng li nhun bng 15%.
b) Tm cc t trng w
1
, w
2
sao cho lch chun
w
t cc tiu.
6.6.2 Trng hp c nhiu chng khon
Gi s danh mc c th gi n chng khon, vi cc bin t l li nhun tng ng l
R
1
, . . . , R
n
. Gi
k
= E(R
k
) l k vng t l li nhun ca chng khon th k. Gi
m = (
1
,
2
, . . . ,
n
) (6.37)
l vector k vng li nhun, w = (w
1
, . . . , w
n
) l vector chin lc (cc thnh phn ca
vector chin lc l cc t trng ca cc chng khon trong danh mc), cn
C = (C
ij
), C
ij
= cov(R
i
, R
j
) (6.38)
l ma trn hip phng sai ca cc bin li nhun. Ma trn hip phng sai lun c cc
tnh cht sau: i xng, v na xc nh dng. Chng ta s gi s rng ma trn C ny
l kh nghch.
Tng t nh trong trng hp vi 2 chng khon, chng ta c cc cng thc sau cho
php nh gi k vng li nhun v ri ro ca mt danh mc u t:
Mnh 6.7.
w
= m.w
T
(6.39)
v
2
w
= w.C.w
T
. (6.40)
Chng minh.
w
= E(R
w
) = E(
n
i=1
w
i
R
i
)
=
n
i=1
w
i
i
= mw
T
2
w
= var(R
w
) = var(
n
i=1
w
i
R
i
)
= cov(
n
i=1
w
i
R
i
,
n
j=1
w
j
R
j
)
= (
n
i,j=1
w
i
w
j
C
ij
) = wCw
T
K hiu
u = (1, . . . , 1) (6.41)
l vector n chiu vi tt c cc h s u bng 1. Ta c uw
T
= 1.
Mnh 6.8. (Danh mc t ri ro nht). Gi s uC
1
u
T
,= 0. Khi danh mc c
w
thp nht l danh mc cho bi vector chin lc
w =
uC
1
uC
1
u
T
. (6.42)
Chng minh. S dng phng php nhn t Lagrange vi
F(w, ) =
1
2
wCw
T
uw
T
,
ta tnh ra
w = uC
1
.
Do
uC
1
u
T
= 1.
Gii v thay vo biu thc ca w ta c iu phi chng minh.
Mnh 6.9. (Ri ro thp nht cho mc k vng li nhun nh trc). Trong cc danh
mc c k vng li nhun bng mt s
V
cho trc, danh mc c
w
thp nht l danh
mc cho bi vector chin lc sau:
w =
1 uC
1
m
T
V
mC
1
m
T
uC
1
+
uC
1
u
T
1
mC
1
u
T
mC
1
uC
1
u
T
uC
1
m
T
mC
1
u
T
mC
1
m
T
. (6.43)
Chng minh. p dng phng php nhn t Lagrange vi
G(w, , ) =
1
2
wCw
T
uw
T
mw
T
,
ta rt ra
wC = u + m. (6.44)
Vi gi s rng C l ma trn o nghch c, ta c
w = uC
1
+ mC
1
,
t suy ra h phng trnh tuyn tnh sau:
uC
1
u
T
+ uC
1
m
T
= 1
mC
1
u
T
+ mC
1
m
T
=
V
Gii h phng trnh trn tnh , , ri th vo cng thc ca w, ta c iu phi
chng minh.
Ghi ch 6.6. Cng thc trong mnh pha trn c th cho mt danh mc u t c
bn khng, tc l c mt s chng khon c t trng m. Nut yu cu khng c bn
khng, th phi iu chnh cng thc, v k vng li nhun khng th vt qua mt mc
no (v tp cc chin lc c php l mt tp compact, nn tp cc k vng li
nhun c th t c cng l tp compact).
Bi tp 6.3. Tnh
w
v
w
ca mt danh mc u t bit:
w
1
= 50% w
2
= 20% w
3
= 70%
1
= 8%
2
= 6%
3
= 10%
1
= 1.5
2
= 0.5
3
= 1.7
12
= 0.3
23
= 0.2
31
= 0.2
Bi tp 6.4. Cho danh mc u t c
1
= 0.15
2
= 0.12
3
= 0.17
1
= 0.3
2
= 0.3
3
= 0.4
12
= 0.5
23
= 0.2
31
= 0.3
a) Tm vector chin lc w c
w
thp nht, v tnh lch chun thp nht .
b) Tm vector chin lc w c
w
thp nht trong s cc vector chin lc cho k vng
li nhun
w
= 15%, v tnh
w
thp nht .
6.6.3 Bin hiu qu
nh ngha 6.10. Mt chin lc u t w c gi l hiu qu hn mt chin lc
u t w
nu nh
w

w
v
w

w
, v t nht mt trong hai bt ng thc trn
khng phi l ng thc. Mt chin lc u t c gi l chin lc hiu qu nu
khng c chin lc no hiu qu hn n trong s cc chin lc cho php. Tp hp tt c
cc im (
w
,
w
) trn mt phng, trong w l chin lc hiu qu, c gi l bin
hiu qu.
Theo nh ngha trn, th tt c cc im (
w
,
w
) trong w l mt chin lc cho
php, nm v pha di v bn phi ca bin hiu qu. Ch l bin hiu qu ph thuc
vo tp cc chin lc cho php, v d nh c cho php bn khng hay khng.
Hnh 6.5: Hnh minh ha v bin hiu qu
im cc tri ca bin hiu qu (im c ta nh nht) chnh l im ng vi
chin lc u t c lch chun thp nht. Nu ta gi
0
l k vng li nhun ca
danh mc u t ny, th mi chin lc u t hiu qu phi c k vng li nhun ln
hn hoc bng
0
. Vi mi
V
>
0
, chin lc c lch chun thp nht trong s cc
chin lc c k vng li nhun bng
V
c cho bi cng thc trong Mnh 6.9, v
chnh l mt chin lc ti u. Theo Mnh 6.9, cc chin lc hiu qu w ny
l cc chin lc c cho bi tnh cht: vector w l t hp tuyn tnh ca hai vector
u = (1, . . . , 1) v m = (
1
, . . . ,
n
):
wC = u + m. (6.45)
Mnh 6.11. ng bin hiu qu c tnh li (v pha bn tri). C ngha l, nu c
3 im (
1
,
1
), (
2
,
2
), (
3
,
3
) nm trn ng bin hiu qu, vi
2
= p
1
+(1 p)
3
,
0 p 1, th
2
p
1
+ (1 p)
3
.
Chng minh. Tht vy, gi w
1
l mt chin lc u t ng vi (
1
,
1
), v w
3
l mt
chin lc u t ng vi (
2
,
2
), v t w
2
l t hp tuyn tnh ca w
1
v w
3
: w
2
=
pw
1
+ (1 p)w
3
. Khi ta c
w
2
=
2
, v
w
2
p
1
+ (1 p)
2
. Mt khc, v (
2
,
2
)
nm trn bin hiu qu, nn ta c
2

w
2
.
6.7 M hnh nh gi ti sn vn (CAPM)
L thuyt CAPM (capital asset pricing model
(11)
) v th trng chng khon c a
ra t u nhng nm 1960, da trn m hnh qun l danh mc u t ca Markowitz,
v nh n m William Sharpe, Harry Markowitz and Merton Miller c gii Nobel v
kinh t nm 1990. Tuy rng CAPM da trn cc gi thit rt mnh v tnh st thc ca
n kh hn ch
(12)
, nhng CAPM vn l mt l thuyt c gii ti chnh rt a chung,
bi n cho ra mt s kt lun rt th v.
Mt trong cc kt lun quan trng nht ca CAPM l: danh mc th trng (market
portfolio) chnh l mt chin lc u t hiu qu. Danh mc th trng tc l mt danh
mc u t m u t vo tt c cc chng khon c trn th trng, vi t trng u t
vo mi chng khon t l thun vi tng gi tr ca chng khon (vn ha ca n)
trn th trng, hay ni cch khc, t trng ca mt loi chng khon trong mt danh
mc th trng bng ng t trng ca ton b loi chng khon trn ton th trng.
V d nh nu mt cng ty c phn c vn ha bng 2,5% tng vn ha ca th trng,
th t trng ca c phiu ca cng ty trong mt danh mc th trng cng bng 2,5%.
L thuyt CAPM da trn cc gi thit sau y v th trng:
1) Th trng c n chng khon c ri ro, v c mt chng khon khng c ri ro
(hnh dung chng khon khng c ri ro ny l tin mt hng li sut qua m). T l
li nhun ca chng khon khng c ri ro l mt s R
0
> 0 bit trc.
2) Tt c cc nh u t u c thng tin ging nhau v k vng li nhun v hip
phng sai ca cc chng khon c ri ro (cho mt giai on u t no ), v cc con
s ny c bit trc.
3) Mi danh mc u t ca cc nh u t u l mt danh mc u t hiu qu
theo ngha ca l thuyt Markowitz.
(11)
CAPM cn c gi a l communist asset pricing model, v n da trn gi thit l tt c cc nh
u t c cng thng tin v phn tch ging nhau v th trng, v ai cng c danh mc u t hiu qu
theo cng mt kiu
(12)
Xem: http://en.wikipedia.org/wiki/Capital_asset_pricing_model
6.7. M HNH NH GI TI SN VN (CAPM) 165
6.7.1 ng th trng vn
Xt cc danh mc u t ch cha cc chng khon c ri ro m khng cha chng
khon khng ri ro. Theo l thuyt Markowitz, ta c mt ng bin hiu qu trn mt
phng (, ), m ta s k hiu l , cho cc danh mc u t vi n chng khon c ri ro
ny. Do tnh li ca ng bin hiu qu , nn c duy nht mt na ng thng L xut
pht t im (0, R
0
) (im ca chng khon khng ri ro) v tip xc vi . Ta s gi s
l c mt im tip xc duy nht, k hiu l (
M
,
M
), v gi l im Markowitz.
nh l 6.12. i) Na ng thng L l ng bin hiu qu cho cc danh mc c cha
c chng khon khng c ri ro.
ii) im Markowitz l im ng vi danh mc th trng.
Chng minh. i) Nu mt chin lc w khng cha chng khon khng ri ro c lch
chun v k vng t l li nhun l (
w
,
w
), th chin lc (1 p, pw) cha chng khon
khng ri ro vi t trng 1 p v phn cn li vi t trng p c phn b theo t l
thun vi w, l chin lc c lch chun v k vng li nhun l (p
w
, (1p)R
0
+p
w
)
(vi gi s p > 0). im (p
w
, (1 p)R
0
+ p
w
) nm trn na ng thng xut pht
t (0, R
0
) i qua (
w
,
w
). (Nu i hi 1 p 0, tc l ti khon khng c php
n loi chng khon khng ri ro, th im ny nm trn on thng ni t (0, R
0
) n
(
w
,
w
)). Nh vy, nu ta c mt im (
w
,
w
) ng vi mt chin lc no , th mi
im trn na ng thng xut pht t (0, R
0
) i qua (
w
,
w
) u c cc chin lc
tng ng. Mi im trn na ng thng Lng vi mt chin lc l t hp tuyn tnh
ca chng khon khng c ri ro v mt chin lc cho im Markowitz. chng minh
L l bin hiu qu (cho cc danh mc c gi c chng khon khng ri ro), ta gi s c
mt chin lc vi im (, ) tng ng nm bn tri L (tc l hiu qu hn so vi chin
lc no ca L). Khi , b phn khng ri ro khi chin lc ny, ta vn c mt
chin lc (, ) tng ng nm bn tri L, tc l nm bn tri ng bin hiu qu ,
v bn thn L nm pha bn tri ca , c ngha l y l mt chin lc (khng cha
chng khon khng ri ro) cn hiu qu hn l ng bin hiu qu , mu thun vi
nh ngha ca ng bin hiu qu (cho cc danh mc khng cha chng khon khng
ri ro). Bi vy L chnh l ng bin hiu qu cho cc danh mc c th cha chng
khon khng ri ro.
ii) V nh u t no cng theo mt chin lc hiu qu theo gi thit, nn cc im
(, ) u nm trn ng L. B i phn chng khon khng ri ro, th cc danh mc
vn nm trn ng L. Nhng trn ng L ch c mt im ng vi danh mc khng
cha chng khon khng ri ro, bi vy phn c ri ro ca cc danh mc ca mi nh
u t u ng vi im Markowitz (
M
,
M
). Cng tt c cc phn c ri ro li vi
nhau, ta c danh mc th trng, v bi vy danh mc th trng cng c k vng li
nhun l
M
, cn lch chun nh hn hoc bng
M
(xem mnh 6.4). Th nhng
ng vi
M
th
M
l lch chun nh nht c th, bi vy lch chun ca danh
mc th trng chnh bng
M
, v danh mc th trng l mt chin lc u t hiu
qu ng vi im Markowitz.
Ghi ch 6.7. Trong trng hp m cc nh u t khng c php bn khng chng
khon khng ri ro, c ngha l khng c vay tin u t vo cc chng khon c
ri ro, th ng bin hiu qu cho cc danh mc c chng khon khng ri ro khng
phi l na ng thng L, m gm c on thng nm trn L i t (0, R
0
) n (
M
,
M
)
cng vi on ng cong (bin hiu qu khi b qua chng khon khng ri ro) nm
pha bn phi im (
M
,
M
). C ngha l, cc nh u t m chp nhn ri ro trn
M
th khng cn gi tin mt (chng khon khng ri ro) trong danh mc, cn nu
ri ro chp nhn c l di
M
, th vic gi mt phn tin mt s lm tng hiu qu
ca danh mc u t.
nh ngha 6.13. Na ng thng L trong nh l trn c gi l ng th trng
vn (capital market line).
Hnh 6.6: ng th trng vn
Theo CAPM, th cc nh u t s u chn danh mc u t nm trn ng th
trng vn, v nm im no trn ng ty thuc vo mc ri ro chp nhn
6.7. M HNH NH GI TI SN VN (CAPM) 167
c ca nh u t: nhng im gn (0, R
0
) dnh cho cc nh u t t chp nhn ri
ro, cn nhng im xa hn dnh cho cc nh u t chp nhn c mc ri ro cao
hn.
6.7.2 Nhn t beta v ng th trng chng khon
Gi V l mt chng khon hay danh mc u t no , cn M l danh mc u t
th trng, vi cc bin li nhun tng ng cho mt giai on no l R
V
v R
M
. Khi
ta c th vit
R
V
=
V
+
V
R
M
+
V
, (6.46)
trong
V
v
V
l hai hng s, cn
V
l bin ngu nhin c k vng bng 0 v hip
phng sai vi R
M
cng bng 0: E(
V
) = 0, cov(
V
, R
M
) = 0. Cng thc tnh
V
v
V
l:
V
=
cov(R
V
, R
M
)
2
M
, (6.47)
V
=
V

V
M
. (6.48)
trong
V
= E(R
V
),
M
= E(R
M
),
2
M
= var(R
M
).
H s
V
c gi l h s beta, hay nhn t beta ca V , v n o ph thuc
vo th trng chung ca li nhun ca V . Chng ta cp n h s beta ny t
Chng 5 khi phn tch c phiu. Ch rng, h s beta to chn di ca mc ri ro.
Tht vy, ta c
2
V
=
2
V
2
M
+ (
V
)
2
, suy ra
V
[
V
[
M
. (6.49)
Du bng t c khi V l mt t hp tuyn tnh ca danh mc th trng vi chng
khon khng ri ro.
Bi tp 6.5. Cho bng d liu sau, hy tnh
V
,
V
:
Kch bn Xc sut Li nhun R
V
Li nhun R
M
1
0.1 7% 8%
2
0.3 0% 10%
3
0.4 5% 9%
4
0.2 20% 13%
Bi tp 6.6. Chng minh tnh cht sau ca nhn t beta: nhn t beta ca mt danh
mc u t V gm n chng khon vi cc t trng w
1
, . . . , w
n
l
V
= w
1
1
+ . . . + w
n
n
,
trong
k
l nhn t beta ca chng khon th k.
Nhc li rng, theo CAPM, danh mc u t th trng M l mt danh mc hiu
qu, v do theo cng thc 6.44 ta c w
M
C = u + m, trong w
M
l vector chin
lc ca danh mc th trng (h s ng vi chng khon khng ri ro ca n bng 0,
cn cc h s khc l cc t trng vn ha ca cc chng khon c ri ro trn th trng),
C l ma trn hip phng sai ca ton b th trng (k c chng khon khng ri ro),
m l vector k vng li nhun ca cc chng khon, u = (1, . . . , 1), cn v l cc s
thc no . T suy ra cng thc sau cho nhn t beta
V
ca mt danh mc u t
V bt k:
V
=
cov(R
V
, R
M
)
2
M
=
w
M
Cw
T
V
w
M
Cw
T
M
=
(u + m)w
T
V
(u + m)w
T
M
=

V
+ /
M
+ /
.
Trong trng hp V l chng khon khng ri ro, th li nhun ca n bng hng s R
0
,
cn nhn t beta ca n bng 0, bi vy ta c R
0
+/ = 0, ngha l / = R
0
, t
suy ra nh l sau:
nh l 6.14. Theo l thuyt CAPM, th k vng li nhun ca mt danh mc u t
V bt k ph thuc hon ton vo nhn t beta ca n theo cng thc:
V
= R
0
+
V
(
M
R
0
). (6.50)
Hnh 6.7: Hnh minh ha v ng th trng chng khon
Nh vy, tp hp cc im (
V
,
V
) to ra bi cc chng khon v cc danh mc u
t nm trn mt ng thng trn mt phng (, ), gi l ng th trng chng
khon (security market line). Theo kt lun trn ca CAPM th vic i tm chng khon
hay danh mc tri hn th trng l v ngha, v mun c k vng li nhun cao cch
duy nht l tng h s beta ln, v nh vy tng mc ri ro ln tng ng.
Chng 7
Gii tch ngu nhin
Theo ngn ng ton hc, s bin ng theo thi gian ca gi c (nh gi vng, gi
du ha, gi c phiu ca cng ty Intel, v.v.), cng nh ca cc s liu khc (v d nh
mc tng trng kinh t, t l tht nghip, v.v.) c gi l cc qu trnh ngu nhin
(random process), bi v ni chung khng ai c th bit trc c mt cch chnh xc gi
tr ca chng trong tng lai s ra sao. nghin cu cc qu trnh ngu nhin ny, chng
ta s cn dng n mt b phn ca ton hc gi l gii tch ngu nhin (stochastic
calculus). Gii tch ngu nhin tc l gii tch ton hc (cc php tnh gii hn, vi tch
phn, v.v.) p dng vo cc qu trnh ngu nhin, da trn c s ca l thuyt xc sut
thng k.
Trong chng ny chng ta s tm hiu mt s kin thc c bn nht v gii tch ngu
nhin, cn thit cho ton ti chnh. Bn c mun nghin cu su thm v gii tch ngu
nhin c th tm c cc sch chuyn kho, v d nh ksendal [21], Karatzas v Shreve
[15], hoc quyn sch ca tc gi Nguyn Duy Tin [29].
7.1 Mt s m hnh bin ng gi chng khon
phn ny, chng ta s coi gi S ca mt c phiu (hay ni mt cch tng qut hn,
ca mt chng khon c gi dng) nh l mt qu trnh ngu nhin nhn gi tr trong
tp hp cc s thc dng, v chng ta s xt mt s m hnh h ng lc ngu nhin
mt chiu n gin m t din bin ca S theo thi gian. Ch rng, do ch c 1 chiu,
nn cc m hnh ny tng i th: s tng tc gia cc thnh phn ca th trng
khng a c vo m hnh, v m hnh ch da trn cc phng trnh bc 1, thay v
phng trnh bc 2 nh trong vt l. Tuy l cc m hnh tng i th, nhng chng vn
169
170 CHNG 7. GII TCH NGU NHIN
rt quan trng trong vic phn tch s bin ng gi ca cc c phiu.
Trc ht, chng ta s nh ngha mt cch hnh thc ton hc th no l mt qu
trnh ngu nhin.
7.1.1 Qu trnh ngu nhin
Cc qu trnh bin i theo thi gian, v d nh gi c phiu, lng nc ma trong
thng, s ngi mc bnh cm, v.v., m ta khng th d on c trc mt cch chnh
xc, th c coi l cc qu trnh ngu nhin. Mt cch trc gic, m t mt qu
trnh ngu nhin theo ngn ng ton hc, ta cn cc yu t sau:
- Thi gian. Theo qui c, c mt mc thi gian ban u, l 0. Thi gian t c th
l bin i lin tc, t R
+
, hoc ri rc, tc l ta ch xt mt dy cc mc thi im
0 = t
0
< t
1
< t
2
< . . . no . Trong trng hp ri rc, cho n gin, ta s gi s
thm l cc bc thi gian l bng nhau, tc l t
i
t
i1
= l mt hng s khng ph
thuc vo i. Nhiu khi, ta s dng dy s nguyn khng m 0, 1, 2, . . . k hiu cc mc
thi gian, thay v dng cc thi im t
0
, t
1
, t
2
, . . .
- Khng gian xc sut. Vi mi mc thi gian t, c th coi l c mt khng gian
t
tt
c cc tnh hung c th xy ra t thi im ban u cho n thi im t. Khng gian
ny l khng gian xc sut, vi mt sigma-i s o
t
v mt o xc sut P
t
i km (tc
l xc sut ca cc tnh hung c th xy ra cho n thi im t).
Nu s v t l hai mc thi im no vi s t, th ta c mt php chiu t nhin
s,t
: (
t
, o
t
, P
t
) (
s
, o
s
, P
s
) (7.1)
Khi
t
l mt tnh hung c th xy ra cho n thi im t, th
s,t
(
t
) l tnh hung
nhng ch tnh n thi im s, b qua nhng g xy ra sau thi im s. Cc php chiu
s,t
tha mn cc tnh cht t nhin sau:
a) Ton nh (surjective), tc l mi tnh hung c th xy ra cho n thi im s th phi
c th tip din tr thnh tnh hung c th xy ra cho n thi im t.
b)
t,t
l nh x ng nht trn
t
.
c) Bc cu:
r,s

s,t
=
r,t
vi mi r s t.
d) Bo ton xc sut, c ngha l nu A o
s
l tp con o c ca (
s
, o
s
, P
s
), th nh
ngc ca n trong
t
cng l tp con o c, v c cng xc sut vi n:
P
t
(
1
s,t
(A)) = P
s
(A). (7.2)
7.1. MT S M HNH BIN NG GI CHNG KHON 171
Mt dy cc khng gian xc sut (
t
, P
t
) vi cc php chiu
s,t
tha mn cc tnh
cht pha trn s c gi l mt h lc cc khng gian xc sut (filtered family of
probability spaces).
Cc khng gian xc sut (
t
, o
t
, P
t
) c th c gp chung li (ngn ng ton hc gi
l ly gii hn x nh) thnh mt khng gian xc sut (, T, P) tt c cc tnh hung
c th xy ra cho mi thi gian: mi phn t ng vi mt h cc phn t
t

t
thch hp vi nhau, c ngha l
s,t
t
=
s
vi mi s < t. Ta c th vit:
= lim
t
t
, (7.3)
(gii hn y l gii hn x nh, theo ngha nh trn: mi phn t ng vi mt
h cc phn t
t

t
thch hp vi nhau), vi cc php chiu t nhin
t
:
t
, (7.4)
t
() =
t
, cng tha mn cc tnh cht ton nh v bc cu nh pha trn.
Sigma-i s trn c xy dng nh sau: vi mi t, gi T
t
l sigma i s trn
sinh bi nh ngc qua
t
ca cc tp o c trn
t
. Ni cch khc, cc phn t ca
T
t
l cc tp con c dng
1
t
(A
t
) vi A
t
o
t
. Cc tnh cht pha trn ca h khng gian
xc sut (
t
, o
t
, P
t
) cho ta thy T
s
T
t
vi mi s t. C ngha l t cng ln th cng
c nhiu tp o c ti thi im t. Ngi ta gi T
t
l sigma-i s sinh bi cc thng
tin c c cho n thi im t. Tt nhin, khi t cng ln, th cng c thm nhiu thng
tin, v do sigma-i s tng ng cng ln, cng c nhiu th c th o c. t
T =
_
t
T
t
(7.5)
chnh l sigma-i s trn , v h cc sigma-i s con (T
t
) c gi l mt h lc
(filtration) ca T.
Phn b xc sut P trn cng c nh ngha qua cc php chiu
t
: Nu A =
1
t
(A
t
) T
t
, th P(A) := P
t
(A
t
). Ch rng, do tnh cht tng thch gia cc khng
gian xc sut (
t
, o
t
, P
t
), nh ngha ny khng ph thuc vo s la chn t (sao cho tn
ti A
t
o
t
sao cho A =
1
t
(A
t
)).
Vi nh ngha sigma-i s T =
t
T
t
v phn b xc sut P nh trn, cc nh x
t
: (, T, P) (
t
, o
t
, P
t
) nghim nhin tr thnh cc ton nh bo ton xc sut.
nhn mnh rng T =
t
T
t
sinh bi mt h lc cc sigma-i s (T
t
) (mt h
lc tc l mt h tha mn iu kin T
s
T
t
vi mi s t), m hnh xc sut trn
c k hiu l (, (T
t
)
tT
, P), v c gi l mt khng gian xc sut c lc (filtered
probability space).
- Bin ngu nhin thay i theo thi gian. Nu ta c mt qu trnh lc cc khng gian
xc sut (
t
, o
t
, P
t
), v vi mi mc thi gian t ta c mt bin ngu nhin S
t
thc vi
khng gian xc sut tng ng l (
t
, o
t
, P
t
), c ngha l mt hm o c
S
t
:
t
R, (7.6)
(xem Chng 2 ca [7] v cc khi nim c bn v bin ngu nhin), th ta ni rng ta
c mt qu trnh ngu nhin (stochastic process) S trn m hnh xc sut (
t
, o
t
, P
t
).
Hm S
t
:
t
R chnh l hm gi tr ca qu trnh ngu nhin S ti thi im t.
Ta c th coi S
t
nh l bin ngu nhin trn qua cc php chiu
t
:
S
t

