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200 Bi tp phn tch V U T CHNG KHON

******
Phn II

V: BI TP TNG HP
(100 bi)
Cu 1: Sau 15 nm na bn v hu, ngoi tin lng hu bn mun c
thm bnh qun mi thng 3 tr t tin gi tit kim tiu xi. Hin ti bn
cha c ng no d tr. Trong 15 nm ti nn kinh t trong thi k pht
trin nhanh vi li sut tin gi t mc 9% nm v k t khi bn v hu li
sut tin gi ny ch t 6% nm. Nu bn mun t mc tiu trn th t nay,
hng nm bn phi b ra 1 khon tit kim l bao nhiu tin?
TL: Gi khon tin l C.
Hng nm cho n khi v hu, bn s b C vo TK dng gi.
Trong thi gian ny, li sut tin gi t 9%/nm. Nh vy, n khi v hu,
bn s c 1 khon tin l C. FVA1 (15,9%).
Khi v hu, hng thng bn tiu 3tr. Nh vy 1 nm bn tiu 36tr.
Bn khng th d on bn sng c bao lu khi v hu coi n
.
Vo thi im ny, li sut t 6%/nm
Gi tr ca khon tin ti thi im v hu l 36 tr/6%
Nh vy: C 29.361 = 600 tr C = 20.435.272 .
Cu 2: Mt ngn hng c phn c tng ti sn l 200 t ng, trong
vn vay l 150 t ng. Li thun ca NH nm nay c th l 20 t
ng. C tc d kin chi l 3 t ng. Bn hy d bo mc tng trng ca
c tc trong tng lai bng cc thng tin .
TL:

g = ROE (1 - DIV/EPS)

ROE = LN/ (Tng vn - vn vay) = 0.4


g = 0.4 (1 - 3/20) = 0.34 g = 34%.
Cu 3: Gi s ngn hng bn ang s hu 1 lng tri phiu chnh
ph, k hiu CP1 - 0102 pht hnh ngy 18/1/2002. Gim c ca bn ang
c bn chng vo ngy hm bn lm bi thi (nm nay khng phi nm
nhun 23/3/2007). Bit rng F = 100.000; C = 7.4%; Mc = 10 nm; li
sut di hn chit khu l 8.4%. Bn hy gip G ca mnh nh gi Tp
trn (ch cn vit 3 cng thc nh gi)
(v hnh)
T 18/1/07 - 23/3/07 c 65 ngy.
Gi =

65
365

1. CK trc tip

P0 =

7400
1.0841

7400
1.0842

+ ... +

7400
1.0845

100.000
1.0845

2. V P1 trc
P0 =

P1

1.0841

Trong :

P1 = 7400 +

7400
7400 100.000
+ ... +
+
1.084
1.084 4 1.084 4

3. V P1 trc
P0 = P-1 1.084
Trong : P1 =

7400
1.0841

7400
1.0842

+ ... +

7400
1.0845

100.000
1.0845

Cu 4: Cng tri gio dc c mnh gi l 500.000. Thi gian o

hn l 5 nm, c li sut gp l 40%/5 nm cn 2 nm na o hn ang bn


gi 350.000, li sut tit kim di hn 2 nm ang l 8%/nm. Trn quan
im li sut Tp bng li sut tit kim 2 nm th c mua TP trn c

khng? V sao?
TL: Mua, v:
R=

( 5 1 + 0.4 1) 100% = 6.96%

C = 6,96% 500.000 = 34.800


Gi TP ti thi im hin ti l:
P0 =

34800 34800 500.000


+
+
= 490.000
1.08
1.082
1.082

Nh vy TT ang bn r hn gi tr thc ca TP Nn mua.


Cu 5: Gi s ch s VN index hin l 1100 im, d on tr gi

ca ch s ny vo thng sau, bng PP iu tra mt s chuyn gia phn tch


chng khon, ngi ta c t liu nh sau:
VN - Index sau 1 nm

S ngi d on

1600

1500

10

1400

10

1300

10

1200

25

1100

20

1000

10

900

10

a. Hy d bo mc sinh li k vng khi u t vo Vn-Index


b. Hy d bo mc ri ro u t vo VN - Index
Vnindex

S ngi
d on

Pi

Ri

PiRi

1600

0.05

0.455

0.02275

1500

10

0.1

0.364

0.0364

1400

10

0.1

0.273

0.0273

Ri - P

(Ri - P ) Pi(Ri - P )2

1300

10

0.1

0.1822

0.0182

1200

25

0.25

0.091

0.02275

1100

20

0.2

1000

10

0.1

-0.091 -0.0091

900

10

0.1

-0.182 -0.0182

100

0.1001

Cu 6: Ngn hng ca bn c ngha v tr n theo thi hn v gi tr

theo bng sau:


Sau

Lng tin cn tr n

1 nm

12.000.000

2 nm

20.000.000

3 nm

18.000.000

4 nm

40.000.000

tn dng ngun vn, NH nh dng chin lc u t vo DM tri


phiu vi cc loi tri phiu hin c nh sau:
TP coupon 1 nm c C = 9%, F = 100.000
TP chit khu 2 nm F = 100.000
TP coupon 3 nm c C = 10%, F = 100.000
TP zero coupon 4 nm c F = 100.000
T l CK l 9%.
Bn hy gip lnh o xc nh 1 DM u t sao cho tng s tin chi
ra cho DM ny l b nht (ch yu cu lp bi ton)
TL: Gi vic u t vo mi TP ln lt l z1, x2, x3, x4
TP

LN 1 nm

107.000

LN 2 nm

LN 3 nm

LN 4 nm

Gi TP

98.165
100.000

84.168

10.000

10.000

110.000

102.532
100.000

70.843

98.165 x1 + 84.168 x2 + 105.532 x3 + 70.843 x4 min


107 x1

10.000 x3

= 12.000.000

100.000 x2 + 10.000 x3

= 20.000.000

110 x3

= 18.000.000
100.000 x4 = 40.000.000

Cu 7: Cng ty CP XYZ s c mc tng trng c tc trong 4 nm

tip theo l 20%/nm. Nhng nm sau c tc tng trng c tc n


nh mc 7%. C tc va tr l 35. Li sut yu cu ca NT vi CP ny
l 15%. Hy xc nh gi CP ny 4 nm sau.
TL:

g = 20%
g5 = 7%
DIV0 = 3$
r = 15%

DIV0 (1 + g ) (1 + g5 )
P4 =
= 83.2032
r g5
4

Cu 8: Khi vo trang web http://www.investinginbonds.com v thay

cc thng s ca TP quc t do VN va pht hnh th nhn c cc thng


tin sau (gi TP ny l 98.228$)
- YTM: 7.13 (li sut o hn bnh qun)
- Duration: 7.525 (thi gian o hn bnh qun)
- Convexity: 64.953 ( li)
1. Hy tnh thi gian o hn bnh qun iu chnh ca TP ny
2. Nu li sut TT tng 1% th gi TP gim bao nhiu $?
TL:

