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.12+#∀∗.+%03&+%4.5+#3%&6& 27&+##8+∀8−!+∀)7 8#8−89+%5:+/5+∀)2 8/∗;&+##∗∀#<,.028/,∀# )∗3 !/./&8/+##))7∋∀)∗ 0∗  )∗=>%∋&,8)+/∋/+%2+/7.∋? !Σ#Ο  Τ∃Α ΥΦς∃Τ ∀Α     4 &∀#,∗,.+%2+/7%&∋#)∗ .+%?+∀5+#30)≅8/5+#∋%) .)∗(+Α+∀#,Β)∗%&1)∗∗7Χ D,2)∗ΕΕ24 • ∃77,& (∋#)∗+∀&∀#.+/877,&∋?3&∋ ,/2).)3&∋+#+/88)∗27) +/Φ)∗+#77,/3&∋.Γ7∋−∗ +,/8/#∋/+/877,&&∋∀+)3# ?,8/.#∋+%7,)&Φ)∗+∀9∋#)∗77,&Γ ,8//7/∋#)∗.∀#277,&%?+? ,88∀)!/∋#)∗.+%77,&)?∋−) 5≅)+∀8.∀#7)8)∗0.,/77 8+?+)%& • ∃%,) (∋#)∗,+3∋+#Η)∗Ι∀)∃+∀& ∀)∗−).3,&.+&∋#)∗ ,+3∋+#∀))5)∗#7)∗.&)∗)?∀ 7+#ϑ:+%7)∗2+/&∋8/.++∀6+8,8/∋#)∗ .+%%,))Κ#+∀5+#30)Χ/ +#5&?/+∀6+8,%∀#12&,∋/4∋%∗ ,%,∗01,8ΚΚ#4!)∗∗7%&+#,)∗3 75+#∗7&+##98,88∗∀#∋%∗)∋∋)∗,∗0 1#,&+/.+≅4#5+Β.+%% ,),,++/.∗+/+∀6)#∀.+%5+#?,)? ∀#7∀+#1)8#.+/&.+%)4:./&3.+%% ,)738∋+#,∗0.+%5+#.+∀#)∗  Κ .−Ι1ΓϑWΞ5 • ∃Χ5+ ΛΜ7∀81Ν24 Λ1Ν+4 ΛΝ7#1Ν,+4 Λ+1Ν84 • ∃01%.#4 • ∃)8)∗∋/ • ∃3%,) ΛΦ,) Λ:/,) Λ!,)    5   +%5.+/7,%&/. ∋38Χ/∀3+∀6+86+%∋&Ο  • #−.9:02−78− ∃  8/  )? %   ∗  # , 8 )∗ ./ # 6 3Π/∋#8)2%8∋+%+∀2∀∋+#∀#ΘΡ∋%9 )(?,,8#∋+2)∗6&+∋#.∗)∗2?) 2+/7Μ)#,).+/+∀+#8)∗∋ #)∗∋#.∗?)∋#.∗, &+   &+#  %   %& Χ )∗ ./ # ?  +∀ , %&∋≅∋#.∗+/72,∋ϑ  • #−.9:0ΨΖ2 Μ)&∋∀∀8).)∗#6?/∋ +#ϑ,%)Φ+%52Χ&?∋?#++%5& .8)∗3#+#≅)5+/.+%∀8)6?/∗Φ/∋? #&∋&,8/%#∋3∋#.∗27)∗!& .Χ&?ΘΡΧ&?#∀22/∋/Κ8ΣΣ∗( =+,+?#&)3%%&Μ)&∋∀∀ 8)?+∀0)≅3∋+∀8.+%7)?,),)∗, ∋/∋?8∗8/%Κ,)8∗+%527+∀∗Χ&? )5+∀7+∀∗:+/Φ8?28)∗6?/.02))? ,+≅7/73∋##&+%. ∋%  8? ?  )∗ # +% ∋+# 5+# 3 5 2  )? 2 +/7∋/,Β.)&.02)Τ77∀8,),#& ∋+#1∋+∀,8#&+%.46#Π(  • #−.9:07∋−./ !8/ ∋# )∗ 8 )∗ 0   +∀ , 8/ %   3  08/!∀!#8∗+∀)∗+8,+∀ )1Υ8∋7)∗3&∋8∗.+%6),&# ∋/ϑ4!+7)∗2+/3#+#8)∗07)7∗ 7#3#∋+%2∋+%+%∗ ∋/.0#5.+%52!)∗+∀)∗ −0+#&∋∀,+Χ)∗0?+∀ ∋/0)300.+%+/∋/+ ,/2/∋%ϑ  • #−.9:0Ρ)2−>,>    6 #+%)#∋.7)+/#,/(/57Γ∋+% ∀8).+/77)7.#∋+%,6?/)+# .∀8)%&+∀5+,+/+#Χ)∗,/77:+/ Φ8∋−∋+∀8,5∀∋+%∗∗.5#3Π&, %3 2+/7 ∋/∗:+/Φ8.,8  0∋)∗%∋%))∗.∗)∗55.) ΘΡ8)∋/3#+#7)7∗.∀8),/77+∀&∋∀# +%)∗%&∗5Χ)∗,/77?5+#30) )#78)∗6?/∀∋.+/3&+%)∗2  • #−.9:0∗−32 ς∋/∀)+∀,87.#∋+# 5&+#8?&+∀2.++∀&.+%77,& ς6#+∀∋)∋+#∀./#∋/ ∀)+∀&∀8)∗23#+#+∀−7 .#∋2+/#./&+∀5/&:+%50&∋ 8)∗∋/#+?∋)8/7∀8&2.8)∋∀ )+?&#  • #−.9:0−8 Χ−28)∗5+#)∗∋)∗3&+#∋28)∗0)7 +∀/,∗)∗%∋?8/8)∗8# )∗∋/8/07+∀)∗∗)∗.#+#∗ )%)8/3#5+∀5+∀8∀)∗%&!,8 7&∋∋#+/&,&+##+/#5+#85 3#+∀5+∀8∀+#Χ&?+/?&6/+% 5+#)∗53.