t
: R. (7.7)
cho tin, ta cng s k hiu S
t

t
l S
t
, khi n l hm s trn v o c theo
sigma-i s T
t
. T , ta c nh ngha ton hc sau y v qu trnh ngu nhin:
nh ngha 7.1. Gi s ta c mt khng gian xc sut c lc (, (T
t
)
tT
, P), v mt
h cc bin ngu nhin S
t
: R, sao cho S
t
l o c theo sigma-i s T
t
vi mi
t (trong tp cc mc thi gian ca lc). Khi h S
t
c gi l mt qu trnh ngu
nhin vi m hnh xc sut (, (T
t
)
tT
, P) v tng thch (compatible) vi lc (T
t
)
tT
.
Trong nh ngha 7.1, cc khng gian (
t
, o
t
, P
t
) b b qua, ch cn (, (T
t
)
tT
, P)
c gi li. Ni cch khc, s a vo cc khng gian khng gian xc sut (
t
, o
t
, P
t
)
nh trn l khng cn thit cho vic tnh ton vi cc qu trnh ngu nhin. Nhng chng
c tc dng l gip ta d hnh dung hn v mt trc gic, v cng khng gy cn tr g
cho vic tnh ton. Bi vy, trong chng ny, cho d hnh dung, khi xt cc qu trnh
ngu nhin, ta s lun coi l khng gian xc sut c lc (, T
t
, P) c sinh bi mt h
lc cc khng gian xc sut (
t
, o
t
, P
t
), v mi qu trnh ngu nhin S u c nh
ngha qua mt h cc bin ngu nhin S
t
: (
t
, o
t
, P
t
) R. Cc qu trnh ngu nhin
nh vy tt nhin u l cc qu trnh ngu nhin tng thch vi lc (T
t
).
Khi ta gi s rng tnh hung xy ra, th qu trnh ngu nhin S tr thnh mt
hm s theo bin thi gian: t S
t
(). Hm s S
(t) := S
t
() ny c gi l mt qu
o (sample path) ca S, ng vi tnh hung .
Nu s < t, v ta bit l tnh hung
s
xy ra cho n thi im s, th ta bit gi
tr S(s) = S
s
(
s
) ca qu trnh ngu nhin ti thi im s (v cc thi im trc ),
nhng cha thng tin bit gi tr ca S ti thi im t. Ni cc khc, nu t > s
th S
t
cng l bin ngu nhin ti thi im s, tuy bit tnh hung no xy ra cho n
thi im s. Nhng khi bit
s
, th khng gian xc sut ca S
t
khng cn l khng
gian (
t
, P
t
), m l khng gian xc sut c iu kin
(
t
[
s
:=
t

t
[
s,t
(
t
) =
s
, P
t
[
s
) (7.8)
vi xc sut c iu kin P
t
[
s
. Trong trng hp m P
s
(
s
) > 0 th xc sut c iu kin
P
t
[
s
c th c nh ngha theo cng thc thng thng:
P
t
[
s
(A) = P
t
(A[
s
) =
P
t
(A)
P
s
(
s
)
(7.9)
vi mi A o c trong
t
[
s
. Trong trng hp m P
s
(
s
) = 0 th nh ngha xc sut
c iu kin phc tp hn, phi thng qua cc gii hn; chng ta s coi rng cc xc sut
c iu kin ny tn ti v tha mn cc tnh cht thng dng (xem [7] v xc sut c
iu kin cho bin ngu nhin).
Hon ton tng t nh trn, ta c th nh ngha qu trnh ngu nhin vi gi tr l
vector, hoc tng qut hn, qu trnh ngu nhin trn mt a tp hay mt khng gian
metric no .
7.1.2 M hnh mt bc thi gian
Trong m hnh mt bc thi gian, ta ch quan tm n gi c phiu S
T
ti mt thi
im T trong tng lai, v ta mun d on S
T
. V S
T
c tnh ngu nhin, nn vic d
on S
T
khng c ngha l d on 1 con s duy nht cho S
T
, m l d on theo
ngha xc sut: Ci m chng ta c th lm l, da trn cc thng tin c c, xy
dng mt khng gian xc sut (
T
, P
T
)
(1)
cc tnh hung c th xy ra n thi im T ,
v biu din S
T
nh l mt bin ngu nhin, vi m hnh khng gian xc sut l (
T
, P
T
):
S
T
: (
T
, P
T
) R
+
(7.10)
Nhc li rng (xem Chng 2 ca [7]), mi bin ngu nhin Y : (, P) R trn mt
m hnh khng gian xc sut (, P) cho mt phn b xc sut P
Y
trn R theo cng
thc:
P
Y
(A) = P(Y
1
(A)) (7.11)
(1)
Trong k hiu ca mt m hnh xc sut thng c k hiu ca sigma-i s, nhng cho tin ta
s hay b qua k hiu ca sigma-i s, khi m iu khng gy ra s hiu lm no.
cho mi on thng A R, v ta c th nh ngha cc i lng c trng ca Y , v
d nh cc moment bc k:
M
k
(Y ) =
_
Y
k
dP =
_
R
y
k
dP
Y
(y). (7.12)
Tuy rng Y l ngu nhin, nhng mt khi ta bit phn b xc sut ca n, th cc i
lng c trng ca n l cc i lng xc nh, v cho ta cc thng tin v Y .
Trong cc i lng c trng, c hai i lng quan trng nht, l k vng v phng
sai. K vng E(Y ) ca Y l:
E(Y ) =
_
R
ydP
Y
(y), (7.13)
v phng sai
2
(Y ) ca Y l:
2
(Y ) =
_
R
(y E(Y ))
2
dP
Y
(y) = E((Y E(Y ))
2
) = E(Y
2
) (E(Y ))
2
. (7.14)
Cn bc hai ca phng sai, (Y ), c gi l lch chun ca Y. Khi m phng
sai cng nh, th tc l cc gi tr ca Y cng gn gi tr k vng ca n, c ngha l
ngu nhin (bt nh) ca Y cng nh. Bi vy phng sai (hay lch chun) chnh l
mt thc o bt nh.
Trong trng hp m bin ngu nhin l gi c phiu S
T
, i lng
=
E(S
T
) S
0
S
0
, (7.15)
trong S
0
l gi c phiu ti thi im 0, chnh l mc li nhun k vng ca c
phiu S cho khong thi gian t 0 n T, cn
=
(S
T
)
S
0
, (7.16)
l mt i lng o bt nh ca gi c phiu, theo m hnh d on.
Ta c th coi S nh l mt qu trnh ngu nhin vi ch c 2 mc thi gian 0 v T, v
khng gian xc sut chnh l (
T
, P
T
). H ng lc ngu nhin m t chuyn ng ca S
sau 1 bc thi gian, t 0 n T, c th c vit di dng phng trnh sai phn:
S = S + SE, (7.17)
trong :
S = S
0
l gi c phiu ti thi im 0,
S = S
T
S
0
l thay i gi c phiu t thi im 0 n thi im T,
l mc li nhun k vng, cn c gi l h s trt (drift) ca m hnh,
l h s o bt xc nh ca gi S
T
, hay cn gi l h s volatility ( giao
ng) ca m hnh,
E = (S
T
E(S
T
))/(S
0
) l phn ngu nhin chun ha ca m hnh: k
vng ca E bng 0 v lch chun ca E bng 1.
V d 7.1. Tip tc v d 3.4 v gi c phiu ca mt cng ty sinh hc nh. K vng gi
c phiu ca ngy hm sau ca cng ty bng 60%16+40%5 = 11.6 la, phng sai
bng 60%(1611.6)
2
+40%(511.6)
2
= 29.04, v lch chun bng
29.04 5.4.
Ta c m hnh chuyn ng gi c phiu 1 bc
S = S + SE, (7.18)
vi cc tham s sau: S
0
= 10, = (E(S
1
) S
0
)/S
0
= 0.16, = (S
1
)/S
0
= 0.54, v E l
mt bin ngu nhin ch nhn hai gi tr, v c k vng bng 0 v lch chun bng 1.
V d 7.2. C phiu Coca-Cola (m chng khon: KO) t gi 80$ vo u nm 1998.
Vi cc cng thc c lng gi tr thc ca c phiu da trn li nhun v tng trng,
vo thi im u nm 1998, c th c lng l gi tr ca KO vo thi im u nm
2003 s khng qu 50$/c phiu. (Xem V d 5.7). Tm coi n l 50$. V yu t con cng
ca th trng s mt dn i theo thi gian khi m cng ty Coca-Cola khng cn pht
trin nhanh c na nn ta gi thit l gi c phiu s i v gi tr thc sau 5 nm,
trong giai on 1998-2003. Khi , vo u nm 1998, m hnh d on gi KO cho thi
im u nm 2003 s l:
KO
2003
= 50 + .KO
1998
.E, (7.19)
trong KO
1998
= 80, E l mt bin ngu nhin no chun ha (k vng bng 0,
phng sai bng 1), l mt s no cn c lng. Theo m hnh ny th mc li
nhun k vng cho 5 nm s bng (5080)/80 38%, tc l k vng l gi c phiu s
gim gn 40% sau 5 nm. Ta s tm thi b qua vic chn E v y. (C th tm coi
l E c phn b normal chun tc N(0, 1) da trn nh l gii hn trung tm trong xc
sut, v c lng da trn giao ng lch s (historical volatility) ca KO). Thc
t xy ra l KO
2003
= 40, kh gn vi d bo ca m hnh.
7.1.3 M hnh vi thi gian ri rc
Tng t nh l trong m hnh vi mt bc thi gian, trong cc m hnh vi thi
gian ri rc (h ng lc vi thi gian ri rc) cho gi c phiu, vi gi s l gi c phiu
lun lun dng, ta c th vit chuyn ng ca qu trnh ngu nhin S theo phng
trnh sai phn
S
n
S
n1
S
n1
=
n
+
n
E
n
, (7.20)
trong
S
n
l gi c phiu ti thi im th n trong tp cc mc thi gian (S
0
> 0 l gi
ti thi im ban u).

n
l mc li nhun k vng ti thi im th n1 cho mt bc chuyn ng ca
gi, cn gi l h s trt ca m hnh,

n
l h s volatility ( giao ng) ca m hnh,
E
n
l phn ngu nhin chun ha ca m hnh: k vng ca E
n
bng 0 v
phng sai ca E
n
bng 1 (hoc l t bng , trong l bc thi gian).
Mc li nhun
n
c xc nh ti thi im n1 khi bit tnh hung
n1

n1
no xy ra, trong
n1
l k hiu khng gian tt c cc tnh hung c th xy ra cho
n thi im th n 1. Bn thn
n
cng c th coi l mt qu trnh ngu nhin (v
khng bit trc c
n
ti thi im 0), nhng c gi l mt qu trnh d on
c (predictable) v bit c
n
ti thi im th n 1, tc l bit trc mt bc
thi gian. Phn b xc sut ca phn sai s ngu nhin
n
E
n
cng c bit ti thi
im n 1, v do
n
cng l mt qu trnh d on c.
Ty bi ton, ta c th a thm cc gi thit v iu kin vo m hnh. V d,
cho n gin, ngi ta c th gi s l cc bin sai s
n
E
n
l mt h cc bin ngu nhin
c lp c cng phn b xc sut. Hoc c th gi s l cc bin ngu nhin E
n
l c
lp vi nhau v c cng phn b xc sut, cn i lng volatility
n
thay i theo thi
gian. Mt gi thit khc hay c dng, l v l cc hm s theo 2 bin n v S:
n
= (n, S
n1
),
n
= (n, S
n1
). Ni cch khc,
n
v
n
khng ph thuc vo ton b
tnh hung
n1
, m ch ph thuc vo gi S
n1
ti thi im n 1 (nhiu tnh hung
khc nhau c th dn n cng 1 gi ti thi im n 1).
pha di, chng ta s xt m hnh cy nh phn, l mt trng hp n gin ca
m hnh thi gian ri rc. Chnh v n gin, d tnh ton, nn m hnh cy nh phn ny
rt quan trng trong thc t. Nhiu chng trnh tnh gi quyn chn trn cc th trng
chng khon th gii l da trn m hnh cy nh phn.
7.1.4 M hnh cy nh phn
Ging nh trc, ta k hiu bc thi gian l , v gi thi im n l thi im th
n (thi im th 0 l thi im 0, tc l thi im ban u). Gi ca c phiu ti thi
im th n c k hiu l S(n) hay S
n
. Ta coi (S
n
)
nZ
+
l mt qu trnh ngu nhin
vi thi gian ri rc, v ta s vit phng trnh m t chuyn ng ca n.
Ta s gi s l bc thi gian nh n mc, t thi im th n 1 n thi im
th n gi c phiu ch kp thay i 1 ln, ph thuc vo 1 tin xy ra trong khong thi
gian . Tin y s ch l tt (k hiu l g) hoc xu (k hiu l b), v gi c phiu s
thay i, ph thuc vo tin tt hay tin xu, theo cng thc sau:
S
n
=
_
_
_
S
n1
(1 + u
n
) nu tin tt
S
n1
(1 + d
n
) nu tin xu
. (7.21)
Cc i lng u
n
v d
n
khng nht thit phi c nh, m c th ph thuc vo tnh
hung xy ra cho n thi im th n 1 (v c bit vo thi im th n 1 khi
tnh hung c bit). Ni cch khc, chng l cc hm s trn khng gian xc sut
(
n1
, P
n1
) cc tnh hung c th xy ra cho n thi im th n 1 :
u
n
, d
n
:
n1
R. (7.22)
Chng ta s gi s rng S
0
> 0, v cc i lng u
n
v d
n
tha mn cc bt ng thc
u
n
> d
n
> 1, (7.23)
c ngha l gi c phiu lun lun dng, v gi c phiu khi tin tt th cao hn gi c
phiu khi tin xu.
Khng gian xc sut (
n
, P
n
) cc tnh hung c th xy ra n thi im th n l mt
tp hu hn gm c 2
n
phn t: mi phn t c th c k hiu bi mt dy n ch ci
n
= (a
1
, . . . , a
n
), trong mi ch ci nhn mt trong hai gi tr g (tin tt) hoc b (tin
xu), v ch ci th i trong dy ng vi tin xy ra t thi im th i 1 n thi im
th i. Ta c th vit:
n

= g, b
n
. (7.24)
Hnh 7.1: Cy nh phn
M hnh c gi l cy nh phn v mi tnh hung
n1
n thi im n 1 c
r lm hai nhnh, thnh 2 tnh hung n thi im n, k hiu l (
n1
, g) v (
n1
, b).
Ti thi im 0 ban u th cy ch c 1 nhnh, n thi im th 1 th thnh 2 nhnh,
n thi im th 2 th thnh 4 nhnh, v.v.
Xc sut r nhnh t tnh hung
n1
thnh tnh hung (
n1
, g)
n
c k
hiu l p
n
(
n1
), v n c th c tnh theo cng thc xc sut c iu kin:
p
n
(
n1
) = P((
n1
, g)[
n1
) =
P
n
(
n1
, g)
P
n1
(
n1
)
. (7.25)
Ngc li, khi ta bit cc xc sut r nhnh p
n
, th ta cng c th tm li c phn b
xc sut trn
n
theo cng thc sau: vi mi
n
= (a
1
, . . . , a
n
)
n
, ta c
P(
n
) =
n
i=1
P(
i
)
P(
i1
)
, (7.26)
trong
i
= (a
1
, . . . , a
i
),
P(
i
)
P(
i1
)
= p
i
(
i1
) nu a
i
= g v
P(
i
)
P(
i1
)
= 1 p
i
(
i1
) nu
a
i
= b. Chng ta s gi s cc phn b xc sut y l khng suy bin, c ngha l cc
xc sut r nhnh tha mn bt ng thc 0 < p
n
< 1.
Cc i lng u
n
, d
n
v p
n
c th c coi nh l cc qu trnh ngu nhin, v chng
khng nhng ph thuc vo n, m cn c th ph thuc vo tnh hung xy ra. Cc qu
trnh ngu nhin ny l d on c, c ngha l t thi im th n 1 bit c
cc gi tr ca u
n
, d
n
v p
n
.
V d 7.3. Mt m hnh nh phn hai bc, tc l vi n = 2:
S
0
= 100 (gi thi im 0 l 100)
S
1
(g) = 125 (gi thi im 1 l 125 nu tin tt)
S
1
(b) = 105 (gi thi im 1 l 105 nu tin xu)
p
1
= 0.5 (xc sut tin u tin l tt bng 0.5)
S
2
(g, g) = 150 (gi thi im 2 l 150 nu tin u tt tin sau cng tt)
S
2
(g, b) = 115 (gi thi im 2 l 115 nu tin u tt tin sau xu)
p
2
(g) = 0.4 (nu tin u tt, th xc sut tin th hai cng tt l 0.4)
S
2
(b, g) = 130 (gi thi im 2 l 130 nu tin u xu tin sau tt)
S
2
(b, b) = 90 (gi thi im 2 l 115 nu tin u xu tin sau cng xu)
p
2
(b) = 0.7 (nu tin u xu, th xc sut tin th hai tt l 0.7)
Theo m hnh ny, ti thi im 0, S
2
l mt bin ngu nhin nhn 4 gi tr 150, 115,
130 v 90, vi cc xc sut tng ng l: 0.5 0.4 = 0.2, 0.5 (1 0.4) = 0.3, v
(1 0.5) 0.7 = 0.35, (1 0.5) (1 0.7) = 0.15. Ti thi im 1, th S
2
vn l bin
ngu nhin, nhng n ch cn nhn 2 gi tr, v ph thuc vo tnh hung xy ra cho n
thi im 1. V d, nu tin u tin l tt, th khi S
2
l bin ngu nhin vi hai gi
tr 150 v 115, vi cc xc sut tng ng l 0.4 v 1 0.4 = 0.6.
Mt trng hp c bit ca cy nh phn hay c dng n l khi u
n
= u, d
n
= d
v p
n
= p l nhng hng s, khng ph thuc vo n cng nh l vo cc tnh hung
xy ra. Ta s gi m hnh cy nh phn m trong u
n
, d
n
, p
n
l cc hng s l m hnh
cy nh phn bt bin (invariant binary tree model), phn bit vi m hnh cy nh
phn tng qut. M hnh cy nh phn bt bin tt nhin l tnh ton d hn so vi m
hnh nh phn tng qut v c t tham s hn, v bi vy hay c dng, nhng b li
n khng c chnh xc bng m hnh tng qut.
Hnh 7.2: Cy nh phn bt bin 3 bc
Bi tp 7.1. Vit li phng trnh chuyn ng (7.21) ca m hnh cy nh phn di
dng chun
S
n
S
n1
S
n1
=
n
+
n
E
n
: tnh
n
,
n
v tm phn b xc sut ca E
n
t
cc bin u
n
, d
n
v p
n
.
Bi tp 7.2. i) Chng minh rng, trong m hnh cy nh phn bt bin, vo thi im 0
ban u, S
n
l mt bin ngu nhin nhn n+1 gi tr (1 +u)
i
(1 +d)
ni
S
0
, i = 0, 1, . . . , n
(thay v c th nhn n 2
n
gi tr nh trong m hnh cy nh phn tng qut), v mi
gi tr (1 +u)
i
(1 +d)
ni
S
0
c xc sut l C
i
n
p
i
(1 p)
ni
, trong C
i
n
= n!/(i!(n i)!) l
nh thc Newton. (Phn b xc sut vi cc xc sut nh vy c gi l phn b nh
thc, xem [7]).
ii) Tnh k vng E(S
n
) ca gi c phiu sau n bc trong m hnh cy nh phn bt bin.
7.1.5 M hnh vi thi gian lin tc
Trong ton hc, cc m hnh vi thi gian lin tc c th c xy dng nh l gii
hn ca cc m hnh vi thi gian ri rc, khi m bc thi gian tin ti 0. i vi cc
qu trnh ngu nhin m t gi c phiu cng vy: mt qu trnh vi thi gian lin tc
c th nhn c bng cch ly gii hn mt qu trnh vi thi gian ri rc, khi m
bc thi gian tin ti 0. Phng trnh m t chuyn ng ca mt qu trnh ngu nhin
trong trng hp thi gian lin tc s l phng trnh vi phn ngu nhin (stochastic
differential equation). M hnh vi thi gian lin tc n gin nht, 1 chiu, m t s
thay i ca gi c phiu, c dng sau:
dS
t
S
t
= (t, S
t
)dt + (t, S
t
)dB
t
, (7.27)
hay cn vit l
dS
t
= (t, S
t
)S
t
dt + (t, S
t
)S
t
dB
t
, (7.28)
trong (t, S
t
) l h s trt (drift), (t, S
t
) l h s volatility, l cc hm s vi hai
bin s thc, c cho bi m hnh, (mi khi bit gi tr ca t v S
t
th cng bit gi
tr ca v ), B
t
l mt qu trnh ngu nhin gi l chuyn ng Brown (Brownian
motion). Chuyn ng Brown B
t
ny c sinh ra bng cch ly gii hn phn ngu nhin
trong m hnh ri rc, khi khi bc thi gian tin ti 0.
Phng trnh trn hiu ngha nh sau:
Khi m thi gian t dch chuyn i mt i lng t = t
t > 0 rt nh, th gi
c phiu cng dch chuyn i mt i lng S
t
= S
t
S
t
, bng tng ca hai phn,
mt phn l d on c ti thi im t, v mt phn l khng d on c. Phn
d on c xp x bng (t, S
t
).S
t
.t, cn phn khng d on c xp x bng
(t, S
t
).S
t
.(B
t
B
t
).
Chng ta s nh ngha chnh xc chuyn ng Brown, v nghin cu phng trnh
vi phn ngu nhin (7.27), trong cc phn pha sau ca chng ny. Cc tnh cht quan
trng nht ca mt chuyn ng Brown B
t
l:
Bc chuyn ng B
t
B
t
t thi im t n thi im t
> t l c lp theo ngha

xc sut vi mi iu xy ra cho n thi im t.
Phn b xc sut ca bin ngu nhin B
t
B
t
(ti thi im t) l phn b normal
N(0, t
t) vi k vng bng 0 v phng sai bng t
t.
Cc tnh cht trn ca thnh phn chuyn ng Brown B
t
trong phng trnh vi phn
ngu nhin (7.27) c th c gii thch mt cch trc gic nh sau:
Bc chuyn ng B
t
B
t
t thi gian t n thi gian t
> t khng ph thuc vo

bt c iu g xy ra cho n thi im t, bi v nhng ci g m ph thuc vo
nhng chuyn xy ra ti t v cc thi im trc th coi l d on c v
c th chuyn sang phn d on c trong m hnh. Phn hon ton khng d
on c ca m hnh l phn khng h ph thuc vo nhng iu xy ra trc
.
Phn khng d on c c th coi l c k vng bng 0, bi v bn thn k vng
l i lng d on c, nu khc 0 c th chuyn sang phn d on c ca
m hnh.
Phn khng d on c trong khong thi gian t = t
t t t n t
c th
chia thnh tng ca N phn khng d on c cho cc khong thi gian c
di t/N t t + (i 1)t/N n t + it/N. Nh vy n l tng ca N bin ngu
nhin, m ta c th coi l c lp (do tnh hon ton khng d on c va nu
trn) v c phn b xc sut tng t nhau. Theo nh l gii hn trung tm (xem
Chng 4 ca [7]) th mt tng nh vy, khi N tin ti v cng, phi tin ti mt
bin ngu nhin c phn b xc sut l phn b normal. Chnh bi vy m phn
khng d on c B
t
B
t
trong m hnh c phn b normal.
xc nh mt phn b xc sut normal, ta ch cn bit k vng v phng sai
ca n. y ta bit k vng bng 0. V tnh cht cng tnh ca phng sai ca
tng cc bin ngu nhin c lp, v khi chia mt bc chuyn ng ngu nhin
B
t
B
t
thnh nhiu bc nh theo thi gian th cc bc c lp vi nhau, nn
phng sai ca B
t
B
t
c tnh cht cng tnh theo thi gian, v n c t bng
ng t
t, sau khi ta chun ha n bng cch a h s volatility vo m hnh.