P = 98.228

r = 7,13%
D = 7,525
K = 64,953
a) Thi gian o hn bnh qun iu chnh MD = -D/(1 + r) = 7.024
b) dP/P(MD) = -MD dr
dP/P (K) = 1/2 K (dr)2
% thay i gi = -MD dr + 1/2 K (dr)2 = -0.06699 -6.699%
Nh vy, nu LSTT tng 1% th gi TP gim 6580$
Cu 9: Trn TT c 2 loi CK vi thng s nh sau:

Xc xut

60%

40%

Li sut CK A

20%

4%

Li sut CK B

2%

24%

Bn hy xc nh li sut k vng v ri ro u t vo 2 CK trn theo


cc phng n nh sau:
a. 100% vo CK A
b. 100% vo CK B
c. 50% vo A v 50% vo B
Bn c nhn xt g khng v kt qu trn?
PA1: 100% vo A:
E(r) = 0,6 20 + 04 4 = 13.6%
2 = 0,6 (20 - 13.6)2 + 0.4 (4 - 13.6)2 = 61.44
=

2 = 7.84%

PA2: 100% vo B:
E(r) = 0,6 2 + 04 24 = 10.8%
2 = 0,6 (2 - 10.8)2 + 0.4 (24 - 10.8)2 = 116.16
=

2 = 10.78%

PA3: 50% vo A, 50% vo B:


EAB = EA WA + EB WB = 12.2%
COVAB = 0.6 (20 - 13.6) (2 - 10.8) + 0.4 (4 - 13.6) (24 - 10.8) = -84.48
2P = 2A WA2 + 2B WB2 + 2W1W2Cov AB = 2.16

P = 2P = 1.47%
KL: PA3, 1 na u t vo A, 1 na u t vo B l c li nht v li
sut gim khng nhiu nhng ri ro li gim ng k.
Cu 10: Gi s bn mua c phiu BT6 vo ngy 26/7/2006 vi gi

42,8 ngn ng v sau n ngy 31/7 l ngy giao dch khng hng
quyn mua trong t pht hnh mi vi t l 5 : 1 (5 c phiu c mua 1 c
phiu mi vi gi 33,6 ngn ng). Gi CP ngy vo phin trc 13/7 l 45
ngn ng. Gi CP ny vo ngy 4/10 l 55 ngn ng. Bn hy tnh t sut
sinh li ca bn trong thi gian trn (26/7 4/10) khi u t vo BT6. Bit
rng s liu trn l s liu thc v trong thi gian BT 6 c tr c tc 800
cho mt CP.
Li gii

Po = 42,8 ng
P1 = 55 ng
DIV = 800
Quyn mua c phiu = 45 - 33,6 ng = 11,4 ng
T sut sinh li = (Div + (P1 - Po) + quyn mua CP)/Po =
2.4400/45.800 = 57%
Cu 11: Gi s NH ca bn c VTC l 500 t v vn vay l 190, vn

vay c thi gian o hn bnh qun l 6 thng. Gi s G NH ny kinh


doanh mo him v dng tt c vn trn cho vay u t cc danh mc u
t di hn c thi gian o hn bnh qun D = 15 nm. Li sut hin ti l
8%. Hy xc nh im v ca ngn hng ny.

Cu12:

Khi

no

trang

Web

http:www.investinginbonds.com/calcs/tipscalulator v thay cc thng s ca


TP quc t do VN va pht hnh, th nhn c cc thng tin sau: (Gi TP
ny l 98,228$).
- YTM: 7,13 (li sut o hn bnh qun)
- Duration: 7,525 (thi gian o hn bnh qun)
- Convexity: 64,953 ( li)
1. Hy tnh thi gian o hn bnh qun iu chnh ca TP ny
2. Nu li sut thng tng 1% th gi TP gim bao nhiu $?
Li gii:

P = 98,228

dy = 1%

YTM = 7,13%
MD = 7,525
li = 64,953
1. MoD = MD/(1+YTM)
2. % thay i gi = -MoD dy + 1/2 li (dy)2
Hoc D = MoD * gi (PO) = X
Nu li sut th trng tng 1% th gi TP gim X

Cu 13: Ngn hng d kin cng b li sut gi tit kim tr sau l

11% nm. Nu p dng hnh thc tr li trc th 11% trn tng ng vi


mc li sut tr trc l:
Li sut tr trc bao gi cng nh hn li sut tr sau:
Li sut tr trc = li sut tr sau / 1 + li sut tr sau = 11/1/11 = 9.9
Cu 14: Ngn hng cng b li sut gi tit kim 1 nm l 8,4% li

sut ny tng ng vi li sut kp 3 nm l:


CT li gp = (1 + r)n - 1 = (1 + 0.084)3 - 1 = 27.4%

Cu 15: Ngn hng cng b li sut gi tit kim thng l 1%, li sut

ny tng ng vi li sut kp nm l:
a. (1 + r)n*12 - 1 = (1 + 0.01)12 - 1 = 12,68%.
Cu 16: Gi tit kim 8000$ trong 15 nm, li sut 15% sau ta c:

FVn = FV (1 + r)n = 8000 (1 + 0.15)15 = 65096


Cu 17: Sau 25 nm na bn v hu, ngoi tin lng, bn mun c

thm mi nm 120tr ng t tin gi tit kim tiu xi v i du lch nm


chu. Hin bn cha c ng no d tr. Trong 25 nm ti nn kinh t thi
k pht trin nhanh nn li sut tin gi t mc 10% nm v k t khi bn
v hu li sut tin gi ny ch t 8% nm. Nu bn mun t mc tiu trn
th t nay hng nm bn phi b mt khon tit kim bao nhiu.
Li gii FVA (n, r) = C(1 + r)n - 1/r
120 tr/10% = C[1 + 8%)25 - 1] / 8% C = 16.414.535 ng.
c c khon tin trn th mi nm phi gi NH l 16.414.535
Cu 18: Ngn hng bn ang xem xt u t vo 1CP X, li sut

mong i l 11%, li sut tn phiu kho bc 8%, li sut u t bnh qun


ca th trng c phiu l 12%, CP ang xem xt c h s ri ro = 1/2 ca
bnh qun th trng, bn khuyn lnh o nn u t v:
E(R) = Rf + (Rm - Rf) = 0.08 + 0.5(0.12 - 0.08) = 10%.
Cu 19: u t 1 c phiu c li sut mong i = 16%, li sut tri

phiu kho bc l 7%, h s ri ro () = 2, mc b ri ro c phiu l 4%. Bn


c th u t vo c phiu ny v:

Mc b ri ro: E (Rp) = Rm
E(ri) = Rf

Fr

(Rm - Rf) = 0.07 - 2 (0.04) = 15% < 16%.

C th u t vo c phiu ny.
Cu 20: Gi c phiu hin ti l 37.000, d on gi c phiu trong

1 nm na, bng iu tra ta c cc s liu sau:

Gi

S ngi d on

Pi (xc sut)

Pi Ri

50

30

0,3

0,3 ((50 - 37)/37)

40

30

0,3

30

20

0,2

32

20

0,2

- Mc sinh li k vng
E(R) = Pi Ri = 0,3 (50 - 37/37) + 0,3 ((40-37/37))
+ 0,2((30-37/37)(32-37/37) = 6,49%
Mc ri ro u t (phng sai)
Er)2 = 0,3 ((50 - 37/37) - 6,49%)2 = 0,3 ((50 - 37/37)

= Pi(Ri

- 6,49%)2 + 0,2 ((50 - 37/37) - 6,49%)2 + 0,2((50 - 37/37) - 6,49%)2


So snh t s phng ai trn E(R) - nu > 1 l mc ri ro cao.
Cu 21: Trn th trng c 2 loi chng khon vi thng s nh sau:

Xc xut

60%

40%

Li sut CK A

20%

4%

Li sut CK B

2%

24%

Bn hy xc nh li sut k vng v ri ro u t vo 2 CK trn theo


cc phng n u t nh sau:
a. 100% vo CK A
b. 100% vo CK B
c. 50% vo A v 50% vo B
Bn c nhn xt g khng v kt qu tnh c?
Li gii

a:

EA = KA P = 13.6%

A =
b:

( RB EB )

EB = RB P = 10.6%

P = 7,83%

( RB EB )

B =
c:

P = 10,77%

EAB = EA WA + EB WB = 0,122 = 12,2%


AB =

( RA E A )( RB E B ) P = 0,8448

Cu 22: Cng ty A, B c xc sut mc sinh li cc nm ti nh sau:


Xc xut

Kh nng sinh

Kh nng sinh

Wi

li ca A % EA

li ca B % EB

Tng trng mc 1

0.2

-12

Tng trng mc 2

0.4

18

-2

Tng trng mc 3

0.4

24

-10

Tnh trng kinh t

a) Mc sinh li mong i ca A v B.
E(Ra) = Pi Ri = 0,2 (-12) + 0,4(18) + 0,4 (24) = 144
E(RB) = Pi Ri = 0,2 (8) + (0,4) (-2) + 0,4 (-10) = -3,2
b) nh gi ri ro u t cho mi CP
= Pi (Ria

E (Ra))2 = 0,2 (-12 - 14,4)2 + 0,4(18 - 14,4)2

+ 0,4(24 - 14,4)2 = 181,44 = 13%.


= Pi (Rib

E (Rb))2 = 0,2 (8 - (-3,2))2 + 0,4(-2 - (-3,2)2

+ 0,4 (-10 - (3,2))2 = 44,15 = 6,64%


c) Covar a, b = Pio ((Ria
3,2) + 0,4 (18 - 14,4) (-2

E (rb) (Rib

(-3,2) + 0,4 (24

E (rb)) = 0,2 (-12 - 14,4) (8 +


14,4) (-10 - (-3,2) = -83,52

Nu Covar (A, B) < 0 li sut A, B ngc chiu

kt hp nhau.

Cu 23: Bn ang s hu danh mc u t gm 4 c phiu v T s


Loi c phiu

Gi th trng ()

Pi

Mc sinh li

10.000.000

0,1

10%

20.000.000

0,2

14%

30.000.000

0,3

16%

40.000.000

0,4

15%

A. Mc sinh li tng th ca bn
E(r) = Pi Ri = 0,1 10 + 0,2 14 + 0,3 16 + 0,4 15 + 14,6%
Cu 24: Cng ty ca bn ang xem xt u t vo mt loi c

phiu c li sut mong i l 25%. Li sut ca tn phiu kho bc l 8%,


mc b ri ro khi u t vo th trng c phiu l 9%, c phiu ang xem
xt c h s ri ri = 2. Bn khuyn lnh o nu:
a. u t
b. Khng u t
E(R) = FR + (Rm - Rf) = 0.08 + 0.15 (0.12 - 0.08) = 10%
Cu 25: Mt danh mc c li sut c tnh l 20%, lch chun

20%. Tn phiu kho bc li sut l 7%. Nh u t c h s ngi ri ro A = 6


E = 20%, = 20%, Rf = 7%, A = 6
p dng CT tnh mc chp nhn phng n u t

U = E(p)

0.5 * A * 2 = 8% > Rf = 7% chp nhn u t.

Cu 26: Gi s ch s VN-Index hin ti l 540 im, d on

c ch s ny vo cui nm nay, bng phng php iu tra mt s chuyn


gia phn tch chng khon, chng ta c t liu nh sau:
VN-Index sau 1 nm

S ngi d on

500

20

550

20

600

30

650

20

700

10

a. Hy d bo mc sinh li k vng khi u t vo VN-Index


b. Hy d bo mc ri ro khi u t vo VN-Index
Li gii:

Pi = S ngi trn TS ngi = 20 trn 100% = 0,2


% tng gim VN-Index

T trng (Pi)

-0.074

0.2

0.0285

0.2

0.1111

0.3

0.2037

0.2

0.2963

0.1

E(R) = R P = 0.0926 = 9.26%


=

2 =

( R Er )

P = 0.1156 = 11.56%

Cu 27: Tri phiu chnh ph pht hnh ngy 15/7/2002, ang bn

vo ngy 22/11/2004, F = 100.000, C = 9%, Mc = 5 nm, li sut di hn


chit khu l 8%. Vit cng thc nh gi tri phiu.
15/7/2002

15/7/2003

15/7/2004

15/7/2005

15/7/2006

15/7/2007

22/11/2004
+ S ngy cn li ca TP m = (30-22+1) + (4th 30 ng + 1) = 130 ngy
+ S ln tr li cn li = 2007 - 2005 + 1 = 3
+ p dng cng thc tnh li sut theo ngy (t 22/11/2004

15/7/2005)

(1 + r)Mc/365 = a.
PV1 = C/(1 + R)1 + C(1 + R)2 + C/(1 + R)3 + F//(1 + R)3 == Po = P1/(1 + r)a