+/∋+%Γ,?#ς&?D))?(+Α )∗%)28/2+%=!!)∗#+% ∋+#)7+∀∋#)∗.∋/2+/7)∗ +∀,,=W!=Υ7∗Τ+/7∋!)∗8:+/;Χ&?,)?) +8∋#.∗+%2+/7)∗ΘΡ8)∋/0.Β8∗,?# .02+∀7∋−%&.&∋∋5+∀,+∀)  • &8342−9,7 !5 2  +%3&+# ∋ %7∋)∗ ) # 0  +% )∗ /+%,Β.)5≅ 8//∋%%8)∗75 2)∗ 7 5&?/ .5+# )∗ 7 ∋+∀ 38/ 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+∀)∗)∗∋)∗5Χ/.+∀8+∀7)∗ 8/%,)≅+∀7)8)∗./#1)+,)4 &8)∗6?/1∋/∋#74  & ?ς∃? ?∀Α  • ?−∋77,7≅,7,−07∋ Ν)∗77%&222,+∋+%6#Κ8ΣΖΧ−27)∗77%&,∋%Γ ∋)2∀)).2)+∀05 )∀))∋+#∀)7,∗/.∀))∗ 5+/87)∗77?+∀∋)∗∀38∀) [970∀5+#∋/52. ,+/∀∗22,+93+∀6∋8∋#)∗ ∀).+%77,&.%,)[95+#∗7%&.∗ 2).+%0.2)?+∀7+/ )∗,(&2,.∋/∀)#%20∋+#+%&  !+7)∗77%&)5+?∋)∗+)5&∋+∀7+/ +%8Κ+∀7)∋+#3+)∋)∗)5 ?+∀6+86+)+#∋/70+%8−57 %5ϑ+2)∋57+/∋)∗)?∋+%#)∗22,+ 97)∗77%&∋/&532)+#,+/≅+∀ &Υ.+∀2∋)∗3.) .#&++/7Τ∗)?&+∀.+//2/ )?03+/.)∋+?2+∀#7/∗∋#.∗/3,&5 ∀).∋#)∗+)&+.+5+#ϑ ?+,)&,7)∗77%&5,).+//2&∋ 2 22,+ ∋? 5 ) +#7 ∗  #   .+/ 7 / 2   7)∗77%&?)?0.+/∋,)∗.∋3,&## ∋#)∗ 22,+Υ∗37∀%5. %∗0≅)+∋+%.+%.,+/77,& !+∀6+88.+/708/55+#∗7.∗∋∀# +∀6&+?7.+//2∀#+%8Κ)+#     8 !+  !Φ)&  !∀#  Τ+∀8 5 Τ∋/+∀   +%8Κ !%5     !∀#.+% ()?8)   ∗)∗#7  !)+#7  ∋/8.   Π./&+∀∗5  +#7  +∀8   ?       52   Π./&+∀∗8&    )∗   Φ8&      !∀#.+%77,& Μ),∗∋+∀   Φ8&    7)6+/ Μ).78   Π&+∀∗5   ∋#∋#∋ .    [96+8& 7∀8     [97)∗+/+ .+           .+     [96+8&  !∀#.+%) +#+/   [97)∗+/+     #+/7      .+%)  • Ν)∗77,)∋% • !+/)∗ !+/)∗,8/.+/7,8∋#.∗3[9 3/7/∀).∋/+#7∋3 +∀+#∋)∗#+%.+%)?8∀)+∀−7 • (8.+/.∗/7/5 ))∋+∀/2∀),3+#7)∗ 6&+.+/#.∗/7/5∀)+#7%& %8 14Χ∗/.+/Κ8.+#/3,&..+∗/7/5 3∋3#Υ∋)∗)?+∀+#∋%&∋.+%∋/ ?)∀#+∀)∋/%& 148+/−9.Κ/7/2)∋+%6)∗− )+/+8/+/#)∗6&+9873 Υ8∋)∗)?%+# +6+8)∗03+/#+#7)+#/7/ %&)∗6&+−/)∋)∗∋#)∗83 +∀!/./&)37/− +%.%∗7/7/∀) [#3,)∗+.+%8/∋#)∗8∗# +∀5∋?7≅8/3#+5∋ #&+∗&,∋?88/6,∋Υ+%)%    9 )∗Φ)./&,#%60+/7∋?,∋#)∗)?∀# +8.+%,)77,&.8)∗360 +/7∋?5+#∋+#Τ∗)?+#∀#+%8Κ%&∋)∗6+86+ ∀/560+/7∋?53&+#∋8+#6,%& +∀5.+/+#7.∗/3,&∗/7/53 7.)∗3∋)∗)?%))+∋+∀7+/ #,∗3,&8##&∋/+∀& )?55Κ∀):./&.+/55Κ3, &+#7)∗5+∀9.+/7+/5/,∗,# .+/Φ)?∀,)7+/5+∀%&+∀) +/∋)∗+#∀)8/+/#7∀∀#≅5∀#7 )∋/5∋)∗/3,&+/87 ∀#−∀#∗8)∗.∗∋/Π+∀ )?)+∀,%8+/77)7)./&+∋)∗,/ .∗/3,&5∋)∗.+%∋/+∀&  • (8.+/.∗%+ Π+∀∀.+/+#7.∗/7/5∀)3 +∋∀+8.∗)?)∗3+/.∗∀))&+.+5+# ,/)).#.+%&+.+#5+&&+ 5+∀8∀#Χ∋0∋∀,988+∀6+8)?)∗%& /∋)∗88∋?5−0)?)∗ %&8∗∀)5 • Ν0∗7∋% • Ν0#,+/∀# • Ν)∗77&,Ξ • Ν0Ξ      10 ?Ε[ςΑ !