Ghi ch 7.1. Trong m hnh vi thi gian lin tc (phng trnh (7.27)) pha trn, gi
chng khon cng l hm lin tc theo thi gian. Tuy nhin, trong thc t, c nhng lc
gi chng khon nhy t bin rt mnh. V d, c phiu ca cng ty cng ngh sinh
hc Orexygen Therapeutics (m chng khon: OREX) c gi ng ca hm 31/01/2011
l 9.09$ m gi m ca hm sau ch cn 2.50$, gim 72%, sau khi c tin loi thuc chng
bo m hng nghin cu b chnh ph M t chi cha cho bn ra th trng. Khi c
nhng tnh hung nh vy c th xy ra vi gi chng khon, th vic m hnh ha bng
phng trnh vi phn ngu nhin nh phng trnh (7.27) khng cn c chnh xc, m
phi a vo thm cc gin on (cc bc nhy t bin). Cc qu trnh m gin on
nh vy thng c gi l cc qu trnh c nhy (jump processes), v chng c
a vo cc m hnh bin ng gi chng khon trong cc ti liu gn y, xem chng
hn [4] v Chng 7 ca [16]. Tuy nhin, trong khun kh quyn sch nhp mn ny,
chng ta s tm thi b qua cc gin on, coi gi chng khon l lin tc theo thi gian
v c th m t da trn chuyn ng Brown.
7.2 Martingale
7.2.1 nh ngha tnh cht martingale
Ni mt cch trc gic, mt qu trnh ngu nhin S
t
c gi l mt martingale, hay
tha mn tnh cht martingale, nu nh vi mi cp thi im s < t, k vng c iu
kin ca S
t
, vi iu kin l bit nhng g xy ra cho n thi im s, ng bng S
s
.
Ni cch khc, vi tt c cc thng tin c c cho n thi im s, th k vng ca gia
s S
t
S
s
bng 0. Nh vy, mt martingale l mt qu trnh ngu nhin c th thay i
theo thi gian, nhng m k vng ca s thay i ti mi thi im u bng 0.
nh ngha chnh xc hn tnh cht martingale theo ngn ng ton hc, chng ta
cn khi nim k vng theo sigma-i s con: Nu X l mt bin ngu nhin trn
khng gian xc sut (, T, P), v ( l mt sigma-i s con ca T, th theo nh ngha,
k vng ca X theo ( l mt bin ngu nhin Y trn khng gian xc sut (, (, P), tc
l hm Y : R o c theo (, sao cho vi mi tp con A o c theo ( (tc
7.2. MARTINGALE 183
l A () ta c
_
A
XdP =
_
A
Y dP. (7.29)
Ch rng, X ni chung khng o c theo (, nn ni chung Y khng bng X: nu t
Y bng X th n khng o c theo ( tuy rng (7.29) lc hin nhin ng.
hiu ngha ca ng thc (7.29), hnh dung l P(A) > 0, nhng A nh sao
cho Y l hng s (hoc gn nh l hng s) trn A. Chia c hai v ca ng thc cho
P(A), ta c
E(X[A) = Y (A), (7.30)
trong v tri l k vng c iu kin ca X trong iu kin A, v v phi l gi tr
(trung bnh) ca Y trong (tp) tnh hung A. V A ( l ty , nn ta ni rng Y l k
vng ca X theo (, v ta vit
Y = E(X[(). (7.31)
Ta c th hnh dung sigma-i s ( nh l mt lp cc iu kin, cn E(X[() l mt
bin ngu nhin trn (, (, P) cho bi cc k vng c iu kin, theo cc iu kin trong
lp . Nu X l bin ngu nhin kh tch (tc l
_
[X[dP < ), th E(X[() lun tn

ti v duy nht theo ngha xc sut. Chng minh ca khng nh ny l bi tp dnh
cho bn c.
nh ngha 7.2. Mt qu trnh ngu nhin S tng thch vi mt khng gian xc sut c
lc (, (T
t
), P) c gi l mt martingale, hay gi l tha mn tnh cht martingale,
nu nh vi mi cp mc thi gian s < t, k vng ca S
t
theo sigma-i s T
t
chnh bng
S
s
:
E(S
t
[T
t
) = S
s
vi mi t > s. (7.32)
7.2.2 No-arbitrage v martingale
T Chng 3, chng ta thy rng, vi gi s l th trng khng c chnh th
gi, th tn ti mt xc sut trung ha ri ro: mi chin lc kinh doanh trn th trng
u c k vng li nhun bng 0 theo xc sut . Nu ta coi gi tr ti sn ca mt chin
lc kinh doanh trn th trng l mt qu trnh ngu nhin vi ch c hai mc thi im
(trc v sau khi kinh doanh), th qu trnh ngu nhin ny chnh l mt martingale ng
vi xc sut trung ha ri ro, v k vng ca li nhun ( thay i ti sn) bng 0.
Th trng c xt ti trong Chng 3 l th trng ch c mt thi im kinh doanh.
y, chng ta s m rng kt qu ca Chng 3 cho th trng vi nhiu thi im
kinh doanh, tc l th trng m gi c c m hnh ha bi cc qu trnh ngu nhin
vi nhiu mc thi gian, hay thm ch c thi gian lin tc.
Xt mt th trng chng khon. Ta s gi s rng trn th trng c mt chng
khon khng ri ro A, c gi ti thi im t l A(t) > 0, v tt c cc s A(t) l c
nh v c bit trc ti thi im 0. (Chng khon khng ri ro ny l cch hnh
thc ha tin gi sinh li trn th trng tin t, v cho n gin ta gi s l li sut
khng thay i theo thi gian, v c cng mt li sut cho mi khon tin gi v tin
vay). Ta s gi s l A(t) l hm n iu khng gim theo t: A(t) A(s) vi mi t s
(tin cho vay phi c li t ra l khng m, khng th khng ai cho vay). Vi mi chng
khon S c gi S(t) ti thi im t, ta t
S(t) = S(t)
A(0)
A(t)
, (7.33)
v gi

S l gi chit khu ca S (mc chit khu c xc nh bi mc tng trng
ca chng khon khng ri ro). Ta coi s bin i theo thi gian ca cc gi chng khon
chit khu l cc qu trnh ngu nhin, trn m hnh xc sut cc tnh hung c th xy
ra vi th trng.
nh l 7.3. Xt mt th trng chng khon tha mn nguyn l no-arbitrage, v gi
s l c mt chng khon khng ri ro A nh pha trn. Gi (, (T
t
), P) l khng gian c
lc xc sut cc tnh hung c th xy ra vi th trng. Khi tn ti mt phn b xc
sut P
trn (, (T
t
)) sao cho cc gi chit khu ca cc chng khon trn th trng u
l martingale theo P
:
E
S
t
[T
s
) =

S
s
, (7.34)
vi mi chng khon S, mi cp mc thi gian s < t, trong E
l k hiu k vng tnh

theo P
. Hn na, hai phn b xc sut P
v P l lien tc tuyt i so vi nhau, c ngha

l mt tp con ca c o xc sut theo P
l s dng khi v ch khi n c o

xc sut theo P l s dng.
Phn b xc sut P
trong nh l trn gi l phn b xc sut trung ha ri ro,

hay cn gi l phn b xc sut martingale hay o martingale.
Ghi ch 7.2. Cch tip cn martingale trong ti chnh (coi rng mi qu trnh gi trn th
trng ti chnh l martingale ng vi mt xc sut trung ha ri ro no ) c khi
xng bi Michael Harrison v David Kreps t nm 1979 vi bi bo: J. M. Harrison,
D. M. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of
Economics Theory, 20 (1979), No. 1, 81109.
7.2. MARTINGALE 185
y, ta s chng minh nh l 7.3 cho trng hp thi gian l ri rc (tc l ta s
ch xt th trng ti cc mc thi gian t = 0, 1, 2, . . .), v khng gian cc tnh hung
n
c th xy ra cho n thi im n l khng gian hu hn vi mi s t nhin n. Trng
hp tng qut ca nh l 7.3 s c chp nhp m khng chng minh trong sch ny.
Ta s coi l
0
=
0
ch gm mt phn t duy nht, vi xc sut bng 1. Ta s coi
l th trng tha mn cc tnh cht l tng ha sau:
Chi ph giao dch bng 0, th trng cho php mua/bn vi s lng ty k c bn
khng, v ti mi thi im n = 0, 1, 2, . . . , mi m chng khon trn th trng ch c
mt gi duy nht (gi ph thuc vo tnh hung xy ra cho n thi im n, nhng
mi giao dch ti thi im th s c cng 1 gi).
Xt mt ti khon chng khon trn th trng, gm c mt s lng cc chng
khon c ri ro (tc l cc chng khon c gi l cc qu trnh ngu nhin S
i
khng xc
nh c trc), v mt lng chng khon khng ri ro. (Khng c tin mt, v mi
khon tin mt c t ng i thnh chng khon khng ri ro). Gi m l s m
chng khon c ri ro. Gi s lng chng khon c ri ro th i trong ti khon, cho giai
on bt u t thi im n 1 cho n thi im n, l x
i
(n), v s lng chng khon
khng ri ro trong ti khon cho giai on l y(n). Khi , tng gi tr ca ti khon
vo thi im n s l:
V (n) =
m
i=1
x
i
(n)S
i
(n) + y(n)A(n), (7.35)
trong S
i
(n) = S
i
n
l gi ca chng khon th i ti thi im n. n thi im n th c
th mua bn c phiu trong ti khon, c cc lng chng khon mi l x
i
(n + 1)
v y(n+1) cho giai on t thi im n n thi im n+1, v c tip tc nh vy. Mt
dy cc s lng chng khon (x
1
(n), . . . , x
m
(n), y(n)), n = 1, 2, . . . nh trn, c gi l
mt chin lc u t.
nh ngha 7.4. Mt chin lc u t (x
1
(n), . . . , x
m
(n), y(n)) (n N) c gi l:
- T hch ton (self-financing) nu nh tng gi tr ca cc chng khon c mua/bn
trong ti khon vo mi thi im n l bng 0.
- D on c (predictable), nu nh ti mi thi im n 1 th cc i lng x
i
(n)
v y(n) l cc s hon ton c xc nh bi tnh hung xy ra vi th trng v vi ti
khon cho n thi im n 1. Ni theo ngn ng cc qu trnh ngu nhin, th x
i
(n) v
y(n) l cc qu trnh d on c.
- Chp nhn c (admissible) nu n l t hch ton, d on c, v c gi tr
khng m (V (n) 0) ti mi thi im n = 0, 1, 2, . . ..
- Chin lc arbitrage, nu n chp nhn c, c gi tr ban u bng 0, V (0) = 0,
v tn ti mt s t nhin n sao cho k vng ca V (n) (theo phn b xc sut trn khng
gian
n
cc tnh hung c th xy ra ti thi im n) l s dng.
Th trng c gi l tha mn nguyn l no-arbitrage nu nh khng tn ti
chin lc arbitrage theo nh nh ngha pha trn. Chng ta s gi thit l th trng
tha mn nguyn l no-arbitrage ny.
Ghi ch 7.3. Tnh t d on c trong nh ngha trn l ni v s xc nh c ca
cc s lng chng khon trong chin lc vo mi thi im, ch khng phi l d on
trc c gi tr ca ti khon theo chin lc. Ch l, khi ta c nh mt chin
lc u t d on c (v u t theo chin lc ), th gi tr V (n) ca ti khon
vo thi im n tr thnh mt hm n tr trn khng gian
n
cc tnh hung c th x
ra vi th trng cho n thi im n.
Khi bit cc phn b xc sut P
n
trn khng gian
n
cc tnh hung c th xy ra
cho ti thi im n, ta c th nh ngha cc xc sut r nhnh P(n, .) (l cc xc sut
c iu kin) nh sau:
P(n,
n+1
) =
P
n+1
(
n+1
)
P
n
(
n
)
, (7.36)
trong
n
=
n,n+1
(
n+1
). Ni cch khc, P(n)(
n+1
) l xc sut c iu kin xy
ra tnh hung
n+1
, khi bit rng tnh hung
n
xy ra. Gi l r nhnh, v t mt tnh
hung
n
c th r nhnh ra thnh nhiu tnh hung
n+1
khc nhau, khi thi gian chy
t n n n + 1. (Ta gi thit l phn b xc sut y khng suy bin, tc l mi tnh
hung u c xc sut dng).
Ngc li, nu bit cc xc sut r nhnh P(n, .), th ta cng tm li c cc xc
sut trn cc khng gian tnh hung
n
, theo cng thc xc sut c iu kin:
P
n
(
n
) =
n
k=1
P
k
(
k
)
P
k1
(
k1
)
=
n
k=1
P(k 1,
k
), (7.37)
trong
k
=
k,n
(
n
). xy dng xc sut martingale P
, ta ch cn xy dng cc xc
sut r nhnh P
(n, .) tng ng, ri p dng cng thc tch pha trn tnh ra phn
b xc sut P
n
trn
n
vi mi n. (Bit P
n
vi mi n tc l bit P
trn ). Cc xc
sut r nhnh P
(n, .) ny chnh l cc xc sut r nhnh trung ha ri ro, m s tn ti

ca n c cho bi nh l 3.4 v b sau:
B 7.5. Gi s rng vo thi im n, bit l tnh hung
n

n
xy ra, v th
trng c mt chin lc arbitrage cho hai mc thi gian n v n+1, tc l c th lp mt
7.2. MARTINGALE 187
r ri sn (x
1
(n), . . . , x
m
(n), y(n)) c tng gi tr bng 0 ti thi im n, nhng c gi tr
khng m ti thi im n + 1, v c gi tr k vng dng ti im n + 1. Khi tn ti
mt chin lc arbitrage (bt u t thi im 0, v khng c gi s l tnh hung no
xy ra ti thi im n).
B trn c ngha l, nu th trng khng c chin lc arbitrage, th ti mi bc
r nhnh ca th trng cng khng c chin lc arbitrage. (Gi tr k vng trong b
trn l k vng theo phn b xc sut r nhnh thc t P(n,
n
) ban u).
Chng minh. Tht vy, gi s l tn ti chin lc arbitrage (x
1
(n), . . . , x
m
(n), y(n)) ti
nt
n
ca th trng (tc l vi gi s rng
n
xy ra). Khi , ta c th xy dng mt
chin lc nh sau t thi im 0:
- Ti cc thi im < n, cc s lng chng khon u bng 0.
- Ti thi imn: nu
n
xy ra, th chn cc s lng chng khon (x
1
(n), . . . , x
m
(n), y(n))
bng ng theo chin lc arbitrage ca nt
n
; nu tnh hung khc xy ra, th vn gi
nguyn mi s lng chng khon bng 0.
- Kt thc ti thi im n + 1 (tc l rt ht s lng cc chng khon ri ro v 0 ti
thi im ny).
D dng thy rng chin lc trn l d chp nhn c, v n l mt chin lc arbitrage
cho th trng.
Theo gi thit, th trng khng c chin lc arbitrage. Do , ti mi nt cng
khng c chin lc arbitrage. nh l 3.4 cho ta s tn ti ca cc xc sut r nhnh
trung ha ri ro khng suy bin ti mi nt, m ta s k hiu l P
(n, ). Khi bit

P
(n, ), ta c th xy dng cc xc sut P

n
trn
n
theo cng thc tch nh pha trn:
P
n
(
n
) =
n
k=1
P
(k 1,
k
). (7.38)
kt thc chng minh nh l 7.3, chng ta cn cn phi kim tra rng cc phn
b xc sut P
n
va xy dng tha mn tnh cht martingale:
E
S
N
[
n
) =

S
n
(
n
) (7.39)
vi mi chng khon S, mi cp thi im N > n, v mi tnh hung
n
xy ra n thi
im n, trong E
l k hiu k vng theo xc sut P
, v

S
t
= S
t
A(0)
A(t)
l gi chit khu
ca chng khon S.
Trng hp N = n + 1: ti thi im n, khi
s
bit, lp mt r ti sn gm c 1
n v chng khon S, v S
n
(
n
)/A(n) n v chng khon khng ri ro A. Gi tr ca
r ti sn ny ti thi im s bng 0. Theo nh ngha xc sut trung ha ri ro, th k
vng ca r ti sn ny theo phn b xc sut P
(n,
n
) phi bng 0, tc l ta c:
0 = E
(S
n+1
(S
n
(
n
)/A(n))A(n + 1)[
n
) = E
(S
n+1
[
n
)

S
n
(
n
)A(n + 1)/A(0),
t suy ra
E
S
n+1
[
n
) = E
(A(0)S
n+1
/A(n + 1)[
n
) =

S
n
(
n
),
tc l ta chng minh c tnh cht martingale trong trng hp ring N = n + 1.
Trng hp tng qut N > n suy ra c trc tip t trng hp ring ny, v cc tnh
cht c bn ca k vng (nu sau mi bc k vng khng thay i, th sau N n bc
k vng cng khng thay i xem bi tp 7.3). nh l 7.3 c chng minh.
Bi tp 7.3. Chng minh rng nu mt qu trnh ngu nhin S vi thi gian ri rc
t = 0, 1, 2, . . . tha mn iu kin
E
S
n+1
[
n
) =

S
n
(
n
), (7.40)
vi mi n, th n l mt qu trnh martingale.
Bi tp 7.4. Chng minh rng cc cng thc sau tng ng vi nhau v vi iu kin
t hch ton ca mt chin lc u t:
1) Tng gi tr giao dch ti mi thi im bng 0:
m
i=1
(x
i
(n + 1) x
i
(n))S
i
(n) + (y(n + 1) y(n))A(n) = 0 vi mi n = 1, 2, . . . (7.41)
2) S thay i gi tr ca ti khon sau mi bc thi gian l do s thay i gi to ra:
V (n +1) V (n) =
m
i=1
x
i
(n +1)(S
i
(n +1) S
i
(n)) +y(n +1)(A(n +1) A(n)). (7.42)
3) S lng chng khon khng ri ro y(n) c t ng xc nh bi cc s lng chng
khon c ri ro x
i
(n) mun c trong ti khon theo cng thc
y(n) = y(n 1)
m
i=1
(x
i
(n) x
i
(n 1))S
i
(n 1)
A(n 1)
. (7.43)
Bi tp 7.5. Chng minh rng, nu tn ti mt chin lc t hch ton, d on c,
c V (0) = 0 v V (2) > 0 trong mi tnh hung, nhng V (1) c th nhn gi tr m (tc
7.2. MARTINGALE 189
l c tnh hung sao cho V (1) < 0), th cng tn ti mt chin lc arbitrage mnh, tc
l mt chin chp nhn c (tha mn thm iu kin V (1) 0 trong mi tnh hung),
vi V (0) = 0 v V (2) > 0 trong mi tnh hung . (C th thay 1 v 2 bng hai s t nhin
k < n bt k trong bi tp ny).
Bi tp 7.6. Xt mt th trng vi mt chng khon khng ri ro A tha mn A(0) = 100,
A(1) = 110, A(2) = 121, v mt c phiu S. Gi s c tt c 3 tnh hung c th xy ra,
v gi ca S trong ba tnh hung s nh sau:
Tnh hung S(0) S(1) S(2)
1
100 120 144
2
100 120 96
3
100 90 96
a) C tn ti chin lc arbitrage khng ? Nu c th hy ch ra v d.
b) Gi s l khng c php bn khng, tc l s lng c phiu trong chin lc phi
lun khng m. (S lng chng khon khng ri ro th c th l s m, tc l c th vay
tin). Hi rng khi c tn ti chin lc arbitrage khng ?
Bi tp 7.7. (Martingale trong m hnh cy nh phn). Xt m hnh cy nh phn
tng qut cho gi ca mt c phiu, c xy dng trong Mc 7.1.4. cho n gin,
chng ta s gi s l chng khon khng ri ro A c tc tng gi tr c nh:
A(n) = (1 +R)
n
A(0) (7.44)
trong R > 0 l mt mc li nhun c nh no cho mt n v thi gian. Nhc li
rng, trong m hnh cy nh phn tng qut, mi tnh hung
n
c phn nhnh lm
2 tnh hung (
n
, g) (tin tt) v (
n
, b) (tin xu) khi thi gian i t n n n + 1. Gi
ca c phiu ti thi im n + 1 l S(n + 1) = S(n)(1 + u(n)) nu tin tt xy ra, v l
S(n + 1) = S(n)(1 + d(n)) nu tin xu xy ra trong khong thi gian t n n n + 1.
Chng minh rng, m hnh cy nh phn tng qut tha mn nguyn l no-arbitrage khi
v ch khi bt ng thc d(n) < R < u(n) lun c tha mn. Trong trng hp , tn
ti mt phn b xc sut martingale p
duy nht, vi cc xc sut r nhnh p
(n) cho
bi cng thc sau:
p
(n) =
R d(n)
u(n) d(n)
. (7.45)
K vng E
(S(n)[
k
) ca gi c phiu theo phn b xc sut martingale p
, khi bit tnh

hung
k
xy ra cho n thi im k, bng:
E
(S(n)[
k
) = S(k,
k
)(1 + R)
nk
. (7.46)
Trng hp c bit, khi k = 0, ta c th vit E
(S(n)) = S(0)(1 + R)
n
.
7.3 Chuyn ng Brown
Chuyn ng Brown (Brownian motion) l mt lp cc qu trnh ngu nhin mang
tn nh thc vt hc Robert Brown (17731858)
(2)
, ngi quan st chuyn ng ca
cc ht bi (phn hoa) trong nc thy chng i hng lin tc (mi khi va p phi cc
phn t khc th li i hng). N cn c gi l qu trnh Wiener, theo tn nh ton
hc Robert Wiener (18941964), ngi c nhiu cng trnh nghin cu v cc qu trnh
ngu nhin v nhiu
(3)
. T nm 1900, ng Louis Bachelier t c s cho ton ti chnh
hin i bng vic dng chuyn ng Brown m hnh ha cc qu trnh bin ng gi
chng khon trong lun n tin s ca mnh, tuy rng lun n ca ng ta thi khng
c my ai quan tm, v phi n na sau th k 20 ngi ta mi thc s quan tm n
n. Chuyn ng Brown l mt trong nhng lp qu trnh ngu nhin quan trng nht,
v phn ln cc chuyn ng ngu nhin c tnh lin tc trong thc t c th c m
hnh ha da trn chuyn ng Brown v cc php bin i gii tch. y, chng ta s
nh ngha v mt ton hc th no l mt chuyn ng Brown, v nghin cu mt s
tnh cht quan trng nht ca n.
7.3.1 nh ngha chuyn ng Brown
Trong khun kh quyn sch ny, chng ta s ch nh ngha chuyn ng Brown 1
chiu, trn tp hp cc s thc R. nh ngha chuyn ng Brown nhiu chiu hon ton
tng t.
nh ngha 7.6. Mt qu trnh ngu nhin tng thch B
t
nhn gi tr thc, vi tp cc
mc thi gian l R
+
, trn m hnh khng gian xc sut c lc (, (T
t
), P), c gi l
mt qu trnh Wiener hay chuyn ng Brown chun tc 1 chiu, nu n tha mn
cc iu kin sau:
i) Xut pht im l 0: B
0
= 0.
ii) B
t
l mt qu trnh lin tc. C ngha l, vi hu ht mi , hm s B
(t) :=
B
t
(), tc l qu o ca B
t
trong tnh hung , l hm lin tc theo bin thi gian t.
(2)
Xem: http://en.wikipedia.org/wiki/Robert_Brown_(botanist)
(3)
Xem: http://en.wikipedia.org/wiki/Norbert_Wiener . Cc nhiu m c m hnh bi chuyn ng
Brown gi l nhiu trng (white noise).
7.3. CHUYN NG BROWN 191
iii) Vi mi 0 s < t, bin ngu nhin B
t
B
s
(gi l bc i, hay gia s, ca qu
trnh ngu nhin t s n t) khng ph thuc vo tnh hung xy ra cho ti thi im
s, hay ni cch khc, n c lp vi sigma-i s T
s
. C ngha l, vi mi A T
s
v
[a, b] R ta c
P(A (B
t
B
s
[a, b])) = P(A).P(B
t
B
s
[a, b]). (7.47)
iv) Vi t > s 0 bt k, phn b xc sut ca B
t
B
s
l phn b normal N(0, t s) vi
k vng bng 0 v phng sai bng t s.
Khi ni mt qu trnh no l chuyn ng Brown m khng ni c th thm, chng
ta s lun hiu l chuyn ng Brown chun tc 1 chiu.
Trong nh ngha trn, iu kin i) l chun ha, gi im xut pht ca chuyn
ng l 0. iu kin ii) l tnh cht lin tc ca chuyn ng Brown. ngha ca iu
kin iii) cng kh hin nhin: nhng bc chuyn ng trong tng lai khng h ph
thuc vo nhng g xy ra trong qu kh. iu kin iv) xut pht t tng sau:
bc chuyn ng theo thi gian t s n t, vi di thi gian bng ts, c th chia nh
thnh tng ca N bc chuyn ng c lp, mi bc c di thi gian l (t s)/N
(vi mi s t nhin N). Khi N tin n v cng, th theo nh l gii hn trung tm
(xem Chng 4 ca [7]), tng ca N bin ngu nhin c lp cng phn b xc sut s
c phn b xc sut tin n mt phn b normal (sau khi chun ha). Bi vy, mt
cch trc gic, phn b xc sut ca B
t
B
s
phi l phn b normal. Vic t phn b
normal y bng N(0, t s) cng l chun ha.
T nh ngha trn, suy ra ngay c rng, nu B
t
l mt chuyn ng Brown v
0 < t
1
< . . . < t
n
th b n bin ngu nhin (B
t
1
, . . . , B
t
n
) c phn b xc sut chung l
phn b normal n chiu (xem Chng 3 ca [7] v phn b normal nhiu chiu).
Bi tp 7.8. Chng minh rng, nu B(t) l mt chuyn ng Brown, th cc qu trnh
B(t), B(t + t
0
) B(t
0
) (trong t
0
> 0 l mt hng s), v aB(t/a
2
) (trong a ,= 0
l mt hng s) cng l cc chuyn ng Brown.
Bi tp 7.9. t Z
t
= a +t +B
t
trong a, , l cc hng s. Tm phn b xc sut
ca cc gia s Z
t
Z
s
, v chng minh rng qu trnh Z
t
cng l qu trnh lin tc v c
gia s c lp, tc l n tha mn cc tnh cht iii) v iv) trong nh ngha chuyn ng
Brown. (Qu trnh Z
t
ny c th c gi l mt chuyn ng Brown khng chun
tc, vi xut pht im l a, h s volatility l v h s trt l ).
Bi tp 7.10. Gi s B
t
l mt chuyn ng Brown, v a > 0 l mt hng s. Xy dng
mt qu trnh ngu nhin W
t
sau, gi l gng phn (reflection) ca B
t
theo a:
- Nu B
s
() < a vi mi s < t, th W
t
() = B
t
(). (Tc l khi cha i ln chm vo n
a, th qu trnh W
t
trng vi B
t
).
- Nu tn ti s < t sao cho B
s
() = a, th W
t
() = 2a B
t
(). (K t khi bt u chm
vo a, th W
t
l gng phn ca B
t
qua a).
Chng minh rng qu trnh W
t
xy dng nh trn cng l mt chuyn ng Brown.
Bi tp 7.11. Chng minh cng thc xc sut vt ro sau y ca chuyn ng Brown:
P max
0tT
B
t
a = 2
_

a
e
x
2
/2T
2T
dx. (7.48)
Hng dn: vit s kin max
0tT
B
t
a di dng hp khng giao nhau ca hai s kin
B
T
a v W
T
> a, trong W
t
l gng phn ca B
t
qua a nh trong bi tp trc.
7.3.2 Phn b xc sut ca chuyn ng Brown
Gi s S
t
l mt qu trnh ngu nhin ty , tng thch vi mt m hnh xc sut
(, T
t
, P), v gi T l tp cc mc thi gian ca qu trnh ny. (Trng hp T = R
+
l
trng hp thi gian l lin tc, cn trng hp T = 0 = t
0
< t
1
< t
2
< . . . l trng
hp vi thi gian ri rc; mt qu trnh ngu nhin S
t
vi thi gian ri rc cng c th
c coi l qu trnh vi thi gian lin tc bng cch t S
t
= S
t
n
nu t kp gia hai mc
thi gian ri rc t
n
v t
n+1
: t
n
t < t
n+1
). Ta c th coi qu trnh ngu nhin S
t
nh l
mt nh x
S : R
T
(7.49)
t khng gian cc tnh hung vo khng gian R
T
cc hm s thc trn T : nh ca mt
tnh hung theo nh x ny chnh l qu o S
(.) = S
.
() ca S trong tnh hung .
Qu trnh ngu nhin S
t
cng s c k hiu l S hay S(t), nu k hiu nh th tin
hn.
Nu X l mt bin ngu nhin (hay mt vector ngu nhin n chiu), th c mt phn
b xc sut P
X
tng ng trn R (hay trn R
n
), c nh ngha bng push-forward:
P
X
(A) = P(X A) (7.50)
trong A l on thng bt k trn R (hay mt hnh hp bt k trong R
n
). Khi lm cc
php tnh vi cc bin ngu nhin hay cc vector ngu nhin ra cc con s c ngha,
th m hnh khng gian xc sut ban u ni chung khng quan trng, m ci quan trng
chnh l phn b xc sut ca n trn R hay R
n
. Tng t nh vy, khi tnh ton vi mt
qu trnh ngu nhin S
t
, th m hnh phn b xc sut ban u (, (T
t
), P) khng quan
trng bng phn b xc sut P
S
trn R
T
, nhn c t phn b xc sut trn qua
push-forward ca nh x S, v gi l phn b xc sut ca qu trnh ngu nhin S
t
trn R
T
: Sigma-i s trn R
T
l sigma-i s Borel B, sinh bi cc tp con c dng
C
A
t
1
,...,t
n
= f : T R; (f(t
1
), . . . , f(t
n
)) A, (7.51)
trong n N, t
i
l cc phn t ca T v A R
n
l mt tp Borel. Cc tp c dng
nh vy c gi l cc tp hnh tr (cylinder). Xc sut theo P
S
ca tp hnh tr l:
P
S
(C
A
t
1
,...,t
m
) = P(S
t
1
, . . . , S
t
n
) A. (7.52)
Sigma-i s Borel B trn R
T
c mt lc t nhin cc sigma-i s con B
, gi l lc
Borel: vi mi t T , B
t
c sinh bi cc tp hnh tr C
A
t
1
,...,t
n
tha mn iu kin t
i
t
vi mi i = 1, . . . , n.
S tng thch ca mt qu trnh S
t
vi m hnh xc sut (, (T
t
), P) tng ng
vi iu kin sau: S
B
t
T
t
, trong B
t
l lc Borel trn R
T
v S
B
t
l nh ngc ca
n trn theo S. Ta c th ly lun S
B
t
lm lc cho m hnh khng gian xc sut ca
S trn , nu lc trn cha c nh. Lc S
B
t
c tnh cht ti u sau: mi lc khc
trn sao cho S l tng thch phi cha lc ny. Ta s gi S
B
t
l lc sinh bi S trn
khng gian xc sut .
Ch rng, mi phn b xc sut trn R
T
, vi sigma-i s l sigma-i s Borel sinh
bi cc tp hnh tr, u l phn b xc sut ca mt qu trnh ngu nhin tng thch
S
t
no . Tht vy, ta c th xy dng v d nh sau: t khng gian cc tnh hung
bng chnh R
T
vi phn b xc sut ny, t lc T
t
cc sigma-i s con bng chnh lc
Borel B
t
, v t S
t
() = (t), tc l khi tnh hung xy ra th qu o ca qu trnh
ngu nhin S
t
chnh l hm s . Khng nh ny c gi l nh l Kolmogorov v
s tn ti ca cc qu trnh ngu nhin vi phn b xc sut cho trc.
Trong trng hp m S
t
= B
t
l mt chuyn ng Brown, th theo nh ngha, vi
mi 0 t
0
< t
1
. . . < t
n
t v cc on thng D
i
R, ta c:
P(B
t
i
B
t
i1
D
i
i = 1, . . . , n) =
n
i=1
P(B
t
i
B
t
i1
D
i
) =
n
i=1
_
D
i
1
2
e
x
2
/2
dx,
(7.53)
v do xc sut ca cc tp hnh tr trn R
R
+
theo phn b xc sut ca chuyn ng
Brown l:
P
S
(C
A
t
1
,...,t
m
) =
1
(
2)
n
_
A
e
x
2
1
/2
e
(x
2
x
1
)
2
/2
. . . e
(x
n
x
n1
)
2
/2
dx
1
. . . dx
n
(7.54)
chng t s tn ti v mt ton hc ca chuyn ng Brown, ta c th xy dng
v d hon ton tng t nh trong trng hp tng qut. Ch c iu khc l, thay v
t = R
R
+
l khng gian tt c cc hm s thc trn na ng thng R
+
, ta t
= C
0
(R
+
, R) [ (0) = 0 l khng gian cc hm s lin tc trn R
+
v c gi tr
bng 0 ti 0, m bo mi qu o u l lin tc. Cc tp hnh tr, v cc sigma-i
s, nh ngha ht nh c, ch thm iu kin l cc phn t u l cc hm lin tc. V
d m hnh chuyn ng Brown ny cho thy, qu o ca mt chuyn ng Brown c
th l mt hm s lin tc bt k. Tuy nhin, nh chng ta s thy, hu ht cc qu o
ca mt chuyn ng Brown tha mn mt s tnh cht c trng nh: khng kh vi ti
bt c im no, v c bin phn v hn.
Ghi ch 7.4. iu kin iii) trong nh ngha ca chuyn ng Brown hay c thay bng
iu kin sau:
iii) Vi mi 0 t
0
< t
1
< . . . < t
n
, b n bin ngu nhin (B
t
1
B
t
0
, B
t
2
B
t
1
, . . . , B
t
n
B
t
n1
) l mt b bin ngu nhin c lp. Ni cch khc, cc bc i ca chuyn ng
Brown l c lp vi nhau.
Mt qu trnh ngu nhin tha mn iu kin iii) pha trn th c gi l mt qu
trnh c gia s c lp (independent increments).
D thy rng iu kin iii) l h qu ca iu kin iii). Trong trng hp m lc T
t
trong m hnh xc sut chnh l lc sinh bi qu trnh ngu nhin, th iu kin iii) tng
ng vi iu kin iii).
7.3.3 Du dng ngu nhin
Chuyn ng Brown c dng nhiu trong thc t, chnh l v n l gii hn (lin
tc ha) ca cc qu trnh ngu nhin vi thi gian ri rc c dng gi l du ng ngu
nhin, khi ta cho di thi gian ca mi bc i tin ti 0. Cc quan st ca Robert
Brown dn n chuyn ng mang tn ng cng chnh l quan st s du ng ngu nhin
ca cc ht bi trong nc (tc l thc ra trong cc khong thi gian rt nh, gia 2 ln
va p vo cc phn t khc, th chuyn ng ca mt ht bi l c hng nht nh,
ch khng hon ton v hng (k vng ca gia s bng 0) nh trong nh ngha ca qu
trnh Wiener).
Ni mt cch c th hn, xt mt qu trnh ngu nhin X
vi thi gian ri rc, c

bc thi gian bng > 0. Gi s l X
0
= 0, cc gia s X
n
X
(n1)
l c lp vi nhau
v c cng phn b xc sut, l phn b Bernoulli sau: xc sut X
n
X
(n1)
= a
l
50% v xc sut X
n
X
(n1)
= a
cng l 50%, trong a
l mt hng s dng
c ph thuc vo tham s m chng ta s xc nh sau. Mt qu trnh ngu nhin nh
vy c gi l mt qu trnh du ng ngu nhin (random walk) mt chiu, vi
di ca bc thi gian bng v di ca bc du ng bng a
(tc l c sau mi
khong thi gian th li dch chuyn ton ton ngu nhin, hoc l sang tri hoc l
sang phi, mt on c di a
). Qu trnh du ng ngu nhin ny l mt trng hp

c bit ca m hnh cy nh phn.
Hnh 7.3: Mt s v d th ng du ng ngu nhin ( = a
= 1)
Xt qung ng i c X
t
X
s
ca mt qu trnh du ng ngu nhin t mt thi
im s = M n mt thi im t = (M + N). Ta c th vit
X
t
X
s
=
N
i=1
Y
M+i
(7.55)
trong Y
M+i
= X
(M+i)
X
(M+i1)
l tng bc i mt. Theo gi thit, cc bc
i Y
N+i
l c lp vi nhau v c cng phn b xc sut l phn b Bernoulli, tc l
X
t
X
s
l tng ca N bin ngu nhin cng phn b xc sut. Khi N ln (tc l nh,
v ta gi s s v t c nh, v t s = N), ta c th s dng nh l gii hn trung tm
nghin cu phn b xc sut ca X
t
X
s
. Trc ht, nhc li nh l gii hn trung
tm (xem Chng 4 ca [7]; trng hp c bit ca n, cho cc phn b Bernoulli, c
chng minh bi de Moivre v Laplace t th k 18):
nh l 7.7 (nh l gii hn trung tm). Gi s Y
1
, Y
2
, . . . , Y
n
, . . . l mt dy cc
bin ngu nhin c lp c cng phn b xc sut vi k vng bng 0 v lch chun
bng hu hn. t Z
N
=
N
i=1
Y
i
N
. Khi vi mi on thng [a, b] R, ta c:
lim
N
P (a Z
N
b) =
_
b
a
1
2
e
x
2
/2
dx. (7.56)
Ni cch khc, phn b xc sut ca Z
N
tin ti phn b normal chun tc N(0, 1) khi
N tin ti v cng.
Ch rng, trong nh l gii hn trung tm, c i lng
N xut hin. s dng

nh l gii hn trung tm cho X
t
X
s
, ta s t Y
M+n
= Y
n
/
_
N/(t s) =

Y
n
, hay
Y
n
= Y
M+n
/
. Ta s coi l cc bin Y
M+n
/
c cng phn b xc sut v phn b ny

khng ph thuc vo . Nhc li rng, phn b xc sut ca Y
M+n
l phn b Bernoulli,
nhn hai gi tr a
, vi xc sut 50% cho mi gi tr. Ni rng phn b xc sut ca

Y
M+n
/
khng ph thuc vo c ngha l a
l hng s khng ph thuc vo .

cho tin, ta s t
a
. (7.57)
Khi lch chun ca Y
M+n
/
ng bng 1, v ta c X
t
X
s
=
N
i=1
Y
M+i
=
t sZ
N
. Nh vy, ta c h qu sau ca nh l gii hn trung tm:
nh l 7.8. Gi X
t
l qu trnh du ng ngu nhin 1 chiu vi bc thi gian bng
v bc dch chuyn bng

. Gi s t > s > 0 l hai mc thi gian bt k. Khi phn
b xc sut ca X
t
X
s
tin ti phn b normal N(0,
t s) khi m tin ti 0.
Trong nh l trn, t v s khng nht thit phi chia ht cho (bng nhn vi
mt s nguyn), v mi qu trnh ngu nhin X
t
vi thi gian ri rc u c th c
coi l qu trnh ngu nhin vi thi gian lin tc, qua mt cng thc ni suy. V d, nu
t
n
< t < t
n+1
, trong t
n
v t
n+1
l hai mc thi gian lin tip ca qu trnh ri rc,
th ta c th t X
t
= X
t
n
(coi n l bt bin trn tng khc thi gian), hoc l t
X
t
=
t
n+1
t
t
n+1
t
n
X
t
n
+
tt
n
t
n+1
t
n
X
t
n+1
( bin n thnh qu trnh ngu nhin lin tc tuyn
tnh tng khc). nh l trn ng vi c hai cch t .
nh l trn cho thy cc qu trnh du ng ngu nhin X
t
(vi bc thi gian bng
v bc dch chuyn bng

) tin ti (theo ngha phn b xc sut) chuyn ng Brown
chun tc khi tin ti 0, v n cng gii thch v sao ta yu cu rng gia s B
t
B
s
ca
chuyn ng Brown phi c phn b xc sut l phn b N(0,
t s). V l qu trnh
du ng ngu nhin X
t
c bc dch chuyn

tin ti 0 khi tin ti 0, nn, mt cch
trc gic, gii hn ca X
t
khi tin ti 0 phi l qu trnh lin tc (tc l hu ht mi
ng i u l lin tc). Do vy m ta c iu kin lin tc trong nh ngha ca chuyn
ng Brown.
7.3.4 Mt s tnh cht ca chuyn ng Brown
nh l 7.9. (Tnh cht martingale). Vi mi 0 s t ta c
E(B
t
[T
s
) = B
s
, (7.58)
hay cn c th vit l:
E(B
t
B
s
[T
s
) = 0, (7.59)
tc l k vng (c iu kin) ca mi bc i B
t
B
s
(d tnh hung xy ra cho n thi
im s) u bng 0.
nh l trn chng qua l h qu trc tip ca cc iu kin ii) v iii) trong nh ngha
chuyn ng Brown.
nh l 7.10. Gi s B
t
l mt chuyn ng Brown. Khi tn ti mt tp con

trong khng gian cc tnh hung, c xc sut bng 1, sao cho vi mi tnh hung
th qu o B
(t) := B
t
() tha mn cc tnh cht sau:
i) Vi mi a R, c v hn cc thi im t R
+
sao cho B
(t) = a.
ii) Vi mi > 0, tp hp cc khng im ca B
(tc l cc im t sao cho B
(t) = 0)
trn on thng [0, ] l mt tp v hn.
iii) B
khng n iu theo t trn bt c on thng no.

iv) B
khng kh vi ti bt c im no theo t.
Ni cch khc, hu ht cc qu o ca mt chuyn ng Brown tha mn cc tnh cht
trn.
Chng minh. i) Ta s gi s a > 0 (cc trng hp khc chng minh tng t). D thy
rng, nu B
t
l chuyn ng Brown v > 0 l hng s, th
1
2
t
cng l chuyn ng
Brown. (Xem bi tp 7.8). Tnh cht ny gi l tnh cht scaling (phng to thu nh)
ca chuyn ng Brown. Do tnh cht scaling nn ta c
P(B
t
< x[B
s
< y) = P(B
2
t
< x[B
2
s
< y) (7.60)
vi mi hng s x, y, , s v t tha mn > 0, 0 < s < t. Trng hp ring ca ng thc
trn l
P(B
4
n < 2
n
a[B
4
n1 < 2
n1
a) = P(B
4
n+1 < 2
n+1
a[B
4
n < 2
n
a) = c, (7.61)
vi c l mt s nh hn 1, ln hn 0, v khng ph thuc vo n Z. Bi vy
P(B
4
n < 2
n
0 n N) = P(B
1
< a)
N
n=1
P(B
4
n < 2
n
a[B
4
n1 < 2
n1
a) = c
N
P(B
1
< a)
(7.62)
tin ti 0 khi N tin ti v cng, v do vy P(B
4
n < 2
n
a n Z
+
) = 0. C ngha
l, vi hu ht mi tnh hung , tn ti t nht mt s nguyn khng m n sao cho
B
(4
n
) 2
n
a a. V (vi hu ht mi ) B
l hm lin tc theo t, c gi tr bng 0 ti

0 v gi tr ln hn hoc bng a ti mt thi im no , nn n cng phi nhn a lm
gi tr ti thi im no (theo nh l gi tr trung gian cho hm lin tc). Nh vy
ta chng minh c rng, trong hu ht mi tnh hung , th tn ti t nht 1 thi
im sao cho gi tr ca B
ti thi im bng a. Tng t nh vy, ta c th chng

minh rng, vi mi M R
+
, hu nh chc chn rng qu o ca chuyn ng Brown
c nhn gi tr bng a ti mt thi im ln hn M. V M l ty , nn t suy ra
hu nh chc chn rng qu o ca chuyn ng Brown c nhn gi tr bng a ti v
hn cc thi im. Tht vy, gi A
k,M
l tp cc tnh hung tha mn iu kin: trn
on thng [0, M[ c t nht k thi im m gi tr ca B
bng a. V hu nh chc chn

rng trn na ng thng [M, [ c t nht 1 thi im m gi tr ca B
bng a, nn
P(A
k+1,
) P(A
k,M
) vi mi M. Do P(A
k+1,
) lim
M
P(A
k,M
) = P(A
k,
), v
theo qui np, ta c P(A
k,
) P(A
0,
) = 1, tc l P(A
k,
) = 1. V tp cc tnh hung
tha mn iu kin c v s thi im m gi tr ca qu o l a l tp
k=1
A
k,
,
nn tp ny cng c xc sut bng 1.
ii) Tng t nh pha trn, do tnh cht scaling nn P(B
4
n
< 2
n
n Z
+
) = 0,
do hu nh chc chn rng tn ti n Z
+
sao cho B
4
n
2
n
> 0. Tng t nh
vy, hu nh chc chn rng tn ti m Z
+
sao cho B
4
m
2
m
< 0. V (vi hu ht
mi ) qu o B
l lin tc v nhn c gi tr m ln gi tr dng trn on thng

na m ]0, ], nn n phi c t nht mt khng im trn on thng ]0, ] ny. V l
ty , nn t suy ra l hu ht mi qu o B
phi c v hn khng im trong on

[0, ], cng bng l lun tng t nh l trong chng minh tnh cht i).
iii) Chng minh ht nh l chng minh tnh cht ii). (Ch cn chng minh cho cc
on thng c im u v im cui l s hu t l , v tp hp cc on thng nh
vy l tp m c).
iv) Tnh khng kh vi ti bt c im no cng c chng minh bng tnh cht
scaling ca chuyn ng Brown v nhng l lun tng t nh trong chng minh cc tnh
cht i) v ii). Chng ta s b qua chng minh ca tnh cht iii) y. (N l mt tnh
cht th v, nn c a vo tham kho, ch chng ta cng s khng cn dng n
n trong quyn sch ny).
7.3.5 Bin phn v bin phn bnh phng
Theo nh ngha, bin phn ca mt hm s f trn mt on thng [a, b] l i lng
V
b
a
(f) = sup
n
i=1
[f(x
i
) f(x
i1
)[ ; n N, x
0
= a < x
1
< . . . < x
n
= b. (7.63)
Nu i lng bng + th ta ni rng f c bin phn v hn trn on [a, b], cn
nu n nh hn + th ta ni rng f c bin phn hu hn trn on [a, b]. V d,
nu f l hm kh vi lin tc, th n c bin phn hu hn, bng
V
b
a
(f) =
_
b
a
[f
(t)[dt. (7.64)
Tng qut hn, mi hm s f tha mn iu kin Lipschitz (tc l tn ti mt hng s K
sao cho [f(x)f(y)[ K[xy[ vi mi x v y s c bin phn hu hn: V
b
a
(f) K(ba).
Nh ta thy trong mc trc, chuyn ng Brown l khng kh vi. Hn na, n
cn c bin phn v hn:
nh l 7.11. Gi s B
t
l mt chuyn ng Brown. Khi hu ht mi qu o B
ca B
t
u c bin phn v hn trn mi on thng [a, b] (0 a < b).
Chng minh. N l h qu trc tip ca nh l 7.12 di y, bi v nu mt hm lin
tc c bin phn hu hn trn mt on thng no , th bin phn bnh phng ca
n trn on bng 0, trong khi i vi chuyn ng Brown, bin phn bnh phng l
khc 0 trn mi on thng.
Theo nh ngha, bin phn bnh phng (quadratic variation) ca mt hm s f
trn mt on thng [a, b] l gii hn:
QV
b
a
(f) = lim
0
n
i=1
[f(x
i
) f(x
i1
)[
2
, (7.65)
trong a = x
0
< x
1
< . . . < x
n
= b l mt phn hoch ca on [a, b], v =
max
i
(x
i
x
i1
) l mn (mesh) ca phn hoch, nu nh gii hn tn ti. (Nu gii
hn khng tn ti, th ta c th thay lim bng limsup, nhng i vi chuyn ng Brown,
vn ny khng t ra, v nh ta s thy, gii hn ny tn ti cho hu khp mi qu
o ca chuyn ng Brown).
D thy rng, nu hm s tha mn iu kin Lipschitz, th n c bin phn vnh
phng bng 0. Tng qut hn, nu mt hm s l lin tc v c bin phn hu hn, th
bin phn bnh phng ca n bng 0. (Khng nh ny dnh cho bn c nh l mt
bi tp).
i vi chuyn ng Brown, th bin phn bnh phng l khc 0 nhng hu hn trn
cc on thng thi gian. Hn na, n bng ng di ca on thng:
nh l 7.12. Gi s B
t
l mt chuyn ng Brown. Khi hu ht mi qu o B
ca n c bin phn bnh phng trn on thng [a, b] bt k bng ng b a :

QV
b
a
(B
) = b a. (7.66)
Chng minh. Chng ta s chng minh khng nh sau y, hi yu hn nh l 7.12 mt
cht, nhng cho thy bn cht vn : vi hu ht mi tnh hung ta c
lim
N
N
i=1
(B
(i/N) B
((i 1)/N))
2
= 1. (7.67)
t Y
N,i
=
1
N
(B
(i/N) B
((i 1)/N))
2
. Khi cc bin ngu nhin Y
N,i
u c phn
b xc sut bng phn b xc sut ca (B
1
)
2
, tc l phn b khi bnh phng
2
1
(vi
1 bc t do xem chng 4 ca [7] v phn b khi bnh phng). Nhc li rng, phn b
2
1
c k vng bng 1. Ta cn chng minh rng
lim
N
1
N
N
i=1
Y
N,i
= 1
hu khp mi ni. Th nhng y chnh l lut s ln (dng mnh) p dng vo phn b
2
1
, v cc bin ngu nhin Y
N,1
, . . . , Y
N,N
c lp vi nhau v c cng phn b xc sut
2
1
. (Xem Chng 3 ca [7] v dng mnh ca lut s ln v cch chng minh ca n
tnh hung y hi khc nhng chng minh vn th). Bi vy ta c iu phi chng
minh.
C nh l ngc li sau y ca Paul Lvy
(4)
, cho thy v tr quan trng ca chuyn
ng Brown trong l thuyt cc qu trnh ngu nhin:
(4)
Paul Lvy (18861971) l nh ton hc Php ni ting v cc cng trnh v xc sut, xem:
http://en.wikipedia.org/wiki/Paul_Pierre_Lvy
nh l 7.13 (Lvy). Mi qu trnh martingale
(5)
vi thi gian lin tc, tha mn tnh
cht lin tc (tc l hu ht mi qu o u lin tc), v c bin phn bnh phng hu
hn, u l chuyn ng Brown sau mt php bin i thi gian.
C th xem chng minh ca nh l Lvy ny trong Chng 2 ca quyn sch [15]
ca Karatzas v Shreve.
Bi tp 7.12. Th chng minh trc tip nh l 7.11 m khng cn dng nh l 7.12
7.3.6 Chuyn ng Brown hnh hc
Gi ca c phiu khng th m (thm ch ta s coi n l lun dng, tuy trong thc t
n c th v 0 khi cng ty ph sn), nn n khng th l chuyn ng Brown, bi v cc
qu o ca chuyn ng Brown xung m bao nhiu cng c. Th nhng, nu ta ly
log ca gi c phiu, th n c th m, v c th hnh dung l chuyn ng theo thi gian
ca log ca gi c phiu di tc ng ca cc lc ngu nhin nh hng tc thi trn
th trng tng t nh l chuyn ng Brown. Bi vy, khi nim chuyn ng Brown
hnh hc sau s quan trng trong vic m t s bin ng ca gi c phiu:
nh ngha 7.14. Nu B
t
l mt chuyn ng Brown chun tc, v a, b, l cc hng s
( > 0), th qu trnh ngu nhin exp(a+bt+B
t
) c gi l mt chuyn ng Brown
hnh hc (geometric Brownian motion). Ni cch khc, mt qu trnh ngu nhin G
t
c gi l mt chuyn ng Brown hnh hc khi v ch khi ln G
t
l mt chuyn ng
Brown (khng nht thit chun tc).
Mt bin ngu nhin X ch nhn gi tr dng c gi l c phn b xc sut log-
normal nu nh ln X c phn b xc sut normal. T nh ngha trn, ta c ngay h
qu sau: nu G
t
l mt chuyn ng Brown hnh hc, v t > s, th G
t
/G
s
c phn b xc
sut log-normal.
Ch rng, tuy chuyn ng Brown B
t
l martingale, nhng exp(B
t
) khng phi l
martingale. Tht vy, ta c
E(exp(B
t
)) =
1
2t
_

e
x
e
x
2
/2t
dx =
1
2t
_

e
t/2
e
(xt)
2
/2t
dx = e
t/2
(7.68)
(5)
Mt qu trnh S
t
c gi l martingale nu E([S
t
[) < vi mi t, v tha mn tnh cht martingale
E(S
t
[T
s
) = S
s
. iu kin E([S
t
[) < l hin nhin i vi cc qu trnh thc t, c cho thm vo
trong nh ngha cho cht ch v mt ton hc.
tng theo thi gian, ch khng bt bin, v do n khng th l martingale. Tuy nhin,
ng thc trn cng cho thy E(exp(B
t
t/2)) = 1 l bt bin theo thi gian. Hn na,
ta c:
nh l 7.15. (nh l v nh ngha). Nu B
t
l chuyn ng Brown th qu trnh ngu
nhin exp(B
t
t/2) l martingale. Qu trnh ngu nhin exp(B
t
t/2) ny c gi l
chuyn ng Brown hnh hc chun tc.
Chng minh. Pha trn ta kim tra rng E(G
t
[T
0
) = G
0
= 1, trong G
t
= exp(B
t
t/2) l chuyn ng Brown hnh hc chun tc. Vic kim tra ng thc E(G
t+s
[T
s
) = G
s
vi mi s 0, t > 0 hon ton tng t, da trn tnh cht ca chuyn ng Brown B
t
.
Tht vy, khi s c nh, th G
t+s
/G
s
= exp(B
t+s
B
s
t/2) cng l mt chuyn ng
Brown hnh hc chun tc, v B
t+s
B
s
cng l mt chuyn ng Brown, do ta c
ng thc trn.
Bi tp 7.13. Gi s l mt hng s ty . Chng minh rng qu trnh exp(B
t

