BI TP N TP: LI SUT V RI RO 1. Mt danh mc u t c li sut c tnh l 20%, v lch chun 20%. Tn phiu phi ri ro c li sut chc chn l 7%.

. Nhng nh u t c mc ngi ri ro A=4 s thc hin vic u t hay khng? iu g s sy ra nu A=8 2. Mt nh u t c s vn 100 tr vn d kin u t vo danh mc hn hp gm hai c phiu v tn phiu kho bc c cc d kin sau: Danh mc hn hp c ri ro bng 1,5 Danh mc c phiu c ri ro bng 1; v ca hai c phiu tng ng l 0,8 & 1,2 Xc nh thnh phn danh mc u t tha mn cc iu kin trn. 3. The Quinn Company : Nm Li sut 19X1 10% 19X2 -5% 19X3 14% 19X4 -6% 19X5 20% Gi s c phiu A hin ti c gi l 100$, khng thanh ton c tc. Gi d kin vo cui nm nay s l: Gi Xc sut 90$ 0.10 95$ 0.20 100$ 0.40 110$ 0.20 115$ 0.10 Tnh expected return & Var , SD? 4. Gi c phiu XYZ hin ti l 37$, d on gi c phiu trong 1 nm na, bng d on cho kt qu thng k nh sau:
Gi ($) 50 40 30 32 S ngi d on 30 30 20 20 Xc sut 0.3 0.3 0.2 0.2

Tnh expected return & Var , SD?

5. Tnh li sut k vng v nh gi ri ro ca c phiu A v B theo bng s liu nh sau: Tnh trng nn kinh t Tng trng mc 1 Tng trng mc 1 Tng trng mc 1 Xc sut 0.2 0.4 0.4 Li sut CP A (%) -12 18 24 Li sut CP B (%) 8 -2 -10

6. Trn th trng c 2 loi chng khon vi thng s nh sau:

Xc sut Li sut CK A 2% Li sut CK A 24% 60% 20% 40% 4%

Xc nh Li sut k vng v ri ro u t vo 2 CK trn theo cc phng n: a. 100% u t vo CK A b. 100% u t vo CK B c. u t vo CK A v B vi t trng bng nhau 7. Tnh expected return & Var , SD theo s liu ca bng sau Tnh trng nn kinh t Growth Recession Rapid expansion Xc sut 0.6 0.2 0.2 Li sut danh mc (%) 8 5 15

8. Li sut th trng v c phiu Trebli d on theo mc tng trng ca nn kinh t vi s liu nh sau: Economic condition Rapid expansion Moderate expansion No growth Moderate contraction Serious contraction Probability 0.12 0.4 0.25 0.15 0.08 Market return (%) 23 18 15 9 3 Trebli return (%) 12 9 5 1 -2

Expected return on market? Expected return on Trebli stock? 9. D on mc li sut ca chng khon P &Q trong nm ti vi kh nng ca nn kinh t xy ra nh nhau theo s liu sau: Tnh trng nn kinh t 1 2 3 4 Li sut CK P 0.04 0.06 0.09 0.04 Li sut CK Q 0.05 0.07 0.10 0.14

Tnh expected return & Var , SD ca mi chng khon. 10. Ibbotson v Sinquefield bo co v li sut chng khon ca cc cng ty nh v li sut ca T-bill M trong giai on 1986-1991 nh sau: Nm Li sut chng khon cc cng ty vn ha nh (%) 6.85 -9.3 22.87 10.18 -21.56 44.63 US T-bill (%)

1986 1987 1988 1989 1990 1991

6.16 5.47 6.35 8.37 7.81 5.60

a. Tnh li sut bnh qun ca small-company stocks v US T-bill b. Tnh Var , SD ca small-company stocks v US T-bill c. So snh li sut v ri ro ca 2 loi chng khon ni trn 11. Tnh li sut bnh qun v phng sai ca mi loi chng khon theo s liu bng sau: