Bi 9.

M hnh CAPM v l thuyt th trng vn

a dng ha u t nhm gim thiu ri ro M hnh nh gi ti sn vn (CAPM) L thuyt th trng vn Quan h gia l thuyt th trng vn v CAPM Danh mc u t ti u

I. a dng ha u t gip ct gim ri ro

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Mi quan h gia ri ro v s lng chng khon trong danh mc

nh hng ca a dng ha u t

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nh hng ca a dng ha u t

nh hng ca a dng ha u t

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nh hng ca a dng ha u t vi nhng h s tng quan khc nhau

ng gii hn danh mc hiu qu

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II. M hnh CAPM

1. Gi nh: Th trng vn l hiu qu v hon ho Nh u t k vng nm gi chng khon trong mt nm v c 2 c hi u t: u t vo chng khon phi ri ro v u t vo danh mc c phiu thng trn th trng.

II. M hnh CAPM

2. Ni dung ca m hnh 2.1. Quan h gia li nhun c bit v li nhun th trng -ng c th chng khon (The security characteristic line) 2.2. c lng trn thc t 2.3. Quan h gia ri ro v li nhun

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2.1. Quan h gia li nhun c bit v li nhun th trng - ng c th chng khon

Gi s li nhun ca c phiu Remico v danh mc th trng TSE 300 (Toronto Stock Exchange 300 Index-Canada) ng vi 4 tnh hung khc nhau vi 2 trng thi nn kinh t

2.1. Quan h gia li nhun c bit v li nhun th trng - ng c th chng khon

Li nhun k vng ca Remico

Xc nh ?

Gi s xc sut xy ra tnh trng nn kinh t tng trng v suy thoi bng nhau
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ngha ca h s ?

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 th m t quan h gia li nhun c phiu Remico v li nhun th trng

2.2. c lng trn thc t

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2.2. c lng trn thc t

2.3. Quan h gia ri ro v li nhun

Kh nng thanh khon Kh nng sinh li: M hnh nh gi ti sn vn (The Capital Asset Pricing Model CAPM) Rj Rj : Rf : Rm : j : = Rf + ( Rm - Rf ) * j

T l sinh li k vng ca chng khon j. T l li sut khi khng c ri ro. T sut sinh li k vng ca th trng. Mc ri ro ca chng khon j.

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2.3. Quan h gia ri ro v li nhun

1. Gi nh:

III. L thuyt th trng vn

Gi nh lin quan n hnh vi ca nh u t Nh u t ra quyt nh da theo hai tham s: li nhun k vng v phng sai ca li nhun Nh u t l ngi ngi ri ro Gi nh v th trng vn Th trng cnh tranh hon ho Khng c chi ph giao dch Nh u t c th vay v cho vay mc li sut phi ri ro

th biu din quan h gia li nhun c phiu v h s

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2. ng th trng vn (Capital market line-CML) lineng th trng vn (Capital market line-CML) L thuyt th trng vn xem xt danh mc u t bao gm ti sn phi ri ro v danh mc u t hiu qu M (theo nh ngha ca Markowitz) Tp hp nhng s kt hp ca danh mc ny nm trn ng thng k t trc tung im c li nhun phi ri ro n im tip xc vi ng gii hn danh mc u t hiu qu

2. ng th trng vn (Capital market line-CML) line-

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ng th trng vn
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2. ng th trng vn (Capital market line-CML) line ngha ca ng th trng vn? ng th trng vn phn nh quan h gia li nhun k vng v lch chun ca danh mc u t gm ti sn phi ri ro v danh mc chng khon ri ro Li nhun k vng v ri ro ca danh mc u t?

2. ng th trng vn (Capital market line-CML) lineCng thc biu din ng th trng vn

wF + wM = 1 (hay wF = 1 - wM) RP = wF RF + wM RM RP = (1 - wM) RF + wM RM = RF + wM (RM - RF )

Trong : wF: T trng u t vo ti sn phi ri ro wM : T trng u t vo danh mc th trng

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Phng trnh biu din ng thng th trng vn

IV. Quan h gia l thuyt th trng vn v CAPM

Thay danh mc u t bng mt chng khon c bit j

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V d

V d
Xc nh li nhun k vng v ri ro ca danh mc Gi s c A vay $200 vi li sut phi ri ro kt hp vi $1.000 vn gc u t vo c phiu P. Li nhun k vng v ri ro ca danh mc mi thay i nh th no? Gii thch?

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Danh mc u t gm ti sn phi ri ro v mt chng khon ri ro

V. Danh mc u t ti u
Nh u t thng kt hp danh mc u t gm ti sn phi ri ro v danh mc chng khon ri ro. Danh mc ti u nm trn ng thng k t im li sut phi ri ro tip xc vi ng gii hn u t hiu qu.

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V. Danh mc u t ti u

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