2
t
2
),
trong B
t
l chuyn ng Brown chun tc, l mt qu trnh martingale.
7.4 Vi phn ca cc qu trnh ngu nhin
Tng t nh i vi cc hm s, chng ta cng mun lm cc php vi tch phn i
vi cc qu trnh ngu nhin, c th tm li c cc qu trnh ngu nhin t vi phn
ca n, qua vic tnh tch phn, gii cc phng trnh vi phn ngu nhin (theo bin thi
gian). Tuy nhin, do cc qu trnh ngu nhin ni chung khng kh vi theo bin thi gian
(chuyn ng Brown l mt v d tiu biu), nn cc php tnh vi tch phn ca chng
phc tp hn v mt k thut so vi gii tch thng thng.
7.4.1 Vi phn ca chuyn ng Brown hnh hc
hiu vi phn ngu nhin, trc ht chng ta xt mt v d c th: vi phn ca
exp(B
t
), trong B
t
l mt chuyn ng Brown chun tc.
Nhc li rng, nu f(t) l mt hm kh vi theo t, th ta c cng thc sau:
d exp(f) = exp(f)df = exp(f)f
dt, (7.69)
trong f
= df/dt l o hm ca f theo t. Th nhng, B

t
khng kh vi theo t, v khi
thay f(t) bng B
t
th cng thc trn khng ng na ! hiu ti sao, chng ta quay
tr li nh ngha th no l vi phn.
7.4. VI PHN CA CC QU TRNH NGU NHIN 203
Vi phn df ca mt hm s (hay nh x) f l mt k hiu ton hc, ch thay
i ca f khi cc bin ca n thay i ( y ch c 1 bin, l bin thi gian t): khi t thay
i mt i lng t, th f thay i mt i lng l f = f(t + t) f(t), v t l
thay i gia f v t bng
f
t
=
f(t + t) f(t)
t
. (7.70)
Trong trng hp m t l trn tin ti m s no khi t tin ti 0, th s c
gi l o hm ca f theo t, thng k hiu l f
(t), v ta vit
df
dt
= f
(t) = lim
t0
f(t + t) f(t)
t
, (7.71)
hay
df = f
dt. (7.72)
ng thc cui cng c ngha l khi m t thay i th f cng thay i, vi tc thay
i bng f
ln tc thay i ca t.
Vi phn dB
t
cng l khi nim o thay i ca B
t
khi m t thay i. Th nhng,
v B
t
khng kh vi ti bt c im no, nn khng th vit dB
t
di dng H
t
dt (trong
H
t
l mt qu trnh ngu nhin). Bi vy, cch n gin l ta s nguyn dB
t
, v hiu
n nh l mt k hiu ton hc ch mt bin ng v cng nh dng chuyn ng
Brown. V chuyn ng Brown l qu trnh ngu nhin n gin nht, quan trng nht,
c nghin cu k nht, trong cc loi qu trnh ngu nhin lin tc khng kh vi, nn
ta s s dng dB
t
nh mt vi phn c s tng t nh dt, v tm cch biu din vi phn
ca cc qu trnh ngu nhin khc di dng t hp tuyn tnh H
t
dt + F
t
dB
t
ca dt v
dB
t
nu c th (trong H
t
v F
t
l hai qu trnh ngu nhin). Khi vit
dG
t
= H
t
dt + F
t
dB
t
(7.73)
th c ngha l
G(t + t) G(t) = H
t
.t + F
t
.(B(t + t) B(t)) + , (7.74)
trong l i lng rt nh so vi t, c th b qua: /t tin ti 0 khi t tin ti 0.
Phn F
t
dB
t
l phn khng kh vi (theo ngha thng thng) v c k vng bng 0 (v k
vng ca (B(t + t) B(t)) bng 0) ca dG
t
, v phn H
t
dt l phn kh vi. Tt nhin,
nu c th vit dG
t
= H
t
dt +F
t
dB
t
, th H
t
v F
t
c xc nh duy nht theo G
t
, v tng
ca mt phn kh vi v mt phn khng kh vi khng th bng 0 tr khi c hai phn
bng 0.
p dng tng trn vo trng hp G
t
= exp(B
t
). Ta c:
exp(B
t
)
exp(B
t
)
=
exp(B(t + t)) exp(B(t))
exp(B(t))
= exp(B(t + t) B(t)) 1
= exp(B
t
) 1 = B
t
+
(B
t
)
2
2!
+
(B
t
)
3
3!
+ . . .
Nhc li rng, bin phn bnh phng ca B
t
trn mt on thi gian t bng chnh
t. Do , (B
t
)
2
xp x bng t khi m t nh (tri ngc vi trng hp kh vi: nu
f kh vi th (f)
2
rt nh so vi t, c th b qua). Cc i lng (B
t
)
n
vi n t 3
tr ln rt nh so vi t, c th b qua. Bi vy ta c
exp(B
t
)
exp(B
t
)
= B
t
+
t
2
+ , (7.75)
trong /t tin ti 0 khi t tin ti 0 (trong hu khp mi tnh hung), t ta suy
ra cng thc vi phn sau:
d exp(B
t
)
exp(B
t
)
= dB
t
+
dt
2
, (7.76)
hay cn c th vit l:
d exp(B
t
) =
1
2
exp(B
t
)dt + exp(B
t
)dB
t
. (7.77)
Mt cch hon ton tng t, d dng kim tra rng
d exp(B
t

t
2
) = exp(B
t

t
2
)dB
t
, (7.78)
c ngha l vi phn ca chuyn ng Brown hnh hc chun tc bng chnh n nhn vi
vi phn ca chuyn ng Brown chun tc. Ch rng, trong v bn phi ca ng thc
trn khng c s tham gia ca dt, ch c s tham gia ca dB
t
l phn c k vng bng 0,
v iu ny cng gii thch ti sao exp(B
t
t
2
) li l martingale (vi phn ca n lun c
k vng bng 0, nn cc bc chuyn ng cng u c k vng bng 0).
Bi tp 7.14. Tnh vi phn ca mt chuyn ng Brown hnh hc ty exp(a+bt +B
t
),
trong a, b, l cc hng s, t suy ra rng cc nghim ca phng trnh vi phn
ngu nhin
dS
t
S
t
= dt + dB
t
,
trong v l cc hng s, chnh l cc chuyn ng Brown hnh hc.
7.4. VI PHN CA CC QU TRNH NGU NHIN 205
7.4.2 B It
Mt trong nhng cng thc quan trng m chng ta dng trong phn tch pha trn
v vi phn ca chuyn ng Brown hnh hc l:
(dB
t
)
2
= dt, (7.79)
Cng thc ny c th hiu l
lim
t0+
(B
t
)
2
t
t
= 0, (7.80)
v n ng vi cng thc bin phn bnh phng ca chuyn ng Brown. Ngoi cng thc
(dB
t
)
2
= dt, cn c vit l dB
t
.dB
t
= dt, chng ta cn c cc cng thc sau, tng i
hin nhin, cho vic tnh vi phn cc qu trnh ngu nhin:
dt.dB
t
= dt.dt = 0. (7.81)
Cc cng thc ny c hiu tng t nh trn, tc l cc i lng (t).(B
t
) v (t)
2
l rt nh so vi t (thng ca chng chia cho t tin ti 0 khi t tin ti 0), c th
b qua trong cc php tnh ton vi phn.
Cc cng thc trn l c s ca cng thc sau, cho php chng ta tnh vi phn ca
cc qu trnh ngu nhin c dng hm s f(t, B
t
) theo hai bin t v B
t
trong B
t
l
chuyn ng Brown:
nh l 7.16. Nu F
t
= f(t, B
t
) trong f(t, x) l mt hm kh vi lin tc theo bin t
v kh vi lin tc 2 ln theo bin x, th
dF
t
=
f(t, B
t
)
t
dt +
f(t, B
t
)
x
dB
t
+
1
2
2
f(t, B
t
)
x
2
dt. (7.82)
Chng minh ca cng thc trn hon ton tng t nh chng minh ca cng thc
vi phn ca exp(B
t
). So vi trng hp kh vi, th thnh phn cn thm vo trong cng
thc l
1
2
2
f(t, B
t
)
x
2
dt, v l do chnh l bi v (dB
t
)
2
= dt. Tht vy, theo khai trin
Taylor-Lagrange, ta c
f(t, B
t
) = f(t + t, B(t + t)) f(t, B
t
)
= [f(t + t, B(t + t)) f(t, B(t + t))] + [f(t, B(t + t)) f(t, B
t
)]
=
f(t, B
t
+ t)
t
t +
1
+
f(t, B
t
)
x
B
t
+
1
2
2
f(t, B
t
)
x
2
(B
t
)
2
+
2
,
trong
1
v
2
u rt nh (c th b qua) so vi t, t suy ra cng thc trn.
V d 7.4. Ta c d(tB
3
t
) = (B
3
t
+ 3tB
t
)dt + 3tB
2
t
dB
t
, bi v (tx
3
)/t = x
3
, (tx
3
)/x =
3x
2
, v
2
(tx
3
)/x
2
= 6tx.
Mt cch tng qut hn, ta c cng thc sau, gi l cng thc It, hay b It:
nh l 7.17 (B It). Gi s f(t, x) l mt hm s kh vi lin tc theo bin t v
kh vi lin tc 2 ln theo bin x, v X
t
l mt qu trnh It tha mn dX
t
=
t
dt +
t
dB
t
trong B
t
l chuyn ng Brown. Khi ta c:
df(t, X
t
) =
_
f
t
+
t
f
x
+

2
t
2
2
f
x
2
_
dt +
t
f
x
dB
t
(7.83)
Trong nh l trn c khi nim qu trnh It. Mt qu trnh ngu nhin X
t
c gi
l mt qu trnh It nu n l qu trnh ngu nhin vi thi gian lin tc, v vi phn
ca n c th vit c di dng (hay ni cch khc, n tha mn phng trnh vi phn
dng):
dX
t
=
t
dt +
t
dB
t
, (7.84)
trong
t
v
t
l cc cc qu trnh ngu nhin tng thch (hoc l cc hm s theo t)
tha mn iu kin
E(
_
t
0
[
s
[
2
ds) < +, E(
_
t
0
[
s
[
2
ds) < + (7.85)
vi mi t 0. Cc qu trnh ngu nhin tng thch tha mn iu kin ny c gi l
cc qu trnh ngu nhin c bnh phng kh tch (tc l c tch phn bnh phng
hu hn), hay cn gi l thuc lp L
2
.
Chng minh ca nh l 7.17 hon ton tng t nh chng minh cng thc (7.82).
iu kin bnh phng kh tch c dng kim sot cc i lng nh khi tnh gii
hn tm vi phn.
Bi tp 7.15. Chng minh cng thc (7.83) trong trng hp
t
v
t
l cc hm s lin
tc (khng ngu nhin) theo t.
7.5 Tch phn It
Nu ta bit o hm f
(t) ca mt hm s kh vi f(t), th ni chung ta c th tm li

c f t f
bng cch ly tch phn:

f(t) = f(0) +
_
t
0
f
(s)ds. (7.86)
7.5. TCH PHN IT 207
Tng t nh vy, nu ta bit vi phn ca mt qu trnh It
dX
t
=
t
dt +
t
dB
t
, (7.87)
th v nguyn tc, ta cng phi tm li c qu trnh ngu nhin X
t
t cc qu trnh
ngu nhin
t
v
t
bng cch ly tch phn:
X
t
= X
0
+
_
t
0
s
ds +
_
t
0
s
dB
s
. (7.88)
Vn l nh ngha cc tch phn trn sao cho thch hp. Tch phn
_
t
0

s
ds c th
c nh ngha theo cch c in (theo nh ngha tch phn Riemann). Tuy nhin, nh
chng ta s thy, vic nh ngha tch phn
_
t
0

s
dB
s
phc tp hn, do B
t
c bin phn
v hn. Trong phn ny, chng ta s bn cch nh ngha tch phn
_
t
0

t
dB
t
theo Kioshi
It (19152008), mt trong nhng cha ca gii tch ngu nhin, v tch phn ny c
gi l tch phn It.
7.5.1 Tch phn RiemannStieltjes
Nhc li rng, nu f v g l hai hm s trn mt on thng [0, t] R, th tch phn
_
t
0
fdg, (7.89)
c nh ngha nh sau, v gi l tch phn RiemannStieltjes: t
U
(f, g) =
n
i=1
sup
x
i
[a
i1
,a
i
]
f(x
i
)(g(a
i
) g(a
i1
)) (7.90)
v
L
(f, g) =
n
i=1
inf
x
i
[a
i1
,a
i
]
f(x
i
)(g(a
i
) g(a
i1
)), (7.91)
trong l mt phn hoch ca on thng [0, t] cho bi mt dy cc s 0 = a
0
a
1

. . . a
n
= t, ri t
_
t
0
fdg = lim
mesh()0
L
(f, g) = lim
mesh()0
U
(f, g). (7.92)

nu nh cc gii hn tn ti v bng nhau. y mesh() = sup
i
(a
i
a
i1
) l k hiu
nh ca phn hoch . Nu tch phn RiemannStieltjes tn ti, th mi tng c dng
n
i=1
f(x
i
)(g(a
i
) g(a
i1
)), trong x
i
[a
i1
, a
i
] c th chn ty , u tin ti
_
t
0
fdg
khi nh mesh() ca phn hoch tin ti 0, bi v tng b kp gia U
(f, g) v
L
(f, g). Trng hp c bit, khi m g(t) = t, th nh ngha trn trng vi nh ngha
tch phn Riemann
_
t
0
f(s)ds.
Nu chng hn g l mt hm kh vi lin tc, v f l hm b chn v lin tc tng
khc, th tch phn Riemann-Stieltjes
_
t
0
fdg tn ti, v ta c cng thc chuyn i sau:
_
t
0
fdg =
_
t
0
fg
ds, (7.93)
trong g
l o hm ca g.
Nu f v g khng phi l hm s, m l cc qu trnh ngu nhin, sao cho f lin tc v
g c bin phn phu hn, th ta vn c th nh ngha c tch phn RiemannStieltjes
_
t
0
fdg nh trn. (Bn thn tch phn cng s l mt qu trnh ngu nhin, v ta nh
ngha n cho tng tnh hung v tng mc thi gian).
V d 7.5. Nu B
t
l mt chuyn ng Brown, th tch phn
P
t
=
_
t
0
B
s
ds (7.94)
tn ti, v l mt qu trnh ngu nhin kh vi lin tc theo thi gian. Trong mt s m
hnh vt l, khi m tc ca mt im c m t nh l mt qu trnh Wiener (v c
cc lc ngu nhin tc ng lm thay i tc ), th v tr ca im (bng tch phn ca
tc theo bin thi gian) l mt qu trnh ngu nhin c biu din bng tch phn
trn.
Khi m g = B
t
l mt chuyn ng Brown, hay ni mt cch tng qu hn, l mt
hm s hay mt qu trnh ngu nhin c bin phn v hn, th nh ngha tch phn
RiemannStieltjes ni chung khng cn p dng c na, nh v d n gin sau y
cho thy.
V d 7.6. Gi s ta mun nh ngha tch phn
_
t
0
B
s
dB
s
, trong B
t
l mt chuyn
ng Brown. Lm theo phng php RiemannStieltjes, ta vit
U
(B, B) =
n
i=1
sup
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)), (7.95)
L
(B, B) =
n
i=1
inf
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)), (7.96)
7.5. TCH PHN IT 209
trong 0 = a
0
a
1
. . . a
n1
a
n
= t l mt phn hoch ca on thng [0, t],
ri xt hiu U
(B, B) L
(B, B). D thy rng, vi mi i ta c

sup
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)) inf
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)) (B(a
i
) B(a
i1
))
2
,
(7.97)
bi vy
U
(B, B) L
(B, B)
n
i=1
(B(a
i
) B(a
i1
))
2
. (7.98)
V phi ca bt ng thc trn, khi mesh() tin ti 0, chnh l bin phn bnh phng
ca chuyn ng Brown trn on thng thi gian [0, t]. Th nhng, ta bit rng, bin
phn bnh phng ca chuyn ng Brown trn on thng [0, t] bng t, ln hn 0. Do
, U
(B, B) L
(B, B) khng tin ti 0 khi mesh() tin ti 0, v bi vy khng th

nh ngha c tch phn
_
t
0
B
s
dB
s
theo kiu RiemannStieltjes, v U
(B, B) v L
(B, B)
khng th c cng gii hn khi mesh() tin ti 0.
V d trn cho thy, v bin phn bnh phng ca B
t
khc 0, nn chng ta khng
th nh ngha c tch phn
_
t
0
B
s
dB
s
theo kiu RiemannStieltjes. Do chng ta cn
mt nh ngha tch phn khc, gi l tch phn It.
7.5.2 nh ngha tch phn It
Chng ta s nh ngha cc tch phn It c dng
_
t
0
s
dB
s
, (7.99)
trong B l mt chuyn ng Brown chun tc, v l mt qu trnh ngu nhin c
bnh phng kh tch, tc l E
_
_
t
0
[(s)[
2
ds
_
< vi mi t R
+
.
Trc ht, ta s nh ngha tch phn It cho cc qu trnh s cp. Mt qu trnh ngu
nhin
t
c gi l s cp (elementary), hay cn gi l n gin (simple), trn on
thng thi gian [0, t] nu nh tn ti mt phn hoch c nh 0 = t
0
< t
1
< . . . < t
n
= t
ca on thng [0, t], sao cho trn mi on thng na m [t
i1
, t
i
[ th (s, ) l hng s
theo thi gian (trong hu ht mi tnh hung ), tc l (s, ) = (t
i1
, ) vi mi
t
i1
s < t
i
. Vic nh ngha tch phn It cho cc qu trnh s cp c suy ra trc
tip t tnh cht cng tnh ca tch phn v ng thc hin nhin cn phi ng:
_
b
a
dB
s
= B
b
B
a
. (7.100)
Nu l mt qu trnh s cp theo phn hoch 0 = t
0
< t
1
< . . . < t
n
= t ca on
thng [0, t], th ta c:
_
t
0
(s)dB(s) =
n
i=1
_
t
i
t
i1
(s)dB(s) =
n
i=1
_
t
i
t
i1
(t
i1
)dB(s) =
n
i=1
(t
i1
)(B(t
i
)B(t
i1
)),
hay vit gn li l
_
t
0
(s)dB(s) =
n
i=1
(t
i1
)(B(t
i
) B(t
i1
)). (7.101)
ng thc trn chnh l nh ngha tch phn It trong trng hp m
s
l mt qu
trnh s cp. D thy rng, nh ngha ny khng ph thuc vo phn hoch on thng
[0, t] sao cho qu trnh ngu nhin l s cp theo phn hoch . Hn na, c th thy
rng, khi m
s
l qu trnh s cp, th tch phn RiemannStieltjes cng c ngha, v
trng vi tch phn It.
Khi m l mt qu trnh ngu nhin tng qut tha mn cc iu kin nu
trn, tch phn It c nh ngha bng cch ly gii hn, thng qua mt dy cc qu
trnh s cp hi t n . S tn ti ca dy ny c cho bi nh l sau:
nh l 7.18. C nh mt s T > 0 ty . Gi s l mt qu trnh ngu nhin tng
thch c bnh phng kh tch. Khi tn ti cc qu trnh ngu nhin
n
(n N) tng
thch v c bnh phng kh tch, v s cp trn on thng [0, T], sao cho
lim
n
E
__
T
0
[
n
(t) (t)[
2
dt
_
= 0. (7.102)
Dy qu trnh ngu nhin
n
tha mn iu kin ca nh l trn c gi l hi t
n theo chun L
2
[0, T]. Theo nh ngha, chun L
2
[0, T] ca l:
||
L
2
[0,T]
:=
E
__
T
0
[(t)[
2
dt
_
. (7.103)
Khng gian cc qu trnh ngu nhin tng thch c chun L
2
[0, T] hu hn l mt
khng gian Hilbert (sau khi ta coi rng hai qu trnh ngu nhin l mt, nu chun
L
2
[0, T] ca hiu ca chng bng 0), v cc phn t ca khng gian ny c gi l cc
qu trnh ngu nhin c bnh phng kh tch (cho n thi im T). nh l trn
tng t nh nh l mi hm s c bnh phng kh tch u c th c xp x bng
cc hm s dng bc thang mt cch chnh xc ty theo chun L
2
. Ta s b qua chng
minh ca n y.
7.5. TCH PHN IT 211
Khi ta tm c mt dy qu trnh ngu nhin
n
s cp trn on [0, T] v hi
t n theo chun L
2
[0, T], th vi mi t T ta c th nh ngha tch phn It bng
gii hn sau:
_
t
0
(s)dB(s) := lim
n
_
t
0
n
(s)dB(s). (7.104)
Gii hn y cng c hiu theo chun L
2
[0, T] : nu t F
n,t
=
_
t
0

n
(s)dB(s) v F
t
=
_
t
0
(s)dB(s), th ni rng F
n,t
tin ti F
t
c ngha l lim
n
E
_
_
T
0
[F
n
(t) F(t)[
2
dt
_
= 0.
chng t rng nh ngha trn c ngha, ta phi chng minh l gii hn v phi ca
cng thc trn tn ti (tc l dy cc tch phn It F
n,t
=
_
t
0

n
(s)dB(s) l mt dy
Cauchy theo chun L
2
[0, T]), v khng ph thuc vo s la chn dy
n
. Cc khng nh
ny c suy ra t mt ng thc gi l ng c It (xem nh l 7.19). Chng ta s
b qua chng minh y.
Trong trng hp m qu trnh l lin tc bn tri v b chn a phng (locally
bounded tc l tp hp cc tnh hung sao cho qu o chy ra v cng trong khong
thi gian hu hn c xc sut bng 0 cc qu trnh ngu nhin m chng ta quan tm
n trong sch ny u b chn a phng), ta c th xy dng dy qu trnh s cp
n
trn [0, T] hi t n theo chun L
2
[0, T] nh sau: t
n
(t) = ([nt/T]T/n) (7.105)
vi mi t T, trong [nt/T] l k hiu phn nguyn ca s nt/T, c ngha l nu
kT/n t < (k + 1)T/n th
n
(t) = (kT/n), hay ni cch khc, gi tr ca
n
trn on
thng [kT/n, (k + 1)T/n[ l bt bin theo t v bng gi tr ca ti im u ca on
thng , tc l im kT/n. (Ch l ta khng th ly gi tr ca ti im cui hay
cc im khc ca on thng [kT/n, (k + 1)T/n[ lm gi tr ca
n
trn on thng
, v nu ly nh vy th qu trnh
n
ni chung s khng phi l mt qu trnh tng
thch). Theo cch chn
n
ny, ta c cng thc
_
T
0
t
dB
t
= lim
n
n1
k=0
(
kT
n
)(B(
(k + 1)T
n
) B(
kT
n
)). (7.106)
V d 7.7. Ta s chng minh rng
_
t
0
B
s
dB
s
=
B
2
t
2

t
2
, (7.107)
Hnh 7.4: Mt qu o ca chuyn ng Brown B
t
v tch phn It
_
t
0
B
s
dB
s
vi mi t, trong B
t
l chuyn ng Brown. Tht vy, theo cng thc (7.106) ta c
_
t
0
B
s
dB
s
= lim
n
n1
k=0
B(
kT
n
)(B(
(k + 1)T
n
) B(
kT
n
))
= lim
n
1
2
_
(B(t))
2
n1
k=0
(B(
(k + 1)T
n
) B(
kT
n
))
2
_
.
Theo tnh cht bin phn bnh phng ca chuyn ng Brown, ta c
lim
n
n1
k=0
(B(
(k + 1)T
n
) B(
kT
n
))
2
= t,
t ta c cng thc tch phn cn chng minh.
Ch rng, nu F
t
c bin phn bnh phng bng 0 v F
0
= 0, th ta c
_
t
0
F
s
dF
s
=
F
2
t
/2 (nh ngha tch phn mt cch tng t, hoc theo nh ngha RiemannStieltjes),
trong khi trong cng thc (7.107) c thm thnh phn t/2 v phi. V d n gin
ny cho thy nh hng ca bin phn bnh phng vo gi tr ca tch phn It.
7.5.3 Mt s tnh cht c bn ca tch phn It
Tng thch: Tch phn It l mt qu trnh tng thch vi lc sigma-i s ban u.
7.5. TCH PHN IT 213
Tuyn tnh: Tng t nh tch phn thng thng, tch phn It c tnh cht tuyn
tnh: nu a v b l hai hng s th
_
t
0
(a
s
+ b
s
)dB
s
= a
_
t
0
s
dB
s
+ b
_
t
0
s
dB
s
. (7.108)
Lin tc: Nu mt qu trnh ngu nhin F
t
vit c di dng tch phn It F
t
=
_
t
0

s
dB
s
, th hu ht mi qu o ca F
t
l lin tc.
Tch phn It l php tnh ngc ca vi phn: Tng t nh tch phn thng thng,
tch phn It tha mn tnh cht c bn sau, lin h gia php tnh vi phn v php tnh
tch phn: nu F
t
=
_
t
0

s
dB
s
, trong
s
l mt qu trnh ngu nhin c tch phn bnh
phng hu hn, th dF
t
=
t
dB
t
, v ngc li, nu dF
t
=
t
dB
t
, th F
t
= F
0
+
_
t
0

s
dB
s
.
Tng qut hn, nghim ca phng trnh vi phn ngu nhin
dX
t
=
t
d
t
+
t
dB
t
(7.109)
l
X
t
= X
0
+
_
t
0
s
d
s
+
_
t
0
s
dB
s
. (7.110)
V d, nghim ca phng trnh dX
t
= B
t
dB
t
l X
t
= X
0
+
_
t
0
B
s
dB
s
= X
0
+B
2
t
/2t/2.
Tnh ngc li, theo b It, d dng thy rng d(B
2
t
/2 t/2) = B
t
dB
t
.
ng c It: ng c It l mt cng thc gii tch cho php nh gi chun ca cc
qu trnh ngu nhin (c dng chng hn trong vic chng minh s hi t ca mt dy
qu trnh ngu nhin nh ngha theo tch phn It).
nh l 7.19 (ng c It). Nu l mt qu trnh ngu nhin c bnh phng kh tch
th ta c
E
_
__
t
0
s
dB
s
_
2
_
= E
__
t
0
[
s
[
2
ds
_
(7.111)
vi mi t 0.
Vic chng minh ng c trn l mt bi tp dnh cho bn c trong trng hp m
l mt qu trnh s cp. Trng hp tng qut suy ra t trng hp cc qu trnh s
cp bng php ly gii hn.
Mt h qu trc tip ca ng c It l: nu
s
l mt qu trnh c bnh phng kh
tch th tch phn It F
t
=
_
t
0

s
dB
s
cng l mt qu trnh c bnh phng kh tch.
Bin phn bnh phng: Ta c ng thc sau cho bin phn bnh phng ca tch
phn It:
QV
t
0
(F) =
_
t
0
[
s
[
2
ds (7.112)
Tng t nh ng c It, chng minh ca cng thc trn trong trng hp m
t
l
mt qu trnh s cp tng i hin nhin v suy ra trc tip t bin phn bnh phng
ca chuyn ng Brown.
Tnh cht martingale:
nh l 7.20. Tch phn It F
t
=
_
t
0
s
dB
s
l mt qu trnh martingale (a phng),
c ngha l
E(F
t
[T
s
) = F
s
(7.113)
vi mi t > s.
Chng minh. Trong trng hp m l mt qu trnh s cp, th nh l trn kh hin
nhin, v E(B
t
B
t
T
t
) = B
t
B
t
= 0 vi mi t
, t
> t. Trng hp tng qut suy ra

t trng hp ring ny bng cch ly gii hn trong nh ngha tch phn It.
Khng nh ngc li cng ng, v n c bit di tn gi nh l biu din
martingale: Nu M
t
l mt qu trnh martingale, lin tc, tng thch vi lc sigma-i
s sinh bi chuyn ng Brown B
t
, v c bnh phng kh tch, th n vit c di
dng tch phn It.
Cng thc tch phn tng phn. Trong tch phn
_

t
dB
t
, thnh phn B
t
c gi l
integrator (bi ly tch phn). nh ngha tch phn It p dng c khng nhng
ch cho integrator l chuyn ng Brown, m cn cho cc integrator tng qut hn, c
dng semi-martingale. Theo nh ngha, mt qu trnh ngu nhin X
t
c gi l semi-
martingale nu n vit c di dng tng ca hai thnh phn, X
t
= A
t
+ M
t
, trong
A
t
c bin phn hu hn, cn M
t
l martingale a phng (tc l tha mn tnh cht
martingale (7.113)). Tng t nh trng hp tch phn RiemannStieltjes c in, ta c
cng thc tch phn tng phn sau: nu X
t
v Y
t
l hai semimartingale th
X
t
Y
t
= X
0
Y
0
+
_
t
0
X
s
dY
s
+
_
t
0
Y
s
dX
s
+ [X, Y ]
t
, (7.114)
trong X
s
l k hiu gii hn bn tri, tc l X
s
= lim
rs
X
r
, v [X, Y ]
t
l k hiu
qu trnh hip bin phn bnh phng ca X v Y , nh ngha nh sau
[X, Y ]
t
= lim
mesh()0
n
i=1
(X
a
i
X
a
i1
)(Y
a
i
Y
a
i1
), (7.115)
(vi gi s l gii hn tn ti), trong = 0 = a
0
a
1
. . . a
n
= t l k hiu
mt phn hoch ca on thng [0, t]. S khc nhau gia cng thc tch phn tng phn
7.6. THAY I PHN B XC SUT 215
cho tch phn Riemann-Stieltjes v cng thc tch phn tng phn cho tch phn It nm
chnh thnh phn hip bin phn bnh phng ny.
V d 7.8. Trong trng hp c bit, khi Y
t
= X
t
l cng mt qu trnh ngu nhin, th
[X, Y ]
t
= [X, X]
t
chnh l qu trnh bin phn bnh phng ca X
t
, v ta c cng thc
sau:
_
t
0
X
s
dX
s
=
1
2
(X
2
t
X
2
0
[X, X]
t
). (7.116)
Bi tp 7.16. Tnh cc tch phn It sau:
a)
_
t
0
B
2
s
dB
s
b)
_
t
0
B
3
s
dB
s
c)
_
t
0
exp(B
s
)d(B
s
+ s)
7.6 Thay i phn b xc sut
Nh chng ta thy t Chng 3 v kinh doanh chnh lch gi v Mc 7.2 v
martingale, trong khng gian cc tnh hung c th xy ra trn mt th trng chng
khon, c (t nht) 2 phn b xc sut khc nhau. Mt phn b l phn b thc t, cn
mt phn b l phn b trung ha ri ro. Gi chit khu (theo li sut khng ri ro) ca
cc chng khon u l cc qu trnh martingale theo phn b trung ha ri ro, tuy rng
theo phn b xc sut thc t, th chng hon ton c th khng phi l martingale.
phn ny, chng ta s tm hiu mt cht v l thuyt cc cng thc bin i xc sut
chuyn t mt phn b xc sut ny sang phn b xc sut khc. Ngoi vic gip chng
ta hiu su hn quan h gia xc sut thc t v xc sut trung ha ri ro, cc cng thc
bin i xc sut cn c vai tr quan trng trong cc phng php tnh ton trong xc
sut thng k.
7.6.1 o hm RadonNikodym
Gi s chng ta c hai phn b xc sut P v Q khc nhau, trn cng mt khng
gian xc sut , vi cng mt sigma-i s T. Phn b xc sut Q c gi l lin tc
tuyt i theo phn b xc sut P, nu nh vi mi tp tnh hung A sao cho P(A) = 0
th ta cng c Q(A) = 0, v n c gi l khng suy bin theo phn b xc sut P,
nu nh ngc li, vi mi tp tnh hung A sao cho P(A) > 0 th ta cng c Q(A) > 0.
Tt nhin, nu Q l lin tc tuyt i theo P th P l khng suy bin theo Q, v ngc
li.
Theo nh l RadonNikodym trong l thuyt o
(6)
, nu Q l lin tc tuyt i
theo P, th tn ti duy nht (theo ngha xc sut) mt hm s Z 0 o c trn sao
cho vi mi tp o c A ta c:
Q(A) =
_
A
ZdP, (7.117)
trong v phi ca ng thc trn l tch phn Lebesgue ca Z trn A theo o
P. (Xem Chng 2 ca [7] v khi nim tch phn Lebesgue). Chng ta s chp nhn
nh l RadonNikodym m khng chng minh y. Hm Z ny c gi l o hm
RadonNikodym ca Q theo P, hay cn gi l hm t l xc sut (likelyhood ratio),
v ta vit:
dQ
dP
= Z. (7.118)
Ngc li, nu Z l mt hm s kh tch khng m bt k trn tha mn iu kin
E
P
(Z) :=
_
ZdP = 1, (7.119)
th cng thc (7.117) xc nh trn mt phn b xc sut lin tc tuyt i theo P,
v c o hm Radon-Nikodym bng Z. Hn na, Q l khng suy bin theo P khi v ch
khi hm Z khc 0 hu khp mi ni. Khi P l lin tc tuyt i theo Q, v ta c:
dP
dQ
=
1
Z
. (7.120)
Nu gi s ta bit phn b xc sut P m cha bit phn b xc sut Q, th
tm Q ta ch cn tm o hm Radon-Nikodym dQ/dP ca n. Vic tnh ton cc i
lng c trng ca cc bin ngu nhin theo xc sut Q cng c th c a v vic
tnh ton cc i lng c trng ca cc bin ngu nhin theo xc sut P, nu ta bit
o hm RadonNikodym Z = dQ/dP. Chng hn, ta c cng thc sau:
E
Q
(X) = E
P
(ZX), (7.121)
c ngha l
_
XdQ =
_
XZdP, (7.122)
cho mi bin ngu nhin X trn .
Trong trng hp m khng gian xc sut l mt khng gian c lc (, (T
t
), P), v Q
l mt phn b xc sut khc trn lin tc tuyt i theo P, th vi mi t ta c mt
(6)
nh l ny c Johann Radon thit lp cho trng hp khng gian l R
n
, v Otton Nikodym m
rng nm 1930 cho trng hp tng qut.
o hm Radon-Nikodym Z
t
=
dQ
dP
[
F
t
theo sigma-i s con T
t
, v khi Z
t
tr thnh
mt qu trnh ngu nhin tng thch vi m hnh xc sut (, (T
t
), P). Ta s gi qu
trnh ny l qu trnh o hm RadonNikodym.
nh l 7.21. Qu trnh o hm RadonNikodym Z
t
=
dQ
dP
[
F
t
l mt martingale trn
khng gian xc sut c lc (, (T
t
), P). Ngc li, nu Z
t
l mt martingale khng m trn
(, T
t
, P) c k vng bng 1, th tn ti duy nht mt phn b xc sut Q trn (, (T
t
))
nhn Z
t
lm qu trnh o hm RadonNikodym Z
t
=
dQ
dP
[
F
t
.
nh l trn suy ra trc tip t nh ngha o hm RadonNikodym, v dnh cho
bn c lm bi tp. iu kin k vng bng 1 trong nh l trn c ngha l
_
Z
t
dP = 1
(vi mi t).
7.6.2 nh l CameronMartin
nh l CameronMartin
(7)
, hay cn gi l cng thc CameronMartin, l mt v d
v bin i xc sut, dng bin mt chuyn ng Brown c h s trt khc 0 thnh
mt chuyn ng Brown chun tc.
t X
t
= B
t
+t, trong B
t
l chuyn ng Brown chun tc vi m hnh xc sut
(, T
t
, P), v ,= 0 l mt hng s, gi l h s trt. cho tin, chng ta s gi s rng
lc cc sigmai s T
t
chnh l lc sinh bi chuyn ng Brown B
t
. D thy rng, qu
trnh chuyn ng Brown hnh hc G
t
= exp
_
B
t

2
t
2
_
l mt qu trnh martingale.
(Xem bi tp (7.13)). Nh vy, ta c th ly n lm qu trnh o hm RadonNikodym
cho mt phn b xc sut khc trn (, T
t
, P), m ta s gi l P
:
dP
dP
[
F
t
= G
t
= exp
_
B
t

2
t
2
_
. (7.123)
nh l 7.22 (CameronMartin). Qu trnh ngu nhin (chuyn ng Brown c trt)
X
t
= B
t
+ t, l mt chuyn ng Brown chun tc trn khng gian xc sut c lc
(, (T
t
), P
), vi phn b xc sut P
.
Chng minh. Chng minh ca nh l trn l s kim tra cc iu kin ca mt chuyn
ng Brown. V d, ta s kim tra rng, vi mi t > 0, phn b xc sut ca bin ngu
nhin X
t
: (, T
t
, P
) R l phn b normal N(0, t).

(7)
nh l ny c thit lp nm 1944 trong bi bo: Cameron, R. H.; Martin, W. T., Transformations
of Wiener Integrals under Translations, Annals of Mathematics 45 (2), 386396 (1944).
Tht vy, ta c:
P
(X
t
a) = P
(B
t
+ t a) = P
(B
t
a t)
=
_
B
t
at
exp
_
B
t

2
t
2
_
dP =
_
at
exp
_
x

2
t
2
_
1
t2
exp(
x
2
2t
)dx,
bi v phn b xc sut ca B
t
theo P l phn b N(0, t) vi hm mt
1
t2
exp(
x
2
2t
).
i bin y = x + t vo tch phn trn, ta c:
P
(X
t
a) =
_
a
t2
exp(
y
2
2t
)dy = P
N(0,t)
(] , a]),
c ngha l phn b xc sut ca X
t
theo P
cng chnh l phn b normal N(0, t). Cc

iu kin khc cng c kim tra mt cch tng t.
Ghi ch 7.5. V B
t
= (B
t
+ t) t, v theo nh l trn th (B
t
+ t) l chuyn ng
Brown chun tc theo phn b xc sut P
, nn B
t
tr thnh chuyn ng Brown c h
s trt bng theo phn b xc sut P
.
Bi tp 7.17. p dng nh l trn, hy tm o hm RadonNikodym ca bin i xc
sut bin chuyn ng Brown B
t
+t vi h s trt thnh mt chuyn ng Brown
vi mt h s trt khc cho trc.
7.6.3 ng dng vo nh gi quyn chn c gii hn
lm v d ng dng cho cng thc CameronMartin, y chng ta s xt mt m
hnh kh n gin nh gi mt loi quyn chn l, gi l quyn chn c gii hn (barrier
option). Vic nh gi cc quyn chn thng dng, gi l quyn chn kiu M v quyn
chn kiu u, s c bn trong chng sau.
Gi S
t
l gi ca mt chng khon no ti thi im t, v nh ngha
= 1 max
0tT
S
t
A, (7.124)
c ngha l, trong khong thi gian t 0 n T, nu c t nht mt thi im no
m gi S
t
ln hn hoc bng A, th bng 1, cn nu gi S
t
lun lun nh hn A trong
khong thi gian t 0 n T th bng 0. y T v A l hai tham s cho trc.
Sn phm ti chnh phi sinh cho php ngi gi n c nhn mt khon tin bng
nh ngha theo cng thc trn vo thi im T c gi l mt quyn chn c gii hn
(barrier option), vi thi im o hn l T, v barrier (thanh chn, gii hn) A. Cu hi
t ra l: gi tr (gi hp l) ca quyn chn c gii hn ti thi im 0 l bao nhiu ?
Chng ta s gi s l mc li kp lin tc trn th trng l mt hng s r, v ng vi
xc sut trung ha ri ro th S
t
l mt qu trnh ngu nhin It tha mn phng trnh
vi phn
dS
t
= rS
t
dt + dB
t
, (7.125)
trong h s volatility cng l mt hng s. C ngha l, S
t
l mt chuyn ng Brown
hnh hc:
S
t
= S
0
exp((r
2
/2)t + B
t
). (7.126)
Theo nguyn l no-arbitrage, ta c th vit gi tr ca quyn chn c gii hn ti thi
im 0 bng:
V
0
= e
rT
P max
0tT
S
t
A, (7.127)
trong Pmax
0tT
S
t
A l xc sut xy ra max
0tT
S
t
A, v n chnh l gi
tr k vng ca quyn chn c gii hn ti thi im T, cn e
rT
l h s chit khu theo
thi gian T v mc li kp lin tc r. Nh vy, tnh gi tr ca quyn chn c gii hn,
ta cn tnh
P max
0tT
S
0
exp((r
2
/2)t + B
t
) A = P max
0tT
(
r
2
/2
t + B
t
)
ln(A/S
0
)
.
t
=
r
2
/2
v =
ln(A/S
0
)
, (7.128)
ta cn tnh
P max
0tT
(B
t
+ t) . (7.129)
nh l CameronMartin cho bit W
t
= B
t
+ t l chuyn ng Brown chun tc theo
phn b xc sut P
, vi dP = exp(B
T
+
2
T/2)dP
= exp(W
T

2
T/2)dP
trn
sigma-i s T
T
, v ta c:
P max
0tT
(B
t
+ t) = E
_
exp(W
T

2
T/2)1 max
0tT
W
t

_
,
trong E
l k hiu k vng theo P
, v 1max
0tT
W
t
l hm ch bo ca s
kin max
0tT
W
t
.
S kin max
0tT
W
t
l hp ca hai s kin khng giao nhau W
t
v
U
t
> , trong U
t
l qu trnh gng phn ca W
t
qua mc , v U
t
cng l chuyn
ng Brown chun tc theo phn b xc sut P
. Do :
E
(exp(W
T

2
T/2)1max
0tT
W
t
)
= E
(exp(W
T

2
T/2)1W
T
) +E
(exp(W
T

2
T/2)1U
T
)
= E
(exp(W
T

2
T/2)1W
T
) +E
(exp((2 U
T
)
2
T/2)1U
T
)
=
_
exp(x
2
T/2)
exp(x
2
/2T)
2T
dx +
_
exp((2 x)
2
T/2)
exp(x
2
/2T)
2T
dx
=
_
[exp(x
2
T/2) + exp((2 x)
2
T/2)]
exp(x
2
/2T)
2T
dx.
Nh vy, ta c cng thc sau tnh gi tr ca quyn chn c gii hn:
V
0
= exp(rT
2
T/2)
_

[exp(x) + exp(2 x)]

exp(x
2
/2T)
2T
dx, (7.130)
vi
=
r
2
/2
v =
ln(A/S
0
)
. (7.131)
7.6.4 nh l Girsanov
nh l di y ca nh ton hc Igor Vladimirovich Girsanov (19341965) cho php
thay i h s trt trong mt qu trnh It bt k, nhng khng thay i h s volatility,
bng cch thay i phn b xc sut. N l tng qut ha ca nh l CameronMartin
pha trc, v bi vy cn hay c bit n di tn gi nh l CameronGirsanov.
nh l 7.23 (Girsanov). Gi s
dY
t
=
t
dt +
t
dB
t
(7.132)
l mt qu trnh It trong mt khng gian xc sut c lc (, (T
t
), P). Gi s u
t
v
t
l
cc qu trnh ngu nhin tha mn ng thc
t

t
=
t
u
t
(7.133)
nh ngha qu trnh M
t
theo cng thc
M
t
= exp(
_
t
0
u
s
dB
s

1
2
_
t
0
|u
s
|
2
ds) (7.134)
v nh ngha phn b xc sut Q theo cng thc
dQ
dP
= M
T
. (7.135)
Khi , ng vi phn b xc sut Q, Y
t
tha mn phng trnh vi phn ngu nhin sau:
dY
t
=
t
dt +
t
d

B
t
, (7.136)
trong

B
t
l mt chuyn ng Brown theo phn b xc sut Q.
Trong nh l trn, qu trnh
t
(h s volatility) c gi nguyn, cn qu trnh
t
(h s trt) chuyn thnh
t
, khi ta thay phn b xc sut P bng phn b xc sut Q.
Trng hp ring ca nh l Girsanov, khi
t
= 0, cho cng thc tnh phn b xc sut
Q sao cho i vi Q th Y
t
l martingale.
Chng ta s b qua chng minh nh l Girsanov trong quyn sch ny. Bn c c
th tham kho cch chng minh trong [21]. nh l Girsanov c nhiu ng dng trong
tnh ton ti chnh, v d nh trong m hnh bin ng t gi gia hai ng ngoi t c
hai mc li sut khc nhau.
Chng 8
Quyn chn
Trn th gii c nhiu loi quyn chn khc nhau, nhng ch c hai loi thng dng
nht, l quyn chn kiu u (European-style option) v quyn chn kiu M
(American-style option), v ph bin nht l kiu M. Phn ln quyn chn ca cc
c phiu chu u cng l quyn chn kiu M. Trong chng ny, chng ta s tm hiu
cc tnh cht c bn ca cc quyn chn kiu u v kiu M, v cc m hnh nh gi
chng, c bit l m hnh BlackScholes, c Fisher Black v Myron Scholes xy dng
v Robert Morton pht trin t nm 1973 cho quyn chn kiu u
(1)
, v m hnh nh phn
CoxRossRubinstein c xy dng nm 1979. M hnh nh phn CoxRossRubinstein
c th p dng c cho nhiu trng hp hn l m hnh Black-Scholes, v c dng
lm phng php tnh gi quyn chn kiu M trn cc th trng chng khon trn
th gii, v d nh th trng chng khon chu u Eurex
(2)
.
Nhc li rng, cc quyn chn mua (call option, gi tt l Call) l cc quyn cho
php mua, nhng khng bt buc phi mua, cc mt hng no , ti cc thi im no
, vi gi no theo tha thun t trc, trong cc iu kin no . Tng t nh
vy, cc quyn chn bn (put option, gi tt l Put) l cc quyn cho php bn vi cc
iu kin no , nhng khng bt buc phi bn.
Mt quyn chn mua kiu u (European Call) l mt hp ng cho php nh u
t mua mt n v ca mt hng ha hay ti sn S no (gi l underlying asset)
vi mt gi X c c nh, gi l gi thc hin (exercise price hay strike price)
ti mt thi im T trong tng lai cng c c nh, gi l thi im o hn
(1)
Scholes v Morton c trao gii thng Nobel v kinh t nm 1997 nh m hnh ny. Lc Black
qua i, v gii Nobel ch trao cho ngi cn sng.
(2)
Xem: http://www.eurexchange.com/index.html
223
224 CHNG 8. QUYN CHN
(exercise time hay expiry time). Nu thay ch mua bng ch bn trong nh ngha
ny, th ta c mt quyn chn bn kiu u (European Put).
Mt quyn chn mua kiu M (American Call) l mt hp ng cho php nh u
t mua mt n v ca mt ti sn (underlying asset) S vi mt gi thc hin (strike
price) X c c nh ti mi thi im cho n mt thi im o hn (expiry time)
T trong tng lai cng c c nh. Mt quyn chn bn kiu M (American
Put) cng c nh ngha tng t nh l mt call option kiu M, nhng thay ch mua
bng ch bn.
S khc nhau gia quyn chn kiu u v quyn chn kiu M l quyn chn kiu
M cho quyn mua (nu l Call) hoc bn (nu l Put) vo thi im T hoc mi thi
im trc , trong khi quyn chn kiu u ch cho quyn mua/bn ti ng thi im
T thi. V s khc nhau ny, vic nh gi gi tr ca quyn chn kiu M ni chung s
phc tp hn so vi quyn chn kiu u, tuy rng trong nhiu trng hp th gi ca
quyn chn kiu M v kiu u s gn nh nhau, thm ch ng bng nhau.
cho n gin, trong chng ny, ta s ch xt cc quyn chn ca c phiu, tc l
ta s coi rng ti sn S l c phiu, c gi lun khng m, tuy rng nhiu cng thc trong
chng ny c th dng c cho trng hp tng qut hn. Ta s lun gi s rng ga
thc hin l s dng: X > 0.
8.1 Mt s tnh cht c bn ca gi quyn chn
Mt quyn chn c xc nh bi th loi ca n (Call hay Put, European hay
American y ta s gii hn vic nghin cu quyn chn vo cc th loi ny), v cc
yu t: c phiu (underlying asset) S, thi im o hn (expiry time) T v gi thc hin
(strike price) X c c nh. Ta cng s dng k hiu S ch gi ca c phiu. Gi
ca cc quyn chn s c k hiu nh sau:
- Eureopean Call c k hiu l C
E
- Eureopean Put c k hiu l P
E
- American Call c k hiu l C
A
- American Put c k hiu l P
A
Cc gi ny c th c coi nh cc qu trnh ngu nhin, bin i theo thi gian t [0, T].
Nhc li rng, ta lun gi s l th trng tha mn nguyn l no-arbitrage. n
gin, ta s gi s l li sut kp lin tc trn th trng l mt hng s r: mi khon tin
mt m hay dng trong cc ti khon trn th trng u tun theo li sut ny. iu
8.1. MT S TNH CHT C BN CA GI QUYN CHN 225
ny tng ng vi gi s l c mt chng khon khng ri ro A trn th trng c gi
A(t) tha mn A(t) = e
rt
A(0) vi mi t, nh ta lm trong nhng chng trc. chng
ny, cho cc cng thc c gn nh, mt khon tin Y ti thi im t s c vit
nguyn l Y ch khng vit thnh Y/A(t) n v chng khon khng ri ro na. Nhng
nh l, Y tin thi im t s t ng bin thnh e
(st)r
Y tin ti mi thi im s ,= t.
8.1.1 Gi quyn chn ti thi im o hn
Ta c mt nh gi s b u tin v gi cc quyn chn nh sau:
nh l 8.1. i) Gi ca cc quyn chn ti thi im o hn T c cho bi cng thc
sau:
C
E
(T) = C
A
(T) = (S(T) X)
+
:= max(S(T) X, 0), (8.1)
P
E
(T) = P
A
(T) = (X S(T))
+
:= max(X S(T), 0). (8.2)
ii) Cc gi quyn chn C
E
, P
E
, C
A
, P
A
lun ln hn hoc bng 0 (ti bt c thi im
t T no).
Chng minh. i) n thi im T, nu S(T) > X th ngi gi 1 Call kiu M hay kiu
u u c th mua 1 c phiu vi gi X theo quyn ca ci Call , ri bn li ngay vi
gi S(T), v thu c chnh lch l S(T) X > 0. Trong trng hp ny th con s
chnh l gi tr ca Call, v bi vy cng l gi ca Call. Nu S(T) X, th quyn
mua c phiu vi gi X ti thi im T khng c gi tr g, tc l gi ca n bng 0, v
c th mua trn th trng vi gi S(X) nh hn hoc bng X. Tng t nh vy cho
cc Put.
ii) V cc Call v Put ch l quyn ch khng c ngha v g c, nn gi ca n
khng th m. Gii thch theo nguyn l no-arbitrage: v gi tr ca cc Call v Put ti
thi im T lun lun ln hn hoc bng 0, nn gi ca chng ti mi thi im t T
cng khng m.
8.1.2 Gi quyn chn tnh theo phn b xc sut trung ha ri
ro
K hiu p
l o xc sut martingale (trung ha ri ro) trn th trng. (S tn