Cu 28: Cng tri gio dc c mnh gi l 500.000, thi gian o

hn 5 nm, li sut gp = 40%/nm, cn 2 nm o hn ang bn gi


600.000 , li sut tit kim di hn 2 nm ang l 8%, trn quan im gi
tr tri phiu v gi tit kim nh nhau, c mua c tri phiu trn khng?
v sao?
Po = 500.000, n = 5 nm, r = 40% / 5 nm, li sut bnh qun 1 nm
R = 5 1 + 0,4

1 = 7% = C

P = C / (1 + r) + C / (1 + r)2 + F / (1 + r)2 = (500.000 7%) / (1 +


0,08)
+ (500.000 7%) / (1 + 0,08)2 + (500.000) / (1 + 0,08)2 = 491.083
Khng nn u t v 491.083 < 600.000
Cu 29: Khch hng mun u t tri phiu A

- Thi gian o hn 4 nm, F = 100 ngn


- Tri phiu Zero coupon
- Li sut yu cu ca khch hng 9%
a)

Gi tri phiu Zero coupon


PV = F / (1 + r)n = 100/1.094 = 70,84

b)

Thi gian o hn bnh qun D = 4 (v y l TP khng li nh k th

D chnh bng thi gian o hn.


c)

Thi gian o hn bnh qun iu chnh MD


MD = -D/1 + y = -4/1.09 = -3,87

d)

li (C)
kinh doanh = n(n + 1) / (1 + y)2 = 4 * 5/1.042 = 16.83

e)

Gi tri phiu thay i ? % theo D, C, nu li sut yu cu ca khch

hng tng 1% dP / P = MD dy + 1/2 K dy2 = -3,57*0.01 + 1/2 * 16,83*0.01


= 0,03.
Nu li sut tng 1% th gi TP thay i 3,59% theo C v MD.

Cu 30: Gi s n v bn ang s hu 1 lng tri phiu, k hiu

CP4AS40 pht hnh ngy 18/01/2002, do cn vn G ca bn ang c


nh bn chng vo ngy bn ang lm kim tra (30/5/2007). Bit rng F =
100 ngn ng, C = 7,4%; M = 10 nm; Li sut yu cu m gim c t ra
l 8,4% (li sut di hn chit khu). Bn hy vit 3 cng thc nh gi
TP trn.
Li gii:

18/1/2002

18/1/2006

18/1/2007

18/7/2008

18/172009

18/7/2010

30/5/2007
T1 = 12ng; T2 = 28ng; T3 = 30ng; T4 = 31ng; T5 = 30ng TS = 131 ngy
S ngy t 30/5 n 18/1 cn 365
C1/

131 = 234 ngy, t 234/365 l

Po = 7,4/(1 + 0.084) + 7,4/(1 + 0.084)+1 + 7,4/(1 + 0.084)+2


+ 7,4/(1 + 0.084)+3 + (7,4 + 100)/(1 + 0.084)+4

C2/

P(-1) = 7,4/(1 + 0.084)1 + 7,4/(1 + 0.084)2+ 7,4/(1 + 0.084)3


+ 7,4/(1 + 0.084)4 + (7,4 + 100)/(1 + 0.084)5
Po = P(-1) (1 + 8,4)1 -

C3/

P(1) = 7,4 + 7,4/(1 + 0.084)1 + 7,4/(1 + 0.084)2 + 7,4/(1 + 0.084)3


+ (7,4 + 100)/(1 + 0.084)4
P(1) = 8,4 + 7,4PVA1 (4, 8,4%) + 100PV (4, 8,4%)
Po = P(1) / (1 + 8,4)
Cu 31: (p dng m hnh godan)

Mt cng ty X c ROE = 12,5% (thu nhp trn vn ch s hu ROE).


Cty chia c tc hng nm 40% (D/E = 40%). Bit rng cng ty c tnh thu
nhp ca 1 CP nm ti = 3$ (EPS = 3$), li sut chit khu theo yu cu ca
th trng vi cng ty l 10% (r = 10%).
Tnh gi c phiu ca Cng ty ny?

ROE = 12.5%

D/E = 40%

EPS = 3$

r = 10%

P0 = ?

P0 = DIV1/(r-g) m b = 1 - DIV/EPS
g = ROE*b = 12.5*(1-40%) = 7,5%
DIV1 = P1 * 40% = 3$*40% = 1,2$
P0 = DIV1/(r-g)/(10% - 7,5%) = 1.2/2.5% = 48$.
Cu 32: p dng m hnh chit khu 2 giai on

Mt cng ty Y d on chia c tc 2$ cho mt c phn mi nm trong


vng 3 nm ti v sau tc tng trng c tc l 6% mi nm. Gi s ls
chit khu 10%.
Tnh gi c phiu?

DIV = 2$ trong 3 nm

G4 = 6%

r = 10%

P0 = ?

P0 = PV(D3) + PV (P3)
PV(D3) = 2/(1+0.1) + 2/(1.1)2 +2/(1.1)3 = 4.97
P3 = D4/(r-g) = D3*(1 + g4)/(r-g4) (1+r)3 = 2(1+0.06)/(0.1-0.06)*(1.1)3
= 39.82
P0 = 4.97 + 39.82 = 44.79
Cu 33:

Nu bn mua 1 CP vi gi 40$, hin nay d tnh CP c hng c tc


2$ vo cui nm T1 v c tc c d on s tng u 7% hng nm. Hy
tnh t sut li nhun mong i trn c phiu
P0 = 40$

DIV1 = 2$

g = 7%

r=?

P0 = DIV1/(r-g) r = DIV1/P0 + g = 2/40 + 7% = 5% + 7% = 12%


Cu 34:

Mt cng ty ABC d on chia c tc 3$/1CP trong vng 4 nm ti


sau tc tng trng c tc l 7.5% hng nm. Gi s li sut chit khu

12%. Tnh gi c phiu.


G5 = 7.5%

r = 12%

P0 = ?