Ε %  Τ[   Υ  ∴    ]8−−,2−∗ ΥΦ∗ ∋/,)! =    ]8−−, ΥΦ∗ +%&+∀2+∀! =   ∴ 28⊥)Ι00−4 5!% .# =   ] )Ι0⊥)Ι00−4 5%.3&#Τ+/ 5&&Μ# =    28⊥)Ι0?) 75! %D =   Ζ )Ι0⊥)Ι0?) 75.3&#Τ+/ 5&&Μ# =    _3,>9,−4ΡΖ1!5 ,?!+% ⊥[_! =  II.  &   !∀ ∗!∀    )?∗.#!∀ ∗!∀   ∴ ∋#! 2Φ∗   [...]... phi u th ng i ro tài chính i ro thanh kho n i ro do mua l i ch(ng khoán i ro do chuy∋n i ch(ng khoán i ro chính tr i ro trong ngành ho t )ng II CÁC PH • NG PHÁP PHÂN TÁN UT N GI N 1 Phân tán ,u t n gi n • Phân tán !u t n gi n có th c nh ngh a là: “%∋ng t t c các qu tr ng vào m t cái r ” • Khi ch n ng u nhiên n c phi u !u t (porfolios) ta c(ng có th gi m b t r i ro, n càng l n m c gi m r i ro càng l n... càng l n nh ng cu i cùng portfolios c(ng còn ph!n r i ro không th gi m c b)ng cách phân tán, ta g i ó là r i ro h th ng T ng r i ro R i ro có th phân tán R i ro h th ng (không th phân tán) S c phi u trong portfolios 2 Phân tán qua nhi∀u ngành Nhi u nhà t v n cho r)ng ch n danh m c !u t g∗m nhi u ngành thì có th phân tán c r i ro t t h n ch ch n trong m t ngành %i u này úng, nh ng nh ng nghiên c u th... >k ≤ ng xác su t phá s n nh sau L* − µp L − µp 1 n ≤ > =P σp σp L* − µp n σp 33 2 = 1 z2 1 k2 PHÂN TÁN I 1 2 3 4 5 6 NGU N C A S B T UT NH TRONG UT R R R R R R • i ro do thi!u thông tin v∀ công ty i ro do lãi su t i ro t# giá i ro do l∃a ch%n i ro do nh th&i i∋m i ro v∀ s(c mua X y ra do l m phát, khi cùng s ti n nh ng không mua c l ng hàng hóa nh tr c ây • Ch s giá c (Consumer price index -CPI) là giá... M THI U R I RO TRONG M T DANH M C B O HI M CÁC R I RO PH THU C L N NHAU 1 Các () ML =M c tr ng c a t n th t trung bình L L1 + L 2 + + L n M(L1 ) + M(L 2 ) + + M(L n ) = = n n 32 p L + L 2 + + L n DL =D 1 = n () σ i2 + i≠ j n σ i, j 2 σ i2 + = r σiσ j i≠ j i, j n 2 = σ2 p ri,j càng nh thì σ 2 càng nh p 2 Xác su t phá s n N u các r i ro không c l p, phân ph i c a L không th x p x chu n Trong tr ng... +ng Wagner và Lau ã nghiên c u v n gi m thi u r i ro khi phân tán !u t n gi n ch trong m t m c ch t l ng (ph n ánh r i ro do v∀ n ), k t qu nghiên c u cho th y: • V−n có th gi m thi u r i ro nh khi phân tán !u t n gi n qua các m c ch t l ng khác nhau • V i các m c ch t l ng khác