ti ca n c bn n trong Chng 3 v Chng 7). K hiu E
l k vng theo
xc sut martingale ny. Nh chng ta thy t trong V d 3.4, gi ca quyn chn
khng phi c xc nh theo phn b xc sut thc t, m l theo phn b xc sut
trung ha ri ro.
nh l 8.2. Ti mi thi im t < T, gi cc quyn chn kiu u tha mn cc cng
thc sau:
C
E
(t) = e
(Tt)r
E
((S(T) X)
+
[T
t
), (8.3)
v
P
E
(t) = e
(Tt)r
E
((X S(T))
+
[T
t
), (8.4)
trong T
t
l sigma-i s (trong h lc cc sigma-i s ca m hnh qu trnh ngu
nhin gi c phiu) ng vi ton b cc thng tin c c cho n thi im t.
nh l trn a vic tnh gi quyn chn v vic tnh gi tr k vng E
((S(T)
X)
+
[T
t
) v E
((X S(T))
+
[T
t
) theo phn b xc sut martingale. Ta s bn n vic
tnh ny trong cc phn sau ca chng.
Chng minh. Theo tnh cht martingale, trong trng hp m li sut kp lin tc r l
c nh, ta c E
(C
E
(T)[T
t
) = e
(Tt)r
C
E
(t). Th nhng C
E
(T) = (S(T) X)
+
, nn ta
c cng thc trn cho C
E
(t). Tng t nh vy cho P
E
(T).
8.1.3 Quan h gia quyn chn kiu u v kiu M
nh l 8.3. Option kiu u lun c gi nh hn hoc bng quyn chn kiu M (vi
cng ga thc hin v thi im o hn):
C
E
C
A
; P
E
P
A
. (8.5)
Chng minh. Cc quyn chn kiu M cho quyn ln hn cc quyn chn kiu u: quyn
chn kiu u ch cho quyn mua/bn ti ng thi im T, trong khi quyn chn kiu
M cho quyn mua bn c cc thi im trc T. Ci g cho nhiu quyn hn th phi
c gi tr ln hn hoc bng ci g cho t quyn hn, theo nguyn l no-arbitrage.
nh l 8.4. Nu c phiu khng tr c tc, th Call kiu u v Call kiu M c gi bng
nhau (ti mi thi im):
C
E
= C
A
. (8.6)
Chng minh. Gi s c mt thi im t no m C
E
(t) < C
A
(t). Khi s c chin
lc kinh doanh chnh lch gi, vi r ti sn gm +1 Call kiu u, 1 Call kiu M ti
thi im t, v mt lng tin mt Y = C
A
(t) C
E
(t) > 0. Tht vy, gi tr ca r ti
sn ny bng 0 ti thi im t. Nu nh Call kiu M khng b thc hin ti thi im
gia chng no, tc l r ti sn ny cn nguyn dng nh c cho n thi im T, th
ti thi im T n c gi tr bng e
r(Tt)
Y > 0. Nu Call kiu M b thc hin ti mt
thi im s < T no , th ti thi im s r ti sn ny tr thnh: 1 c phiu S cng
X tin cng Y e
r(st)
tin cng +1 Call kiu u. Nu iu xy ra, th chuyn ton b
r ti sn v tin mt ti thi im s (tc l mua +1 c phiu S v bn Call kiu u),
c lng tin bng
X S(s) + C
E
(s) + Y e
r(st)
= X S(s) + e
(Ts)r
E
((S(T) X)
+
[T
t
) + Y e
r(st)
X S(s) + e
(Ts)r
E
((S(T) X)
+
[T
t
) + Y e
r(st)
= Xe
(Ts)r
X+e
(Ts)r
E
(S(T)[T
t
)S(s)+Y e
r(st)
= Xe
(Ts)r
X+Y e
r(st)
> 0
(theo tnh cht martingale). Nh vy, gi tr ca r ti sn theo chin lc s lun dng
ti thi im T, trong khi n bng 0 ti thi im t, Ta gi s l khng c c hi
arbitrage, bi vy iu trn khng th xy ra, tc l ta phi c C
E
(t) C
A
(t). Mt khc,
ta bit C
E
(t) C
A
(t), bi vy ta c C
E
(t) = C
A
(t).
Ghi ch 8.1. Ni chung khng c ng thc chnh xc tng t gia Put kiu M v Put
kiu u, tuy trn thc t gi ca chng cng hay gn bng nhau. Xem Ghi ch 8.2 pha
di.
8.1.4 Quan h tng ng gia Call v Put
nh l 8.5 (Put-Call parity). i) Gi s l c phiu S khng tr c tc trong giai on
t thi im t n thi im T, t T. Khi gi ca Call kiu u C
E
(t), Put kiu u
P
E
(t), v ca c phiu S(t) tha mn ng thc sau:
C
E
(t) P
E
(t) = S(t) Xe
r(Tt)
. (8.7)
ii) Nu nh c phiu c tr c tc trong giai on t t n T, th cng thc trn i thnh
C
E
(t) P
E
(t) = S(t) div
T
t
Xe
r(Tt)
, (8.8)
trong div
T
t
l gi tr chit khu ti thi im t ca dng c tc nhn c trong khong
thi gian t t n T theo li kp lin tc r.
Chng minh. i) Xt mt r ti sn thit lp vo thi im t gm c: +1 c phiu S, +1
Put kiu u, 1 Call kiu u, v Xe
r(Tt)
n v tin. n thi im T th lng
Xe
r(Tt)
tin t thi im t tr thnh X tin, gi tr ca +1 Put kiu u tr thnh
(X S(T))
+
, gi tr ca -1 Call kiu u tr thnh (S(T) X)
+
, v gi tr ca ton b
r ti sn ny ti thi im T s l:
S(T) + (X S(T))
+
(S(T) X)
+
X.
Nu X S(T) th (X S(T))
+
= 0 v (S(T) X)
+
= S(T) X, cn nu X > S(T) th
(XS(T))
+
= XS(T) v (S(T) X)
+
= 0. D thy rng, trong c hai trng hp, r
ti sn u c gi tr ng bng 0 ti thi im T. Theo nguyn l no-arbitrage, th r ti
sn cng phi c gi bng 0 ti thi im t, tc l S(t) +P
E
(t) C
E
(t) Xe
(Tt)r
= 0,
t suy ra iu phi chng minh.
ii) Trng hp c tr c tc, ta cng c th xt r ti sn ht nh trn. Nhng gi
tr ca r ny ti thi im T s khng bng 0, m bng gi tr tng lai ti thi im
T ca dng c tc. T suy ra l gi tr ca r ny ti thi im t bng gi tr (chit
khu) ti thi im t ca dng c tc, v cng thc trc phi c iu chnh theo gi
tr ny.
V quyn chn kiu M phc tp hn quyn chn kiu u, nn ni chung ta khng c
ng thc rng buc gia Call kiu M v Put kiu M, m c bt ng thc tng t
sau:
nh l 8.6 (Put-Call parity estimate). i) Nu c phiu khng tr c tc trong giai on
t t n T th ta c
S(t) Xe
r(Tt)
C
A
(t) P
A
(t) S(t) X. (8.9)
ii) Nu c phiu c tr c tc th ta c
S(t) Xe
r(Tt)
C
A
(t) P
A
(t) S(t) div
T
t
X. (8.10)
Chng minh. i) Tng t nh trong chng minh ca nh l 8.5, xt r chng khon
ti thi im t gm: +1 c phiu S, 1 Call kiu M, +1 Put kiu M, v Xe
r(Tt)
tin. Nu trong giai on t t n T c mt thi im s no m ci Call b thc
hin, tc l c ngi i X vi 1 Call kiu M ly 1 c phiu, th ti thi im s gi
tr ca r ny s l X Xe
r(Ts)
+ P
A
(s) 0, v c gi nh vy n thi im T
th gi g ca n cng khng m. Nu nh khng c lc no ci Call b thc hin, th
tng t nh trong chng minh ca nh l 8.5, ta thy rng gi tr ca r ny ti thi
im T ng bng 0. Nh vy, gi tr ca r ti thi im T lun ln hn hoc bng 0
theo chin lc trn, v do , theo nguyn l no-arbitrage, gi tr ti thi im t ca r
cng phi khng m: S(t) Xe
r(Tt)
+ P
A
(t) C
A
(t) 0, t suy ra bt ng thc
S(t) Xe
r(Tt)
C
A
(t) P
A
(t).
chng minh bt ng thc S(t) X C
A
(t) P
A
(t), ta xt chin lc u t vi
r chng khon ti thi im t gm c +1 Call, 1 Put, 1 c phiu v X tin. Nu Put
b thc hin ti thi im s t no , tc l 1 Put cng vi 1 c phiu trong r b i
thnh X, th ti thi im s gi tr ca r s l Xe
r(st)
X +C
A
(t) 0. Nu Put
khng b thc hin lc no c, th gi tr ca r ti thi im T s l Xe
r(Tt)
X > 0.
Trong c hai trng hp th gi tr ca r l khng m, v bi vy gi tr ca r ti thi
im t cng khng m, t suy ra bt ng thc cn chng minh.
ii) Chng minh hon ton tng t, v l bi tp dnh cho bn c.
Ghi ch 8.2. Khi m thi hn cn li ca quyn chn tng i ngn, tc l T t tng
i nh (chng hn khng qu 2 thng) v li sut tng i thp (chng hn di 5%),
th Xe
r(Tt)
v X chnh nhau rt t (khng qu 1%), v bt ng thc (8.9) lc s
gn nh l mt ng thc. Nhng quyn chn ngn hn ca c phiu (c hn khng qu
mt vi thng) thng l nhng quyn chn c giao dch nhiu nht trn th trng.
Khi m thi hn ngn, th gi ca quyn chn kiu u v kiu M s gn nh l bng
nhau, bi v nh hng ca li sut v ca c tc thng l nh n mc c th b qua.
Khi li sut bng 0 v c tc cng bng 0, th c th suy ra t cc nh l trn l gi ca
cc quyn chn kiu M, k c Call v Put, s ng bng gi ca cc quyn chn kiu u.
Bi tp 8.1. Gi s gi c phiu khng hng c tc hin ti l 32.65$, v mc li kp
lin tc l 4.7%. Gi s Call kiu u vi X = 35$ v c thi hn 3 thng c giao dch
vi gi 2.85$. Hi gi ca Put kiu u vi cng X v T l bao nhiu ?
Bi tp 8.2. (Mt v d tht trn th trng chng khon M). Vo mt thi im ngy
25/08/2009, c phiu ca cng ty cng ngh sinh hc Osiris (m chng khon: OSIR) c
gi l 14.40 la, September Call vi gi thc hin X = 12.5 c gi l 4.50, September
Put vi cng gi thc hin c gi l 3.05. y cc Call v Put u l kiu M, v
September c ngha l thi im o hn ca quyn chn l vo ngy th by ca tun
th 3 ca thng 9 (nm 2009). Hi rng th trng ca c phiu v quyn chn ca Osiris
vo thi im c tha mn nguyn l no-arbitrage khng ?
8.1.5 Mt s chn trn v chn di ca gi quyn chn
Nhc li rng, nu Y l mt i lng bt k, th k hiu Y
+
dng ch phn dng
ca Y , c ngha l Y
+
= max(Y, 0).
nh l 8.7. Vi mi t T ta c cc bt ng thc sau:
i)
S(t) C
A
(t) (S(t) X)
+
, (8.11)
ii)
X P
A
(t) (X S(t))
+
, (8.12)
iii)
S(t) C
E
(t) (S(t) div
T
t
Xe
r(Tt)
)
+
, (8.13)
iv)
Xe
r(Tt)
P
E
(t) (Xe
r(Tt)
S(t) + div
T
t
)
+
, (8.14)
trong div
T
t
l k hiu gi tr chit khu ti thi im t ca dng c tc c tr trong
giai on t t n T (nu c phiu khng tr c tc th div
T
t
= 0.).
Chng minh. i) Tht vy, ti mi thi im t T, nh u t gi Call kiu M c th
dng n mua c phiu vi gi X ri bn li ngay vi gi S(t) hng chnh lch
S(t) X (nu nh S(t) X > 0), v do ta c C
A
(t) S(t) X. Ta bit rng
C
A
(t) 0, bi vy C
A
(t) (S(t) X)
+
. Mt khc, 1 Call khng c gi tr bng 1 c
phiu, bi v nu mun i Call ly c phiu cn phi np thm X tin. Ni cch khc,
mt r chng khon gm +1 c phiu v 1 Call kiu M ti thi im t, th d Call
c b thc hin hay khng, cng s c gi tr khng m vo thi im T. Do ta c
S(t) C
A
(t) 0.
ii) Chng minh hon ton tng t nh i).
iii) Ta bit rng C
E
(t) 0 v C
E
(t) C
A
(t) S(t). chng minh C
E
(t)
S(t) div
T
t
Xe
r(Tt)
, ta xt mt chin lc u t, vi r chng khon ti thi im
t gm c +1 Call kiu u, 1 c phiu, v +div
T
t
+ Xe
r(Tt)
tin. Gi r ny n thi
im T. V ta c 1 c phiu, nn ta s phi mt tin c tc cho c phiu, bi vy khi
n thi im T th phn div
T
t
tin trong ti khon mt i, phn Xe
r(Tt)
tin trong ti
khon tr thnh X tin. Nh vy r chng khon ny ti thi im T gm +1 Call, 1 c
phiu, v X tin, v c gi tr l C
E
(T) +X S(T) = max(S(T) X, 0) +X S(t) 0.
Nh vy, r chng khon m ta thit lp ti thi im t c gi tr lun khng m ti ti
8.2. SPHTHUC CAGIQUYNCHNVOGICPHIUVGITHC HIN231
im T, v do , theo nguyn l no-arbitrage, gi tr ca r chng khon cng khng
m ti thi im t: C
E
(t) S(t) + div
T
t
+ Xe
r(Tt)
0.
iv) Chng minh hon ton tng t nh iii).
Ghi ch 8.3. i lng (S(t) X)
+
c gi l gi tr ni ti (intrinsic value) ca mt
Call vo thi im t. Tng t nh vy, i lng (X S(t))
+
c gi l gi tr ni
ti ca mt Put vo thi im t. i vi cc quyn chn kiu M, ta thy rng gi ca
chng lun ln hn hoc bng gi tr ni ti ca chng. Khong chnh lch gia gi v
gi tr ni ti, tc l C
A
(t) (S(t) X)
+
i vi Call v P
A
(t) (X S(t))
+
i vi
Put, c gi l gi tr thi gian (time value) hay cc ph thi gian (time premium)
ca quyn chn. Gi tr thi gian ca quyn chn ni chung l s dng, v tin ti 0 khi
t tin ti T, v khi t = T th gi ng bng gi tr ni ti. Nu gi tr ni ti ca mt
quyn chn l dng, th quyn chn c gi l c tin bn trong (in the money), tc
l nu thc hin quyn mua/bn ngay lp tc vo thi im th c mt lng ti
sn dng bng gi tr ni ti. Nu S(t) = X th quyn chn c gi l ti ngng (at
the money), cn nu S(t) < X trong trng hp quyn chn l Call hoc S(t) > X trong
trng hp quyn chn l Put, th c gi l cha c tin (out of the money), c ngha
l nu m thc hin quyn mua/bn khi m quyn chn ang cha c tin, th gi tr
nhn c s l s m. Cc khi nim ny cng c dng cho quyn chn kiu u (da
trn gi s l khng c chnh lch ln gia gi ca quyn chn kiu u v quyn chn
kiu M).
8.2 S ph thuc ca gi quyn chn vo gi c phiu
v gi thc hin
8.2.1 S ph thuc vo gi thc hin
nh l 8.8. Gi s c phiu S, thi im o hn T, v thi im t l c nh, xt s
ph thuc ca gi quyn chn vo gi thc hin. Khi , cc hm gi quyn chn l cc
hm n iu theo gi thc hin X (tng theo X nu l Put, gim theo X nu l Call)
v tha mn cc bt ng thc dng Lipschitz sau, vi mi X
< X
l hai gi thc hin

khc nhau, v vi mi t < T :
i)
0 C
E
(X
, t) C
E
(X
, t) e
r(Tt)
(X
), (8.15)
ii)
0 P
E
(X
, t) P
E
(X
, t) e
r(Tt)
(X
), (8.16)
iii)
0 C
A
(X
, t) C
A
(X
, t) X
, (8.17)
iv)
0 P
A
(X
, t) P
A
(X
, t) X
. (8.18)
v) Hn na, cc hm gi quyn chn u l hm li theo bin X, tc l vi mi
[0, 1] ta c
C
A
(X
+ (1 )X
, t) C
A
(X
, t) + (1 )C
A
(X
, t), (8.19)
v cc bt ng thc tng t cho P
E
, C
A
v P
A
.
Chng minh. i) Gi s X
> X
. Khi 0 (S(T) X
)
+
(S(T) X
)
+
X
trong mi tnh hung, t suy ra 0 E
((S(T) X
)
+
) E
((S(T) X
)
+
) =
e
r(Tt)
C
E
(X
, t) e
r(Tt)
C
E
(X
, t) X
, v ta c bt ng thc cn chng minh.

ii) Chng minh hon ton tng t nh i).
iii) C th nhn thy ngay rng, tng t nh i vi Call kiu u, C
A
(X
)C
A
(X
)
0 v quyn mua vi gi thp hn th c gi tr hn l quyn mua vi gi cao hn. chng
minh rng C
A
(X
) C
A
(X
) X
, ta xt mt chin lc vi r chng khon ti

thi im t gm c: +1 Call kiu M vi gi thc hin X
, 1 Call kiu M vi gi thc

hin X
, v X
tin. Nu nh Call kiu M vi gi thc hin X
khng b thc hin

lc no c, th n khi ht hn gi tr ca n v 0, v ti thi im T trong r cn Call
kiu M vi gi thc hin X
(gi tr ca Call ny cng bng 0, v S(T) X
< X
trong trng hp ny), v (X
)e
r(Tt)
> 0 tin. Nu nh c mt thi im s no
, t s T, sao cho Call kiu M vi gi thc hin X
b thc hin ti thi im s,

th ta c th thc hin lun Call kiu M vi gi thc hin X
ti thi im s. Nu lm
nh vy th trong r, ti thi im s, khng cn chng khon no ngoi lng tin bng
(X
)(e
r(st)
1) 0. Nh vy, trong mi tnh hung, th r chng khoon theo
chin lc trn s c gi tr khng m ti thi im T. Theo nguyn l no-arbitrage, th
r chng khon ny cng phi c gi tr khng m ti thi im t, t ta c bt ng
thc cn chng minh.
iv) Chng minh tng t nh iii).
v) Xt mt chin lc u t, vi r chng khon ti thi im t gm c: C
A
X
+(1
)C
A
X
1C
A
X
+(1)X
, trong C
A
X
l k hiu Call kiu M c gi thc hin l X. Nu
8.2. SPHTHUC CAGIQUYNCHNVOGICPHIUVGITHC HIN233
nh cho ti ht thi im T, khng lc no C
A
X
+(1)X
b thc hin, th gi tr ca ci
Call ny v 0 ti thi im T, v r chng khon ny s c gi tr khng m ti thi im
T (lc gi tr ca (1 )C
A
X
cng s bng 0, nhng gi tr ca C
A
X
c th l s
dng). Nu nh c mt thi im s T no , sao cho C
A
X
+(1)X
b thc hin ti
thi im s, th ta cng thc hin lun C
A
X
+ (1 )C
A
X
ti thi im s; lm nh vy
s a gi tr ca r chng khon v ng bng 0 ti thi im s. Nh vy, theo chin
lc u t ny, d tnh hung no xy ra, gi tr nhn c t r chng khon ban u
vo thi im T cng s khng m. Theo nguyn l no-arbitrage, th gi tr ban u ca
r chng khon cng phi khng m.
Tnh li ca P
A
, C
E
, P
E
theo bin X c th c chng minh mt cch hon ton
tng t.
Bi tp 8.3. Vit chng minh tnh li ca P
A
, C
E
v P
E
theo bin gi thc hin X.
8.2.2 S ph thuc vo gi ca c phiu
Gi ca quyn chn tt nhit l ph thuc vo gi ca c phiu, bi v khi quyn chn
c thc hin (exercise), th gi ca n chnh bng chnh lch gia gi thc hin v gi
c phiu ti thi im thc hin quyn. Ti cc thi im khc, th gi ca c phiu cng
nh hng n gi quyn chn.
Gi s l gi ca c phiu thay i t S
thnh S
trong mt khng thi gian rt ngn,

trong khi cc yu t khc nh hng n gi tr ca quyn chn cha kp thay i, th gi
ca cc quyn chn s thay i nh sau: gi ca c phiu i ln, th gi ca Call option
cng i ln cn gi ca Put i xung, v ngc li khi m gi ca c phiu i xung th
gi ca Call i xung v gi ca Put i ln.
Nu ta coi C
E
(t), P
E
(t), C
A
(t), P
A
(t) l cc hm s theo bin S, trong S = S(t)
l gi ca c phiu ti thi im t, th cc hm ny l cc hm li theo bin S, v tha
mn cc bt ng thc sau, trong S
< S
l hai gi tr khc nhau ca bin S:

0 < C
E
(S
, t) C
E
(S
, t) < S
, 0 < C
A
(S
, t) C
A
(S
, t) < S
, (8.20)
v
0 < P
E
(S
, t) P
E
(S
, t) < S
, 0 < P
A
(S
, t) P
A
(S
, t) < S
. (8.21)
chng minh cc bt ng thc trn, chng ta s phi lp cc m hnh nh gi
quyn chn. iu ny s c bn n trong nhng phn sau ca chng. Mt cch trc
gic, ta c th hnh dung nh sau: gi tr ca quyn chn ph thuc vo hiu S X gia
gi c phiu v gi thc hin. Bi vy, c nh X v thay i S, th cng tng t nh l
c nh S v thay i X theo chiu ngc li, v do tnh n iu v tnh li ca hm
gi quyn chn theo S cng tng t nh tnh n iu (theo chiu ngc li) v tnh li
ca hm gi quyn chn theo X.
8.3 Phng trnh BlackScholes
phn ny, chng ta s tho lun m hnh BlackScholes tnh gi cc quyn chn
kiu u cho mt c phiu S. Cc gi thit ca m hnh ny l, trong khong thi gian
c xt:
- C phiu S khng tr c tc, v gi ca S lun lun dng.
- C mt mc li sut kp c nh, l hng s r > 0. Hay ni cch khc, tn ti mt
chng khon khng ri ro A sao cho
A(t) = A(0)e
rt
> 0 (8.22)
vi mi t. C th vit cch khc na l, A tha mn phng trnh vi phn
dA = rAdt (8.23)
vi iu kin bin A(0) > 0.
- Th trng tha mn nguyn l no-arbitrage. H qu l c mt phn b xc sut
martingale trn th trng, k hiu l p
.
- C phiu S tha mn phng trnh vi phn ngu nhin (theo phn b xc sut thc
t ca th trng)
dS
t
= S
t
dt + S
t
dB
t
. (8.24)
trong = (t, S
t
) v = (t, S
t
) l hai hm s xc nh theo 2 bin t v S
t
. Hm
c gi l h s trt cn c gi l h s volatility. Trong ng dng, cho n
gin, ngi ta hay coi l hng s.
Mt quyn chn kiu u tng qut V (t) trn c phiu S vi expiry time T c th
c nh ngha l mt chng khon m gi tr V (T) vo thi im T ng bng G(S
T
),
trong G l mt hm s mt bin no , v S
T
l gi ca c phiu ti thi im T.
Hm G c gi l payoff function (hm payoff, hm tr tin), ca quyn chn. V d,
i vi Call kiu u c gi thc hin X, th hm G l hm G(S) = (S X)
+
.
8.3. PHNG TRNH BLACKSCHOLES 235
Gi V l gi ca mt quyn chn kiu u, ca mt c phiu S, vi thi im o hn
l T v hm payoff l mt hm s G no . Ta gi s rng V c th c vit di dng
mt hm s ca hai bin thi gian t v gi c phiu S = S
t
ti thi im t: V = V (t, S).
Khi , theo b It, ta c:
dV
t
=
V
t
dt +
V
S
dS +
1
2
2
V
S
2
dS
2
. (8.25)
Thay dS bng Sdt + SdB
t
v dS
2
=
2
S
2
dt trong cng thc trn, ta c:
dV
t
= (
V
t
+ S
V
S
+
1
2
2
S
2
2
V
S
2
)dt + S
V
S
dB
t
. (8.26)
Xt mt r chng khon gm c 1 quyn chn V v x c phiu S, c thnh lp
vo mt thi im t = t
0
. Gi tr ca ti thi im t > t
0
l
t
= V
t
+xS
t
, v vi phn
ca n l
d
t
= dV
t
+xdS
t
=
_
V
t
+ S
V
S
+
1
2
2
S
2
2
V
S
2
+ xS
_
dt+S
_
V
S
+ x
_
dB
t
. (8.27)
Ta chn x =
V
S
[
t=t
0
ti thi im t = t
0
(x l hng s, khng thay i theo t). Khi
ti thi im t = t
0
ta c:
d
t
[
t=t
0
=
_
V
t
+
1
2
2
S
2
2
V
S
2
_
dt, (8.28)
tc l vi phn ca
t
theo thi gian ti thi im t = t
0
l i lng xc nh ch
khng ngu nhin (phn ngu nhin c h s bng 0 ti thi im t = t
0
). Do nguyn l
no-arbitrage, nn h s
_
V
t
+
1
2
2
S
2
2
V
S
2
_
trong v phi ca cng thc trn bng ng
r
t
0
(bi v mc li sut log vi phn ca , khi n l i lng xc nh, phi bng mc
li sut log ca chng khon khng ri ro). Bi vy phng trnh
V
t
+
1
2
2
S
2
2
V
S
2
= r
_
V
V
S
S
_
(8.29)
c tha mn ti thi im t = t
0
. Nhng v t
0
c th c chn ty , nn thc ra
phng trnh trn c tha mn vi mi t.
Phng trnh trn chnh l phng trnh BlackScholes. N thng c vit di
dng sau:
nh ngha 8.9. Phng trnh BlackScholes l phng trnh o hm ring bc
hai:
V
t
+
1
2
2
S
2
2
V
S
2
+ r
V
S
S rV = 0 (8.30)
theo hai bin t v S, vi hm n l hm V = V (t, S).
Phng trnh BlackScholes l phng trnh o hm ring bc 2 thuc dng phng
trnh parabolic, tng t nh phng trnh truyn nhit (heat equation), c nghin cu
nhiu trong ton hc. Bi vy, sau khi ta thit lp c phng trnh BlackScholes,
th c th dng l thuyt phng trnh o hm ring gii n v tm hm gi V (t, S)
cho quyn chn.
Phng trnh BlackScholes cng c th c vit di dng
V
t
=
1
2
2
S
2
2
V
S
2
r
V
S
S + rV, (8.31)
v c hiu nh l mt phng trnh vi phn thng trn mt khng gian v hn chiu
(khng gian cc hm s vi mt bin S).
Mt iu rt th v v quan trng l, trong phng trnh BlackScholes, hon ton
khng c s tham gia ca h s trt ca phng trnh bin ng gi c phiu, m ch
c s tham gia ca h s volatility . Ni cch khc, gi ca quyn chn ch ph thuc
vo volatility ca c phiu, ch khng h ph thuc vo thnh phn nh tnh trong s
bin ng gi c phiu!
Ta gp hin tng ny t trong V d 3.5, cho thy rng gi ca quyn chn c
xc nh theo phn b xc sut trung ha ri ro (phn b martingale) p
, ch khng phi
l theo phn b xc sut thc t. Nu ta thay phn b xc sut thc t bng phn b
xc sut martingale p
trn khng gian cc tnh hung c th xy ra, th phng trnh vi

phn ngu nhin m t chuyn ng ca gi S tr thnh:
dS
t
= rS
t
dt + S
t
dB
t
, (8.32)
tc l h s trt tr thnh hng s r, cn h s volatility th vn l hng s nh c
(khng thay i). Tht vy, h s trt chnh l li sut log trung bnh ca S, m ng
vi phn b xc sut martingale th li sut log trung bnh ca bt k chng khon no
cng bng li sut log khng ri ro, tc l bng r, v bi vy c thay th bng r
khi ta thay xc sut tc t bng xc sut martingale. H s volatility c gi nguyn,
bi v, ni mt cch trc gic, n vn chnh l h s m s xut hin trong phng trnh
BlackScholes.
Ni mt cch cht ch ton hc hn, th s tn ti php chuyn i t phng trnh
(8.24) v phng trnh (8.32) (bng cch chuyn i phn b xc sut) c cho bi nh
l CameronGirsanov c bn n trong chng 7. Bin i phn b xc sut cho
bi nh l CameronGirsanov, khng lm thay i h s volatility trong phng trnh vi
phn ngu nhin m t chuyn ng theo thi gian ca gi c phiu.
8.3. PHNG TRNH BLACKSCHOLES 237
Phng trnh BlackScholes cng c th c coi nh l trng hp ring ca cng thc
FeynmanKac, sau khi ta thay th phn b xc sut thc t bng phn b martingale.
Cng thc FeynmanKac, t theo tn nh vt l Richard Feynman
(3)
(19181988) v
nh ton hc Mark Kac
(4)
(19141984), xut hin t nm 1949
(5)
v c dng nhiu
trong vt l lng t, l cng thc lin h mt s phng trnh o hm ring bc 2 dng
phng trnh truyn nhit vi cc chuyn ng ngu nhin, v c th c pht biu nh
sau:
nh l 8.10 (FeynmanKac). Gi s (t, x),(t, x), v (x) l cc hm s cho trc.
Khi nghim ca phng trnh o hm ring bc 2
f(t, x)
t
+ (t, x)
f(t, x)
x
+
1
2
2
(t, x)S
2
2
f(t, x)
x
2
= 0 (8.33)
vi iu kin bin f(T, x) = (x) c th c vit di dng k vng
f(t, x) = E((S
T
)[S
t
= x), (8.34)
trong S l mt qu trnh It tha mn phng trnh vi phn ngu nhin
dS
t
= (t, S)dt + (t, S)dB
t
. (8.35)
v B l chuyn ng Brown.
suy ra phng trnh BlackScholes t nh l 8.10, ta dng phn b xc sut
martingale, i tn x thnh S, t (t, S) = rS, = G l hm payoff, cn f(t, S) =
e
r(Tt)
V (t, S) l gi tr tng lai ti thi im T ca gi quyn chn ti thi im t. Khi
, theo cng thc FeynmanKac, tc l theo nh l 8.10, th f tha mn phng trnh
o hm ring
f
t
+
1
2
2
S
2
2
f
S
2
+ rS
f
S
= 0. (8.36)
T d dng suy ra rng V (t, S) = e
r(Tt)
f(t, S) tha mn phng trnh BlackScholes.
Bi tp 8.4. Chng minh ca nh l 8.10 tng i n gin, v lm bi tp cho bn c
t tm hiu. Hy th t chng minh n, bng cch p dng b It vo qu trnh ngu
nhin f(t, S
t
). ri ly tch phn theo bin thi gian ca hai v. Nu khng c th xem
cch chng minh chng hn y: http://en.wikipedia.org/wiki/Feynman-Kac_formula
(3)
Xem: http://en.wikipedia.org/wiki/Richard_Feynman
(4)
Xem: http://en.wikipedia.org/wiki/Mark_Kac
(5)
Cng thc ny c thit lp bi Kac trong bi bo: M. Kac, On Distributions of Certain Wiener
Functionals, Transactions of the American Mathematical Society 65 (1949), No. 1, 113.
8.4 Cng thc nh gi quyn chn kiu u
mc ny, ta s tm cng thc tnh gi quyn chn kiu u theo m hnh Black
Scholes, bng cch s dng phn b xc sut martingale p
, trong trng hp m volatility

l hng s. (Trong thc t th volatility c th thay i theo thi gian, nhng n
gin ha s tnh ton ngi ta s ly mt volatility trung bnh cho khong thi gian
c xt, coi n nh l hng s).
Nhc li rng, theo phn b xc sut martingale p
, gi ca c phiu S tha mn
phng trnh vi phn ngu nhin:
dS
t
= rS
t
d
t
+ S
t
dB
t
. (8.37)
Phng trnh ny c th gii c tng i d dng khi r v u l hng s, v
nghim ca n l:
S
t
= S
0
exp((r

2
2
)t + B
t
). (8.38)
Tht vy, chia c hai v cho S
t
, ta c
dS
t
S
t
= rd
t
+ dB
t
. (8.39)
Mt khc, p dng b It cho qu trnh ngu nhin ln S
t
, ta c cng thc
d(ln S
t
) =
dS
t
S
t
+
1
2
1
S
2
t
(dS
t
)
2
=
dS
t
S
t