P0 = PV(D4) + PV(P4)
PV(D4) = DIV1/(1+r) + DIV2/(1+r)2 + DIV3/(1+r)3 + DIV4/(1+r)4

(a)

P4 = DIV5/(r-g) = DIV4*(1+g5)/(r-g)

(b)

3/1.12 + 3/1.122 + 3/1.123 + 3/1.124 3*1.075/(0.12-0.075)*1.124 = 54.66$

Cu 35:

Cng ty CP XYZ c mc tng trng c tc trong 3 nm u l 25%,


nhng nm tip theo tc tng trng n nh mc 7%. C tc trong ln
tr gi gn nht l 1.2$, li sut theo yu cu 12.4%. Hy xc nh gi CP
ngy hm nay?
g = 25%

DIV0 = 1.2$

g4 = 7%

r = 12.4%

P0 = ?
P0 = PV(D3) + PV(P3)
= DIV1/ (1+r) + DIV2/(1+r)2 + DIV3/(1+r)3 + P3/(1+r)3
= DIV0 (1+g)/(1+r) + DIV0 (1+g)2/(1+r)2 + DIV0 (1+g)3.(1+g4)/(1+r)3.(1g4)
= 37.17
Cu 36: Gi s VCB sau khi CPH vo u nm 2007 v tr c tc

trong 3000/c phiu cui nm nay v c mc tng trng c tc trong ba


nm tip theo l 50%/nm, nhng nm sau tc tng trng c tc
mc 10%. LS yu cu ca bn i vi CP ny l 20%. Hy nh gi CP VCB
vo u nm ti vi cc thng tin d bo trn.
Li gii:

D0 = 2000

g1 = 50%

n1 = 3 nm

g = 10%; r = 20%
D1 = D0 (1 + g1) = 4500
D2 = D0 (1 + g1)2 = 6750
D3 = D0 (1 + g1)3 = 10125
D4 = D0 (1 + g1)4 (1 + g2) = D3 (1 + g2) = 11.137,5
P3 = D4/(r + g2) = 111.375
P0 = D1/(1 + r) + D1/(1 + r)2 + P3/(1 + r)3 = 78.750
Cu 37: Cng ty XYZ c mc tng trng c tc trong 3 nm u l

25%, nhng nm tip c tc tng trng c c tc n nh l 7%. C tc


trong ln tr gn nht l 1.2$. Li sut yu cu ca nh u t vi c phiu
ny l 12.4%. Xc nh c phiu m nh u t chp nhn mua.
G(1 3) = 25%, r = 12,4%, g(4) = 7%, Do = 1,2$
C tc c chia trong 4 nm ln lt tng nm nh sau:
D1 = Do (1 + G) = 1,2 (1 + 0,25) = 1,5
D2 = D1 (1 + G) = 1,5 (1 + 0,25) = 1,875
D3 = D2 (1 + G) = 1,875 (1 + 0,25) = 2,3437
D4 = D3 (1 + G) = 2,3437 (1 + 0,07) = 2,5078
Gi CP m nh u t chp nhn mua
P4 = D4 / (r-g4) = 2,5078 / 0,124

0,07 = 46,441

Cu 38: Nm ngoi Cng ty A tr c tc 6000 /CP, c tc ny tng

u 5% trong nhng nm qua v c kh nng tng nh vy trong tng lai.


Nu li nhun yu cu ca bn vi c phiu l 13%, CP ang c bn vi
gi 72.000. Trn quan im gi tr bn c nn mua CP ny khng?
Ta c D1 = D0 (1 + g)1 = 6000 (1 + 0,05)1 = 6300
Po = D1 / (r-g) = 6300 / (0,13-0,05) = 78.750
Nh u t nn mua v 78750 > 72000

Cu 39; T l tng trng c tc ca 1 Cng ty 10% v c th duy tr

nh vy trong tng lai: t l chit khu dng thu nhp l 15%. P/E ca
Cng ty l 5.5. Ta c th d bo kh nng tr c tc ca cng ty t cc thng
tin l:
(1-b) = DIV/EPS = kh nng tr c tc
g = 10%, P/E = 5.5, r = 15%
P/E = (1-b) (1+g) / (r-g) === (1-b) = 25%.
Cu 40: Mt cng ty c t l n / Tng TS = 0.4, tng n = 200 tr trn

li rng sau thu l 30 tr, ROE = ?


ROE = Tn rng / Vn CSH = 30 / 300 = 10%
Tng n / Tng ti sn = 0.4, Vn CSH = Tng TS - Tng n = 300
Cu 41: T l tng trng c tc ca Cng ty = 11.25%, h s hon

vn CSH l 15%, kh nng tr c tc l:


g = 11.25%, ROE = 15%
g = ROE*b--b = g/ROE = 0.75 --- (1-b) = 25%
Cu 42: T l chia c tc ca 1 cng ty l 2.5%, h s hon vn ch

s hu l 15%. D bo kh nng tng trng ca cng ty l:


G = ROE b = 25% (1 - 15%) = 21,25%
Trong ROE: kh nng sinh li ca vn
Cu 43: Cng ty A c li sut yu cu 16% c c tc hin ti l

3000, nu gi hin ti ca c phiu ny l 55000, gi s t l tng trng


c tc u th tng trng c tc l bao nhiu?
Po = Do (1 + g) / r - g g = Po (r - g) / Do - 1
Cu 44: 1 ngn hng c tng ti sn l 200 t, trong vn vay l 150

t, li thun ca ngn hng nm nay c th l 15 t, t l c tc d kin


ch l 3 t. Bn d bo mc tng trng ca c tc trong tng lai
g = ROE b = (TN rong/VCSH) (1 - DPS/P)

= (15/(200-150))*(1-3/15) = 0.24 = 24%.


Cu 45: Ngn hng bn c tng ti sn l 1900 t ng, trong vn

vay l 900 t ng, li thun ca ngn hng nm nay c th l 420 t d,


c tc d kin chi l 190 t ng, bn hy d bo mc tng trng ca c tc
trong tng lai bng cc thng tin trn.
Li gii

TS = 1900 t
N = 900 t
Vn CSH = 1900 - 900 = 1000
ROE = 420/1000 = 0,42
Li nhun thun = 420 t
C tc chi = 190 t
g = ROE t l gi li
= 0,42 (1 - 190/420) = 0,23 = 23%

Cu 46: 20 nm na v hu. D nh tch gp tin gi tit kim hng

li c thm mi thng 2 triu (hin cha c ng no). Trong 20 nm ti


li sut 9%/nm. Sau LS 0,5%/thng. Hi bn phi gi bao nhiu tin mi
nm?
sau 20 nm na nhn 2tr/thng t tin gi tit kim th s tin cn
gi vo l: PV = FV/r = 2/0,005 = 400tr.
Gi s tin hng nm phi gi vo TK l X sau 20 nm na ta thu
c s tin 400tr l:
400tr = X.FVA(20,9) X = 400/FVA (20,9) = 400/51,160 = 7,92.
Cu 47: NH c tng TS l 200, trong vn vay l 170. Li thun ca

NH nm nay l 15, c tc d kin l 3. Hy d bo mc tng trng c tc

trong tng lai.