nhau r i ro t i thi u có th t n khác nhau M c ch t l ng càng cao thì r i ro có th t n càng th p và l i su t c(ng th p t ng... R I RO TRONG M T DANH M C B O HI M 31 CÁC R I RO 1 Các C L P VÀ KHÔNG NG NH T c tr ng c a t n th t trung bình L () L1 + L 2 + + L n M(L1 ) + M(L 2 ) + + M(L n ) = = n n () L1 + L 2 + + L n D(L1 ) + D(L 2 ) + + D(L n ) = = σ2 P 2 n n ML =M DL =D p 2 Xác su t phá s n Xác su t phá s n: P L > V OL L* n NG M C 1 Hi p ph L* − µp n =P z> σp T NG QUAN GI A CÁC R I RO ng sai (Covariance) N u các r i ro ph... su t danh ngh a ph i là ε= − + = = ε 7 R i ro do bi!n )ng th tr &ng 8 R i ro do qu n lý 9 R i ro do v∗ n+ (Default risk) • Khi công ty t m th i không tr c n do thi u h t ti n m t ta nói công ty b m t kh n#ng chi tr v m t k∃ thu t %i u này có th x y ra cho c nh ng công ty ang có l i nhu n cao • Khi tài s n c a công ty ít h n n , công ty b m t kh n#ng chi tr trong tình tr ng phá s n M t công ty m t kh... u này úng, nh ng nh ng nghiên c u th c nghi m c a Giáo s Lorie và Fisher cho th y • Phân tán qua nhi u ngành không t t h n phân tán n gi n • S ch ng khoán trong danh m c t#ng quá 8 thì m c gi m r i ro không áng k Khi ch n quá nhi u ch ng khoán trong danh m c thì s phân tán ó là không c!n thi t, lúc ó nhà !u t có th g p nh ng r+c r i sau: • Không th qu n lý t t khi qu n lý quá nhi u lo i ch ng khoán... 5 Λ Τ +/ # )2 #∋ Λ Τ +/ 3 ∋ % ) 2 0 −.:∗ +# ∀ % ( /7 3 &? 2) 7 &+∀ 9 +∀8 + 0 ς Γ Μ) 2 ∋ Ξ& 0 1W Ν 0 7 0 # Α ∋ # # 2 + 4 0 , ,+.+ 30 +4 LÝ THUY T PORTFOLIO VÀ QU N TR R I RO III GI M THI U R I RO TRONG M T DANH M C B O HI M CÁC R I RO C L P VÀ NG NH T 1 nh lý gi i h n trung tâm Phân ph i c a giá tr trung bình c a n bi n ng u nhiên c l p và chung phân ph i, m i bi n có trung bình µ và ph ng sai σ 2 ,... K t qu !u t cho trong b ng d i ây Th&i gian và th&i ti!t t=1 t=2 t=3 t=4 N.ng M a N.ng & M a N.ng & M a R i ro L i su t c a H -10% 35% 20% 15% 0.263 L i su t c a D 30% -15% 0 5% 0.263 L i su t c a dm t 10% 10% 10% 10% 0 2 L+i su t và r i ro c a danh m−c ,u t N u ta phân b !u t trên n ch ng khoán, m,i ch ng khoán có l i su t ri và r i ro σ i , h s t

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