I.

Phn tch chng khon

1. o lng t sut li tc qu kh
HPR (holding period return) = Gi tr cui k/gi tr u k
HPY (holding period yield) = HPR-1
( ) 1
n
AHPY annual holding period yields HPR =
V d: Gio trnh trang 39-41

1
0
0
100%
D P P
HPY
P
+
= ; D: c tc trong khong thi gian u t, P1 v P0 l gi
tr bn ra, gi tr mua vo
T sut li tc nm tnh trung bnh cng AM
1
1
;
n
i n
i
i
i
APHY
AM APHY
n
=
=
=

l tng
cc t sut li tc nhn c hng nm. AM th hin li tc theo nm, thng
cao hn so vi GM
T sut li tc nm tnh theo trung bnh nhn GM. GM th hin li tc cho ton
b giai on u t.

GM=AM khi t sut li tc bng nhau qua cc nm.
V d: Gio trnh trang 42-43.
2. o lng t sut li tc k vng
Yu t xc sut c a vo tnh li tc k vng. Mi mc li xut li tc
k vng ng vi mt xc sut nht nh (ghi nh: tng gi tr cc xc sut bng
1).
Li nhun k vng c tnh trn c s tng ca tt c cc li nhun k vng
ng vi mi trng thi v mt mc xc sut nht nh.
1
( ) *
n
i i
i
E R P R
=
=

Pi l xc sut xy ra trng thi i trong Ri l t sut li li tc

ti trng thi i. V d: Gio trnh trang 47.
Cu hi: Pi, Ri xc nh bng cch no???
3. Nhn t quyt nh ti t sut li tc k vng
Ri ro: to ra nhiu hn mt u ra hp l.
- Ri ro kinh doanh
- Ri ro ti chnh
- Ri ro thanh khon
- Ri ro t gi
- Ri ro quc gia
- Ri ro li sut
- Ri ro thanh ton
- Ri ro ti u t
- Ri ro phi h thng
- Ri ro h thng
o Lm pht
o Li sut
o Chnh sch tin t
o Chu k kinh doanh
o Khng hong kinh t
o Bin ng chnh tr, kinh t
o Thin tai
- V d trang 55, 56: E(W)=1220, li tc k vng l 220
Cu hi: lm th no xc nh xc sut 0.6 v 0.4??? lin h th no vi
t sut li tc qu kh???
Chp nhn ri ro: Li tc k vng: 220
Khng chp nhn ri ro: Li tc 50
170 triu chnh lch l phn b k vng cho vic chp nhn ri ro
4. o lng ri ro
Phng sai, lch chun ca t sut li tc
Phng sai v lch chun ln chng t ti sn cng ri ro Ti sao???
Bin dao ng ca t sut li tc: Cng ln th ti sn cng ri ro
T sut thp hn mc k vng bn phng sai
| |
2
2
1
* ( )
n
i i i
i
P R E R o
=
=

Pi l xc sut xy ra trng thi i v Ri; Ri l t sut li tc

chng khon trng thi i
V d: Gio trnh trang 57, 58, 59
lch chun o
H s bin thin CV (coefficient of variation): s dng khi c s chnh lch qu
ln gia cc t sut li tc k vng, o bin thin tng i ca ri ro. (V
d trang 59).
CV cng nh, ri ro ca ti sn cng nh v ngc li.
( )
(

)
CV coefficient of variation
E R
o
=
5. o lng ri ro vi d liu qu kh
C s xc nh: S dng HPY t sut li tc thi k trong qu kh
| |
2
2
1
(HPY) / ( 1)
n
i
i
HPY E n o
=
=

; HPYi l t sut li tc nhn c trong thi

k i, E(HPY) l t sut li tc k vng bnh qun qua cc thi k (theo phng
php trung bnh cng).
6. o lng t sut li tc k vng v ri ro ca danh mc u t
6.1. T sut li tc k vng ca danh mc u t
1 1
( ) ( ); 1
n n
p i i i
i i
E R AE R A
= =
= =

V d trang 60