2
2
dt, (8.40)
bi v (dS
t
)
2
= (S)
2
(dB
t
)
2
=
2
S
2
dt. Do ta c:
d(ln S
t
) = (r

2
2
)dt + dB
t
, (8.41)
hay cn c th vit thnh
d(ln S
t
(r

2
2
)t B
t
) = 0, (8.42)
t suy ra ln S
t
(r

2
2
)t B
t
= ln S
0
, v suy ra cng thc (8.38) cho S.
Tng t nh vy, ti mt thi im t cho trc, khi S(t) coi nh bit, ta cng c
th vit, vi T > t:
S
T
= S
t
exp((r

2
2
)(T t) +

B
Tt
) = S
t
exp(Y ), (8.43)
8.4. CNG THC NH GI QUYN CHN KIU U 239
trong Y = (r

2
2
)(T t) +

B
Tt
, v

B
s
l mt chuyn ng Brown bt u ti thi
im t (thay v bt u ti thi im 0, hay c th vit rng

B
s
= B
t+s
B
t
).
Nhc li rng, nu B l mt chuyn ng Brown, th vi mi s > 0 c nh, B
s
l
mt bin ngu nhin c phn b xc sut trn R l phn b chun (normal) N(0, s)
(k vng bng 0 v lch chun bng

s). Ti thi im t, bin ngu nhin Y =
(r
2
2
)(T t) +

B
Tt
c phn b chun N((r
2
2
)(T t),
2
(T t)), vi k vng bng
(r

2
2
)(T t) v phng sai bng
2
(T t), v hm mt ca n l:
(t, y) :=
Y
(y) =
1
_
2
2
(T t)
exp
_
(y (r

2
2
)(T t))
2
2
2
(T t)
_
. (8.44)
Gi V
t
= V (t) l gi ti thi im t ca quyn chn kiu u ca c phiu S vi expiry
time T v hm payoff G. Nhc li rng V (T) = G(S
T
). Theo tnh cht martingale, ti
thi im t < T ta c:
V (t,
t
) = e
r(Tt)
E
(G(S
T
)[
t
) (8.45)
trong
t
l tnh hung xy ra cho n thi im t. V S
T
= S
T
(Y ) = S
t
exp(Y ) l hm s
mt bin theo Y , khi m T, t v S
t
c nh, nn ta cng c th coi G(S
T
) = G(S
t
exp(Y ))
nh l hm s mt bin theo Y . Dng cng thc tnh k vng ca mt hm s ca mt
bin ngu nhin, ta c:
V (t,
t
) = e
r(Tt)
E
(G(S
T
)[
t
) = e
r(Tt)
_

G(S
T
(y))(t, y)dy. (8.46)
Ta ch cn bit gi S
t
= S
t
(
t
) ca c phiu ti thi im t l xc nh c v phi ca
cng thc trn (ch khng cn bit thm thng tin g v
t
). Bi vy ta c th vit:
V (t, S
t
) = e
r(Tt)
_

G(S
t
e
y
)(t, y)dy (8.47)
vi (t, y) =
1
_
2
2
(T t)
exp
_
(y (r

2
2
)(T t))
2
2
2
(T t)
_
.
Cng thc thc trn chnh l cng thc nh gi cho mt quyn chn kiu u vi hm
payoff l G, vi iu kin volatility l hng s. Ta s kim tra rng hm V (t, S
t
) cho
bi cng thc (8.47) tha mn phng trnh o hm ring BlackScholes v iu kin
bin V (T, S) = G(S).
Cng thc (8.47) khng nh ngha trc tip cho t = T, nhng c th ly gii hn
V (T, S) = lim
tT
V (t, S): Khi t tin ti T t th phn b xc sut N((r

2
2
)(T
t),
2
(T t)), hi t (theo ngha hi t yu ca cc phn b xc sut) n phn b tp
trung ti duy nht mt im 0, v do v phi ca cng thc (8.47) tin ti G(S
T
exp(0))
khi t tin ti T, tc l ta c iu kin bin V (T, S) = G(S).
kim tra rng V (t, S) cho bi cng thc (8.47) tha mn phng trnh (8.30), ta
c th lm nh sau:
Ly o hm ca hai v ca cng thc (8.47) theo bin t ta c:
V (t, S)
t
= rV (t, S) + e
r(Tt)
_

G(Se
y
)
d(t, y)
dt
dy. (8.48)
Ly o hm ca hai v ca cng thc (8.47) theo bin S, ri nhn vi S, ta c:
S
V (t, S)
S
= e
r(Tt)
_

(Se
y
)Se
y
(t, y)dy = e
r(Tt)
_

dG(Se
y
)
dy
(t, y)dy,
trong G
l k hiu o hm ca G. V
_

d(G(Se
y
)(t, y))
dy
dy = 0
v
d(G(Se
y
)(t, y))
dy
=
dG(Se
y
)
dy
(t, y) + G(Se
y
)
d(t, y)
dy
,
nn cng thc pha trn c th vit li thnh:
S
V (t, S)
S
= e
r(Tt)
_

G(Se
y
)
d(t, y)
dy
dy. (8.49)
Tng t nh vy, ta c:
S

S
(S
V (t, S)
S
) = e
r(Tt)
_

G(Se
y
)
d
2
(t, y)
dy
2
dy.
Mt khc, S

S
(S
V (t, S)
S
) = S
2
2
V (t, S)
S
2
+ S
V (t, S)
S
, bi vy ta c:
S
2
2
V (t, S)
S
2
= e
r(Tt)
_

G(Se
y
)(
d
2
(t, y)
dy
2
+
d(t, y)
dy
)dy. (8.50)
T cc ng thc (8.48), (8.49) v (8.50) ta suy ra:
V (t, S)
t
rV (t, S) + rS
V (t, S)
S
+
1
2
2
S
2
2
V (t, S)
S
2
=
= e
r(Tt)
_

G(Se
y
)
_
d(t, y)
dt
(r

2
2
)
d(t, y)
dy
+

2
2
d
2
(t, y)
dy
2
_
dy. (8.51)
8.4. CNG THC NH GI QUYN CHN KIU U 241
chng minh rng hm V (t, S) cho bi cng thc (8.47) tha mn phng trnh
BlackScholes (8.30), ta ch cn phi kim tra rng hm mt
(t, y) =
1
_
2
2
(T t)
exp
_
(y (r

2
2
)(T t))
2
2
2
(T t)
_
tha mn phng trnh o hm ring bc 2 sau:
d(t, y)
dt
(r

2
2
)
d(t, y)
dy
+

2
2
d
2
(t, y)
dy
2
= 0. (8.52)
Khu kim tra cui cng ny l bi tp dnh cho bn c.
p dng cng thc (8.47) vo trng hp G(S) = (S X)
+
, ta c cng thc nh
gi sau cho Call kiu u:
C
E
(t, S) = e
r(Tt)
_

(Se
y
X)
+
(t, y)dy, (8.53)
trong (t, y) =
1
2
2
(Tt)
exp
_
(y(r
2
2
)(Tt))
2
2
2
(Tt)
_
, hay cn c th vit l:
C
E
(t, S) = e
r(Tt)
_

ln Xln S
(Se
y
X)(t, y)dy. (8.54)
Tng t nh vy, cho Put kiu u ta c:
P
E
(t, S) = e
r(Tt)
_
ln Xln S
(X Se
y
)(t, y)dy. (8.55)
Cc cng thc trn c th c n gin ha, bng cch khai trin v i bin, tr
thnh cc cng thc sau, gi l cng thc BlackScholes:
C
E
(t, S) = SN(d
1
) Xe
r(Tt)
N(d
2
), (8.56)
v
P
E
(t, S) = Xe
r(Tt)
N(d
2
) SN(d
1
), (8.57)
trong :
N(x) =
_
x
2
e
y
2
/2
dy (8.58)
l hm phn phi xc sut ca phn b normal chun tc N(0, 1), v
d
1
=
ln(S/X) + (r +
2
/2)(T t)
T t
, d
2
=
ln(S/X) + (r
2
/2)(T t)
T t
. (8.59)
Bi tp 8.5. Chng minh cc cng thc (8.56) v (8.57).
8.5 Cc ch ci Hy Lp
Trong ngn ng ton ti chnh, v trn th trng chng khon, cc o hm ca gi
quyn chn c gi l cc ch ci Hy Lp, bi v chng c k hiu bi cc ch ci
Hy Lp.
K hiu gi ca mt quyn chn no l V . Nh phn trn ta thy, trong m
hnh BlackScholes, th V c hon ton xc nh bi cc i lng sau: t (thi gian),
S (gi c phiu), (volatility), r (li sut), X (gi thc hin), v T (thi im o hn).
Thi im o hn v gi thc hin c c nh cho mi quyn chn, nn y s khng
coi l bin s. Bn i lng cn li, tc l t, S, , r th l bin s, v n khng c c
nh cho quyn chn, m c th thay i. Ch rng, trong lc tm cng thc nh gi
quyn chn, th ta coi v r l hng s, nhng mt khi c cng thc, th ta c th cho
php n thay i, v xem s ph thuc ca gi quyn chn theo cng thc tm c)
vo v r ra sao. S thay i v r c xy ra trong thc t, c bit l c th thay
i rt mnh, v iu c th lm cho gi quyn chn thay i rt mnh theo.
Ta s coi V = V (t, S, , r) l mt hm ca 4 bin s (k c khi n khng phi l quyn
chn kiu u tun theo m hnh BlackScholes). Cc o hm ca V theo 4 bin s ny
c gi tn nh sau:
i) delta
V
=
V
S
. (Ch ci Hy Lp delta vit l , ng vi ch ci La M d, l ch ci
u ca t derivative, tc l o hm)
ii) theta
V
=
V
t
. (Ch ci Hy Lp theta vit l , ng vi ch ci La M t, l ch ci
u ca t time, tc l thi gian)
iii) vega
V
=
V
. (Trong bng ch ci Hy Lp thc ra khng c ch ci vega, m

ngi ta ba ra n nh l tn gi Hy Lp ha ca ch v, ch ci u ca t volatility).
iv) rho
V
=
V
. (Ch ci Hy Lp rho vit l , ng vi ch ci La M r, ch ci u

ca t rate, ch mc li sut)
v) Gamma
V
=

2
V
S
2
. (Ch ci Hy lp Gamma vit l ).
Cc cng thc sau tnh cc ch ci Hy lp ti thi im t = 0 cho Call kiu u l
h qu trc tip ca cng thc BlackScholes:
i) delta
C
E = N(d
1
).
ii) theta
C
E =
S
2
2T
e
d
2
1
/2
rXe
rT
N(d
2
).
8.6. M HNH COXROSSRUBINSTEIN 243
iii) vega
C
E =
S
2
e
d
2
1
/2
.
iv) rho
C
E = TXe
rT
N(d
2
).
v) Gamma
C
E =
1
S
2T
e
d
2
1
/2
T cc cng thc trn, ta rt ra mt s kt lun sau v gi ca Call kiu u (cng
bng gi ca Call kiu M, nu c phiu khng tr c tc): C
E
l hm n iu tng theo
bin gi c phiu S (v delta dng), v l hm li (v Gamma dng). Hn na, n l
hm n iu gim theo bin thi gian t (v theta m: theta chnh l mc suy gim theo
thi gian ca gi quyn chn), n iu tng theo bin li sut, v n iu tng theo
bin volatility.
ngha ca cc ch ci Hy Lp (cc o hm ring ca hm gi quyn chn), l n
cho php tnh ton qun l ri ro cho cc danh mc u t hay bun bn chng khon
c cha quyn chn. V d, mt nh u t ang gi c phiu XYZ no , nhng e ngi
v chuyn gi ca XYZ c th giao ng mnh theo chiu hng bt li. Khi , nh u
t c th lm gim nh hng ca ti khon vo giao ng ca gi c phiu XYZ
i (tc l lm gim delta ca ti khon theo gi c phiu XYZ i), bng cch bn mt
lng Call hoc/v mua mt lng Put ca XYZ. Lng Call bn i v Put mua vo ty
thuc vo delta m nh u t mun c. Vic mua bn quyn chn nhm mc ch gim
delta nh vy c th khng lm thay i ng k k vng li nhun ca danh mc u
t, nhng lm gim c volatility, tc l lm gim ri ro cho danh mc u t, khin
cho danh mc u t tr nn hiu qu hn.
Bi tp 8.6. Chng minh rng hm gi P
E
ca Put kiu u theo m hnh BlackScholes
l hm n iu gim theo bin gi c phiu, l hm li theo bin gi c phiu, n iu
gim theo bin thi gian, n iu gim theo bin li sut, v n iu tng theo bin
volatility.
8.6 M hnh CoxRossRubinstein
M hnh nh gi quyn chn ca CoxRossRubinstein (vit tt l CRR), cng b
nm 1979
(6)
, chnh l m hnh cy nh phn bt bin ( c bn n trong Mc 7.1.4)
p dng vo vic tnh gi quyn chn. i vi cc quyn chn kiu u cho cc c phiu
(6)
Bi bo cng b l: Cox, John C., Stephen A. Ross, and Mark Rubinstein, Option Pricing: A Sim-
plified Approach, Journal of Financial Economics 7, (1979) 229-263.
khng tr c tc, th m hnh ny l mt s xp x ri rc ca m hnh BlackScholes,
v khi cc bc thi gian trong m hnh CRR tin ti 0, th kt qu cho bi m hnh
CRR tin ti kt qu cho bi m hnh Black-Scholes. V m hnh CRR l mt m hnh
ri rc, vi thut ton tnh d a vo my tnh, nn n cng c th c coi nh l mt
phng php tnh gn ng gi quyn chn cho theo cng thc ca BlackScholes. ng
dng ca m hnh CRR khng ch dng li ch lm phng php tnh cho cng thc
BlackScholes, m n cn s dng c tnh ton vi nhng loi quyn chn m m
hnh BlackScholes khng p dng c, trong c quyn chn kiu M v quyn chn
kiu Bermuda
(7)
.
Trong m hnh cy nh phn bt bin CRR, khong thi gian t thi im hin ti 0
n thi im o hn T c chia lm n on bng nhau vi di t = T/n, trong
n l mt s t nhin no (n cng ln th cng thc nh gi s cng chnh xc).
Gi S(k) l gi ca c phiu ti thi im k.t (k = 0, 1, . . . , n). Gi S = S(0) l gi ca
c phiu ti thi im ban u. Trong mi giai on t k n k + 1 ch c 2 tnh hung
ngu nhin c th xy ra, hoc tt hoc xu, xc sut ca tnh hung tt l p, ca tnh
hung xu l 1 p. Trong tnh hung tt th
S(k + 1) = u.S(k), (8.60)
cn trong tnh hung xu th
S(k + 1) = d.S(k). (8.61)
(Nu c phiu c tr mt lng c tc D ti thi im th k, th cc cng thc trn
chuyn thnh S(k + 1) = u.(S(k) D) v S(k + 1) = u.(S(k) D) trong cc tnh hung
tt v xu). H s tng gim u, d ph thuc vo volatility ca c phiu, di khong
thi gian t. C nhiu cch chn la u v d khc nhau (min sao khi n tin ti v cng,
th m hnh cy nh phn ny hi t ti m hnh thi gian lin tc c volatility bng ).
V d ta c th t
u = exp(.
t), d = exp(.
t). (8.62)
Phn b xc sut (p, 1 p) m chng ta dng tnh gi quyn chn l phn b xc
sut trung ha ri ro, theo nguyn l no-arbitrage. C ngha l, theo phn b xc sut
ny, th t l li nhun k vng phi bng mc li sut th trng, do :
pu + (1 p)d = exp(rt), (8.63)
(7)
Xem, chng hn, http://en.wikipedia.org/wiki/Option_style, v cc loi quyn chn
8.6. M HNH COXROSSRUBINSTEIN 245
trong r l mc li kp lin tc ca th trng. T ta c cng thc sau tnh p:
p =
exp(rt) d
u d
. (8.64)
Phn b xc sut ca S(k) cho thi im 0 l phn b nh thc: S(k) c th nhn mt
trong k + 1 gi tr
S(k, i) = u
ki
d
i
S, (8.65)
i = 0, . . . , k, vi cc xc sut tng ng bng C
i
k
p
ki
(1 p)
i
. (Nu nh c tr c tc gia
chng, th cng thc trn c iu chnh tng ng). Gi ca Call v Put kiu u cho
thi im o hn T theo m hnh ny l:
C = exp(rT)
_
n
i=0
C
i
n
p
ni
(1 p)
i
max(u
ki
d
i
S X, 0)
_
, (8.66)
P = exp(rT)
_
n
i=0
C
i
n
p
ni
(1 p)
i
max(X u
ki
d
i
S, 0)
_
, (8.67)
trong X l gi thc hin (strike price).
i vi quyn chn kiu M, v nh u t c th thc hin quyn mua/bn trc khi
o hn quyn chn, nn cng thc tnh gi phc tp hn. M hnh CRR cho thut ton
tnh gi quyn chn kiu M nh sau:
Tnh qui np theo k = n, n 1, . . . , 0 (k chy ngc t n v n 0). Vi mi k nh
vy, gi P(k, i) l gi ca Put kiu M ti thi im th k nu m gi ca c phiu lc
l S(k, i). Khi k = n ta c:
P(n, i) = max(0, X S(n, i)) (8.68)
Ti cc thi im k < n, P(k, i) c tnh theo cng thc qui np:
P(k, i) = max X S(k, i), (pP(k + 1, i) + (1 p)P(k + 1, i + 1)) exp(rT) , (8.69)
bi v nu X S(k, i) > (pP(k + 1, i) + (1 p)P(k + 1, i + 1)) exp(rT) 0 th nh
u t c th chn thc hin quyn Put ti thi im th k c X S(k, i) (v i
lng ny khi ln hn 0). Khi k chy v n 0, ta c
P
A
= P(0, 0) (8.70)
chnh l gi ca Put kiu M. Tng t nh vy cho Call kiu M. Thut ton trn c
vit d dng thnh chng trnh my tnh p dng tnh gi quyn chn kiu M
nhiu ni.
Ghi ch 8.4. M hnh CRR rt l tng qut v cho thut ton tng i n gin
tnh nhiu loi quyn chn khc nhau. Tuy nhin, vic tnh ton dng n php lp (k
chy t n n 0) c th tn kh nhiu cng sut my tnh. C mt s thut ton khc
c th cho php tnh gi quyn chn mt cch hiu qu hn trong mt s trng hp.
V d nh m hnh Whaley (phng php xp x bnh phng) tnh quyn chn kiu
M. M hnh ny xut hin t nm 1987 trong bi bo: G. Barone-Adesi, R. E. Whaley,
Efficient analytic approximation of American option values, Journal of Finance, Vol. 42,
No. 2, 1987, 301 320. (Xem chng hn [18]).
Ch mc
n by (leverage), 136
m an ton (cushion of safety), 137
lch chun (standard deviation), 152
tha dng, 148
o hm RadonNikodym, 217, 219
nh l CameronMartin, 219
nh l Girsanov, 222
nh l Kolmogorov, 195
nh l i ngu, 57
nh l arbitrage, 54
nh l gii hn trung tm, 198
ng c It, 215
ng li sut (yield curve), 91
ng th trng vn (capital market line),
168
a dng ha (diversification), 135
im Markowitz, 167
inh l FeynmannKac, 239
ng th trng chng khon (security mar-
ket line), 170
bt ng sn, 140
bt ng thc Jensen, 151
bnh phng kh tch, 212
b It, 208
bin phn, 201
bin phn bnh phng (quadratic variation),
201
bin hiu qu (efficient frontier), 164
cu trc k hn tng qut (general term
structure), 94
c nh t gi (pegging), 18
cy nh phn (binary tree), 179
cy nh phn bt bin (invariant binary tree
model), 181
cng thc BlackScholes, 243
cng thc dng tin chit khu, 78, 107
cng thc Fisher, 13
cng thc It, 208
c phiu, 30, 142
c phiu gi tr (value stocks), 109
c phiu tng trng (growth stock), 110
CAGR, 145
CAPM, 166
chng khon phi sinh (derivatives), 35
ch s ICOR, 133
chin lc arbitrage, 51, 188
chin lc arbitrage mnh, 51
chin lc hiu qu, 164
chuyn ng Brown (Brownian motion), 192
chuyn ng Brown hnh hc (geometric Brow-
nian motion), 203
CPI (consumer price index), 8
credit rating, 98
dng nin kim (annuity), 80
danh mc u t (portfolio), 133
danh mc th trng (market portfolio), 166
247
248 CH MC
du ng ngu nhin (random walk), 197
duration, 87
gi thc hin (strike price), 225
gi tr hin ti, 78
gi tr ni ti (intrinsic value), 101
gi tr thi gian (time value), 233
gi tr tht (fair value), 101
gi thuyt th trng hiu qu (efficient mar-
ket hypothesis), 122
gim pht (deflation), 9
gia s (increment), 193
gia s c lp (independent increments), 196
hm tha dng (utility function), 148
hm tha dng Bernoulli, 150
hm tr tin (payoff function), 236
h s beta, 126, 169
h s khuych i, 16
h s trt (drift), 182
hp ng hon i (swap), 39
hp ng k hn (forward contract), 35, 64
hp ng tng lai (futures), 35, 64
hip bin phn bnh phng, 216
implied volatility, 126
k vng theo sigma-i s con, 184
khng gian xc sut c lc (filtered proba-
bility space), 174
kinh doanh chnh lch gi (arbitrage), 49
li nhun k vng (expected return), 53
li sut (yield), 74
li sut c tc (dividend yield), 109
li sut kiu tri phiu (bond-equivalent yield),
74
li sut log (logarithmic yield), 77
lm pht (inflation), 8
lng cung tin (money supply), 6
li n (simple interest), 69
li kp (compound interest), 73
li kp kin tc (continuously compounded
interest), 76
li sut (interest rate), 11, 69
li sut chit khu (discount rate), 72
li sut coupon, 84
li sut hiu dng (effective interest rate),
74
li sut hon vn (yield to maturity), 85
li sut k hn (forward rates), 91, 96
li sut thc (real interest rate), 13
li sut tham chiu (reference rate), 17
log-normal, 203
m hnh CoxRossRubinstein, 245
martingale, 184, 185
modern portfolio theory, 157
na phng sai (semi-variance), 153
nguyn tc tng tin bng 0, 5
no-arbitrage, 188
ph mo him (risk premium), 13, 108, 151
phng sai (variance), 152
phng trnh Black-Scholes, 237
phng trnh vi phn ngu nhin (stochastic
differential equation), 182
Put-Call parity, 229
qu trnh It, 208
qu trnh ngu nhin (random process), 172
qu trnh s cp, 211
qu trnh Wiener, 192
CH MC 249
quyn chn (options), 37
quyn chn c gii hn (barrier option), 220
quyn chn kiu u (European-style option),
225
quyn chn kiu M (American-style option),
225
ri ro thm ht (shortfall risk), 154
semi-martingale, 216
tch phn It, 211
tch phn RiemannStieltjes, 209
tng cung tin (monetary aggregate), 6
tng tin bng 0, 5
t l d tr bt buc, 16
t l li nhun (rate of return), 144
th trng y (complete market), 64
th trng th cp (secondary market), 23
thi trng s cp (primary market), 23
tin t, 3
tri phiu, 28, 69, 141
tri phiu chit khu (discount bond), 72
tri phiu coupon, 83
tri phiu vnh cu (perpetual bond), 84
tri phiu zero-coupon, 74
trung ha ri ro (risk-neutral), 53, 60
vng, 4, 139
value at risk (VaR), 155
vector chin lc, 53
volatility, 124, 182, 236
volatility lch s (historical volatility), 125
250 CH MC
Ti liu tham kho
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252 TI LIU THAM KHO
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SPUTNIK EDUCATION

sao cho gi ca X s chc chn ln hn gi ca X

trong mt thi im tng lai

. Khi ngi kinh doanh chnh lch gi c th mua X v bn X

ti thi im tng lai.

l 39$ tin gi vi li sut ngn hn.

ch thnh 39.1$ d tnh

l phn b vung gc ca W trong R

. Khi xc sut trung

72 CHNG 4. LI SUT V TRI PHIU

. Khi li sut hiu dng ca n bng

252 16, v mt nm c 52 tun, mi tun c 5 ngy m ca, nhng tr i mt

nu c mt tin. Nhng n khng ni cho ta bit, l nu ri vo tnh hung xu

, gi tr chu ri ro ui), hay cn gi l tail conditional

(X) = E[X[X VaR

> t l c lp theo ngha

t) vi k vng bng 0 v phng sai bng t

> t khng ph thuc vo

t, sau khi ta chun ha n bng cch a h s volatility vo m hnh.

[X[dP < ), th E(X[() lun tn

l k hiu k vng tnh

. Hn na, hai phn b xc sut P

v P l lien tc tuyt i so vi nhau, c ngha

l s dng khi v ch khi n c o

trong nh l trn gi l phn b xc sut trung ha ri ro,

(n, .) ny chnh l cc xc sut r nhnh trung ha ri ro, m s tn ti

(n, ). Khi bit

(n, ), ta c th xy dng cc xc sut P

l k hiu k vng theo xc sut P

duy nht, vi cc xc sut r nhnh p

, khi bit tnh

vi thi gian ri rc, c

cng l 50%, trong a

). Qu trnh du ng ngu nhin ny l mt trng hp

N xut hin. s dng

c cng phn b xc sut v phn b ny

, vi xc sut 50% cho mi gi tr. Ni rng phn b xc sut ca

khng ph thuc vo c ngha l a

l hng s khng ph thuc vo .

(tc l cc im t sao cho B

khng n iu theo t trn bt c on thng no.

l hm lin tc theo t, c gi tr bng 0 ti

ti thi im bng a. Tng t nh vy, ta c th chng

bng a. V hu nh chc chn

l lin tc v nhn c gi tr m ln gi tr dng trn on thng

phi c v hn khng im trong on

ca n c bin phn bnh phng trn on thng [a, b] bt k bng ng b a :

= df/dt l o hm ca f theo t. Th nhng, B

(t) ca mt hm s kh vi f(t), th ni chung ta c th tm li

bng cch ly tch phn:

(f, g). (7.92)

(B, B). D thy rng, vi mi i ta c

(B, B) khng tin ti 0 khi mesh() tin ti 0, v bi vy khng th

> t. Trng hp tng qut suy ra

) R l phn b normal N(0, t).

cng chnh l phn b normal N(0, t). Cc

l k hiu k vng theo P

[exp(x) + exp(2 x)]

l o xc sut martingale (trung ha ri ro) trn th trng. (S tn

l hai gi thc hin

trong mi tnh hung, t suy ra 0 E

, v ta c bt ng thc cn chng minh.

, ta xt mt chin lc vi r chng khon ti

, 1 Call kiu M vi gi thc