VA = 200

VL = 170

D=3

g = ROE . b

ROE = thu nhp rng / vn c ng = 15/30 = 0,5


b = 1 - D/E = 1 - 3/15 = 0,8
g = 0,5 . 0,8 = 0,4 = 40%.
Cu 48: Gi s NH ang s hu mt lng tri phiu CP, k hiu

CP4A3403 pht hnh ngy 24/9/2003. Do cn vn, G NH nh bn chng


vo ngy 7/6/2006. Bit rng F = 100 ngn, C = 9,7%; Mc = 15 nm; li
sut di hn chit khu l 10%. Hy vit 3 cng thc nh gi TP trn.

T 7/6/06 n 24/9/06 c:

8/6 n 30/6:

23 ngy (30-8+1)

1/7 n 31/7:

31 ngy

1/8 n 31/8 :

31 ngy

1/9 n 24/9:

24 ngy (24 + 1 - 1)

Tng:

109 ngy

t 109/365 =
Cch 1 (tnh t ngy o hn v thi im bn):

Po = C*PVA(n,r) + Mc*PV(n,r)
= 9,7/(1,1) + 9,7/(1,1+1) + ... + 9,7/(1,1+12) + 100/(1,1)
Cch 2: Tnh v P-1: Po = P-1 * 1,1 (1-)

P-1 = 9,7/1.1 + 9,7/1,12 + ... + 9,7/1,113 + 100/1,113


= 9,7 + PVA (, 10%)
Cch 3: Tnh v P+1:

Po = P+1trn(1,1a)

P1 = 9,7/1,1 + 9,7/(1,12) + ... + 9,7/(1,112) + 1000/(1,113)


Cu 49: Ch s Vnindex hin l 540 im, d on tr gi ca ch

s ny vo cui nm bng phng php iu tra, mt s chuyn gia c t liu


sau:

Vnindex
1 nm
sau

S
ngi
d
on

a- D bo mc sinh li k vng khi u t

Mc
chnh Pi
lch

Ri

vo VNindex
b- D bo mc ri ro khi u t vo
Vnindex.

500

20

-40 0,2 -7,4 Gii:

550

20

10

0,2 1,8 a- R = Ri.Pi = 0,2*(-7,4) + 0,2*1,8 +

600

30

50

0,3 9,2 0,3*9,2 + 0,2*20,3 + 0,1*29,6 =

650

20

110 0,2 20,3 b-2 = Pi.(R- R i) =

700

10

160 0,1 29,6 =

Cu 50: Cng tri gio dc c mnh gi 100.000, thi gian o hn l

5 nm, c li sut gp 40%/5 nm, cn 3 nm na o hn ang bn gi


110.000, li sut tit kim di hn 3 nm ang l 8%/nm. Trn quan im
li sut u t TP v gi tit kim nh nhau; c mua c TP trn khng, v
sao?
P = (F+C)/(1+r)3 = (100.000 + 100.000*0,4)/(1,083) = 140.000/1,2597
P = 111.136 > 110.000 Nn mua tri phiu ny v gi bn thp hn gi tr
Cu 51: Cng ty c mc tng trng c tc trong 3 nm u l 25%,

nhng nm tip theo c tc tng trng c tc n nh mc 7%. C tc


trong ln tr gn nht l 1,2$. Li sut yu cu ca nh u t i vi CP ny
l 12,4%. Xc nh gi CP m nh u t chp nhn mua vo u nm th 3.
DIVn = DIV0*(1+g)n
DIV1 = 1,2 * 1,25 = 1,5 DIV2 = ... = 1,875 DIV3 = ... = 2,3437
DIV4 = DIV3 * (1+g4) = 2,34*1,07 = 2,5078
P3 = DIV4/(r - g4) = 2,5078/(0,124 - 0,07) = 46,4407
P0 = PV(D3) + PV(P3)
= DIV0(1-g)/(1+r) + DIV0*(1+g)2/(1+r)2 + DIV0*(1+g)3/(1+r)3

+ DIV3*(1+g4)/)(r-g4)(1+r)3 = 37,1744
Cu 52: Vo trang web... v thay cc thng s ca TP quc t do VN

va pht hnh, ta nhn c cc thng tin sau (gi TP l 98,228$): YTM :


7,13 (LS o hn bnh qun; Duration : 7,525 (thi gian o hn bnh qun);
Convexti: 64,953 ( li). Hy tnh thi gian o hn bnh qun iu chnh
ca TP ny. Nu LS th trng tng 1% th gi TP gim bao nhiu $.
a. Modified duration MD = D/(1+r) = 7,525/(1+0,0713) = 7,024
Vy thi gian o hn bnh qun iu chnh l 7,024 nm.
b. $D = MD gi = 7,024 98,228 = 689,8995$
Vy nu li sut th trng tng 1% th gi TP gim 6,8995$.
Cu 53: NH c ngha v tr n theo thi hn v gi tr theo bng sau:

Sau

Lng tin cn tr n tn dng ngun vn, NH nh dng

1 nm 20.000.000

chin lc T vo DMTP vi cc loi TP

2 nm 40.000.000

hin c nh sau:

3 nm 38.000.000

- TP coupon 1 nm C = 9%, F = 100000

4 nm 60.000.000

- TP chit khu 2 nm C = 0, F = 100000


- TP coupon 3 nm C = 8%, F = 100000
- TP zero coupon 4 nm, F = 100000
Y = 7%
Hy xc nh mt DM T sao cho tng s
tin chi ra cho DM ny l b nht (ch cn
lp bi ton)

Gii:

Dng tin:
_______ _____________ ___________ _____________
_______
_______ _____________

_______ _____________ ___________


_______ _____________ ___________ _____________
Dng tin nm 1: 109x1

+ 8x3

20.000.000

8x3

40.000.000

108x3

38.000.000

60.000.000

100x2 +

2:
3:
4:

100x4

Gi cc loi tri phiu:


P1 = 109/1,07 = 101,87

P3 = 8/1,07 + 8/1,072 + 108/1,073 = 102,62

P2 = 100/1,072 = 87,34

P4 = 100/1,074 = 76,29

iu kin: V = min
V = 101,87x1 + 87,34x2 + 102,62x3 + 76,29x4 = min
Cu 54: C hai loi CK vi thng s sau:

Xc xut

60%

40%

Hy xc nh LS k vng v ri ro u t

Li sut CK A

20%

4%

vo 2 CK trn theo cc phng n u t

Li sut CK B

2%

24%

nh sau:

Er(AB)

11%

14%

a) 100% CK A

b) 100% vo CK B

c) 50% vo A v 50% vo B

C nhn xt

g v kt qu
Phng n 1: 100% A

Phng n 2: 100% B

ErA = 0,6 * 20 + 0,4 * 4 = 13,6%

ErB = 0,6 * 2 + 0,4 * 24 = 10,8%

A2 = 0,6(20-13,6)2 + 0,4(4-13,6)2

B2 = 0,6(2-10,8)2 + 0,4(24-10,8)2

A =

B =

Phng n 3:
Er(AB) = 0,6 * 11 + 0,4 * 14 = 12,2
AB2 = 0,6(11-12,2)2 + 0,4*(14-12,2)2
AB =
Cu 55: Mt NH c 30 t vn t c, vn vay l 150 t. Vn vay c

thi gian o hn bnh qun l 6 thng. G kinh doanh mo hiu v dng tt


c vn cho vay u t vo cc DM T di hn c thi gian o hn bnh
qun D = 15 nm. Li sut chit khu hin ti l 8%. Hy xc nh im
v ca ngn hng ny.
DA = 200 t

PA = 15 nm

DL = 150 t

PL = 6 thng = 6/12 = 0,5

Ta c $DL =
$DA =

r = 8%

1
DL.PL = 1*0,5*150/1,08 = 64,44 t
1+ r

1
DA.PA = 1*15*200/1,08 = 2777,78 t
1+ r

1. Li sut tng 1% TS n gim 69,44


2. Li sut tng 1% th TS c gim 2.777,78
Khi li sut tng r TS n gim 69,44; gi tr ti sn n = 150 - 69,44r
Khi li sut tng r TS n gim 2777,78; gi tr ti sn c = 2002777,78r
NH v khi ti sn t c = 0 150 - 69,44r = 200 - 2777,78r
r = 1,85
Vy khi LS t 8 + 1,85 = 9,85 th NH mt kh nng thanh ton. im
v ca ngn hng l 9,85%.
Cu 56: Gi s Vietcombank sau khi c phn ho (u 2006) v tr c

tc cui nm ny v c mc tng trng c tc trong 4 nm tip theo l


20%/nm, nhng nm sau c tc tng trng c tc n nh mc 8%.
LS yu cu ca bn i vi CP ny l 15%. Tnh gi CP Vietcombank vo
lc CPH u nm ti vi cc thng tin trn.
Po = DIVttrn(1+r)t + M/(1+r)t
= {10*0,2/1,15 + 10*0,2*(1+0,2)/1,152 + 10*0,2*(1,22)/(1,153) +
10*0,2*(1,23)/(1,154) + 10*0,2*(1,24)/(1,155) + 10*0,2*(1+0,08) + ...

10*0,2*1,24*(1,08n)/(1,15(n+5)

= 7,42% + (1/(1,154))*(4,187/(15%-8%)) = 41.290


Cu 57: CP A v B c xc sut mc sinh li nh sau cho cc nm ti:

Tnh trng
KT

xut sinh li A sinh li B b) nh gi ri ro u t vo mi CP

Tng trng
mc 1
Tng trng
mc 2
Tng trng
mc 3

a)

Xc Kh nng Kh nng a) Tnh mc SL mong i ca A v

0,2

-12

0,4

18

-2

0,4

24

-10

c) Tnh tch sai mong i ca LN


A&B
d) Tnh h s tng quan ca LN
A&B.
A&B c th kt hp tr kh ri ro
trong DM T hay khng? V sao?

ERA = Wi.RiA = 0,2*(-12) + 0,4*18 + 0,4*24 = 14,4


ERB = Wi.RiB = 0,2*8 + 0,4*(-2) + 0,4*(-10) = -3,2

b)

A2 = Wi*(RiA - ERA)2
= 0,2*(-12-14,4)2 + 0,4*(18-14,4)2 + 0,4*(24-14,4)2
= 181,44 A = 13,47
B2 = Wi*(RiB - ERB)2
= 0,2*(8+3,2)2 + 0,4*(2+3,2)2 + 0,4*(-10+3,2)2
= 44,16 B = 6,64

c)

CovAB = Wi*(RiA - ERA) * (RiB - ERB)


= 0,2*(-12-14,4)*(8+3,2) + 0,4*(18-14,4)*(2+3,2)
+ 0,4*(24-14,4) *(-10+3,2) = -83,52

d)

pAB = covAB/dA.dB = -83,52/(13,47*6,64) = 0,962


c th kt hp A, B trong mt danh mc
Do pAB gn -1 quan h A, B cht ch.

Cu 58: Mt nh T c 10.000.000 d nh u t trong thi hn 2,5

nm vo danh mc cc tri phiu nh sau:


- TP A, tri phiu chit khu, thi gian o hn 3 nm, F = 100.000
- TP B, tri phiu coupon 6%, thi gian o hn 2 nm, F = 100.000
Li th trng hin l 10%. Hy xc nh sao cho DM trn t mc
tiu ra v phng trnh c ri ro theo phng php trung ho ri ro li
sut.
WA : t l u t vo TP A
R = 10%

WB : t l u t vo TP B

WA + WB = 1

WADA + WBDB = 2,5

D = {)1*C/(1+r) + 2*C/(1+r)2 + ... + n*C/(1+r)n}/P


PA = F/(1+r)3 = 100000/1,1=3 = 75,131
PA = C1/(1+r) + (C2+F)/(1+r)2 = 6000/(1,1) + 6000+100000)/(1,12)
= 93,058
DA = {3*10000/(1+0,1)3}/75131 = 3

(DA = {M*F/(1+r)n}/PA)

DB = 1*{6000/(1+0,1)} + 2*{6000+100000)/(1+0,1)2} = 1,94


Ta c WA + WB = 1 v WADA + WBDB = 2,5
WA = 0,53

WB = 0,47

Vy s tin u t vo TP A l 1.000.000 * 0,53 = 530.000


s tin u t vo TB B l 1.000.000 * 0,47 = 470.000
s TP A cn mua l:

530.000/75,131 = 70,54 tri phiu

s TP B cn mua l:

470/000/93,058 = 56,50 tri phiu.

Cu 59: Gi CP Cng ty A c h s = 3. LS tn phiu kho bc l 7%,

mc b ri ro th trng CK hin ti l 8% (rm - rf = 8%). Li sut u t CP


Cng ty ny gn y l 30%. Dng cng thc m hnh nh gi TS vn
(CAPM) xem xt th trng c nh gi CP ny cao hn gi tr hay

khng. Gii thch.


M hnh CAPM: R = Rf + (Rm - Rf=) = 7 + 3*8 = 31% > 30%.
Gi CP ny c nh gi thp hn gi tr.

Cu 60: Qu VF1 c k hoch u t vo danh mc vi c cu nh

sau:
a- Chng khon nim yt 20%
b- Chng khon cha nim yt 30%
c- Tri phiu chnh ph 10%
d- u t khc 10% (bt ng sn)
Gi s ta c thng tin v ri ro nh sau: ri ro ca CK cha nim yt
(a) l 8%; ca b l 12%, d l 15%. TP Chnh ph c coi l phi ri ro v cc
thng s v tch sai nh sau:
cov(a,b) = 96

cov(a,d) = -110

cov(b,d) = -140

cov(a,c) = 0

cov(c,b) = 0

cov(c,d) = 0

Hy d bo ri ro ca VF1 theo danh mc u t v thng s cho.


P2 = Wi.i2 + Wi.Wf * cov(ri,rf)
0,2.12 = 0,2 * 0,082
Cu 61: Nm ngoi Cng ty A tr c tc 6000/c phiu. C tc ny

tng u khong 5%/nm trong nhng nm qua v c kh nng tng nh


vy trong tng lai. Nu li nhun yu cu ca bn i vi CP ny l 13%,
CP ny ang c bn gi 72.000. Trn quan im gi tr bn c nn mua
CP ny khng, v sao?
DIV1 = DIV-1(1-g)2 = 6000 (1+005)2 = 6.615
Po = DIV1/(r-g) = 6615/(0,13-0,05) = 82.687 > 72000 mua c.
Cu 62: Cng ty A c LS yu cu l 16% v c tc hin ti l 3000.

Nu gi hin ti ca c phiu ny l 55000. Gi s t l tng trng c tc


u th tng trng c tc l bao nhiu"
P0 = DIV1/(r-g) = DIV0.(1+g)/(r-g)
55000 = {3000*(1+g)/(0,6-g)} g = 20,34%
Cu 63: Mt khch hng ang mun u t vo TP A c cc thng s:

- Thi gian o hn 4 nm, F = 100000


- Tri phiu zero cupn
- Li x' yu cu ca khch hng l 9%
Hy gip khch hng xc nh:
- Gi TP m ngi u t chp nhn mua
- Thi gian o hn bnh qun (D)
- Thi gian o hn bnh qun iu chnh (MD)
- li (C)
- Gia TP bin i bao nhiu % theo D v C nu li sut yu cu ca
khch hng tng 1%. Gii thch kt qu cho khch hng.
a) P0 = 100/1,09 = 70,84
b) D = 4 v l tri phiu chit khu
c) MD = (-1/(1+y))*D = (-1/1,09)*4 = -4/1,-9 = -3.67
d) k = -n(n+1)/(1=y)2 = 4*5/(1,092) = 16,83
Dp/p = MD.dy +

1
1
(k.dy2) = -3,67*0,01 + (16,83*0,012) = 4,645$
2
2

Tc l nu li sut thay i tng 1% th gi TP thay i 4,645% theo


c li v MD.
- Tri phiu ng gi 70.840
- Thi gian thu hi vn l 4 nm.
- 1% thay i li sut th 4,645% thay i v gi theo c C v MD
Cu 64; C s liu 2 CO nh sau:

Nm

Li sut u
t CP A

Li sut

a- Xc nh thu nhp k vng u t vo A

u t CP B v B

2002

-5%

4%

b- Ri ro u t vo A v B

2003

10%

-2%

c- Tch sai ca A&B

2004

-4%

8%

d- H s tng quan gia A&B

2005

7%

-9%

Gii thch cc kt qu tnh c

a- R A = R A / n = ( 5 + 10 4 + 7 ) / 4 = 2%
R A = R B / n = ( 4 2 + 8 9 ) / 4 = 0,25%

b- 2A = R iA R A

/ ( n 1) = 68%

A = 2A = 8,24%

2B = R iB R B

/ ( n 1) = 54,92%

B = 2B = 7, 4%
c- cov ( A, B ) =

{ ( RiA RA ) * ( RiB RB )} / 3 = 45,67%

d- p(A,B) = {cov(A,B)}/(A.B) = -45,67/(7,4*8,25) = -0,748


Cu 65: Tri phiu chit khu, F = 1000000. Thi gian o hn M =

10 nm. Li sut chit khu l 9,5%


a. Hy nh gi TP ny.
b. Nu bn mua c tri phiu trn gi 350.000 th bn c li sut
u t bnh qun l ?
(g = ROE.b)
Cu 64: Mt ngn hng c phn c tng ti sn l 200 t ng, trong

vn vay l 150 t ng. Li thun ca ngn hng nm nay c th l 15


t ng. T l c tc d kin ch l 3 t ng. Bn hy d bo mc tng

trng ca c tc trong tng lai bng cc thng tin .


Cu 66: Gi s Ngn hng bn ang s hu mt lng tri phiu

chnh ph, k hiu CP4 0502 pht hnh ngy 08/08/02, Gim c ca bn
ang c bn chng vo ngy hm nay (9/05/05) (nm nay khng phi l
nm nhun). Bit rng F = 100 ngn ; C = 8,1%; M = 5 nm; li sut di
hn chit khu l 8%.
Bn hy gip Gim c ca mnh nh gi TP trn (ch cn vit mt
cng thc nh gi)
Cu 67: Cng tri gio dc c mnh gi l 200 000 ng, thi gian

o hn l 5 nm, c li sut gp 40%/5 nm, cn 3 nm na o hn, ang


bn gi 220.000 . Li sut tit kim di hn ba nm ang l 8%/nm. Trn
quan im li sut u t tri phiu v gi tit kim nh nhau, c mua c
tri phiu trn khng? V sao?
Cu 68: Gi s ch s VN Index hin l 230 im, d on tr gi

ca ch s ny mt nm sau, bng phng php iu tra mt s chuyn gia


phn tch chng khon, ngi ta c t liu nh sau:
Vn Index sau 1 nm

S ngi d on

200

10

250

30

280

30

320

20

a) Hy d bo mc sinh li k vng khi u t vo Vn-Index


b) Hy d bo mc ri ro u t vo Vn-Index.
Cu 69 Cng ty c phn XYZ c mc tng trng c tc trong 3 nm

u l 25%, nhng nm tip theo c tc tng trng c tc n nh mcs


7%. C tc trong ln tr gn nht l 1,2$. Li sut yu cu ca nh u t i
vi c phiu ny l 12,4%. Hy xc nh gi CP m nh u t chp nhn

mua vo u nm th 3.
Cu 70: Cng ty A c li sut yu cu l 16% v c c tc hin ti l

3.000. Nu gi hin ti ca c phiu ny l 55.000. T l tng trng c


tc l bao nhiu?
Cu 71: Mt ngn hng c vn t c l 20 t v vn vay l 180 t. Gi

s NH ny kinh doanh mo him v dng vn vay ngn hn 6 thng u


t vo danh mc tri phiu di hn c D = 10 nm. Li sut chit khu hin
ti l 7%. Hy xc nh im v ca Ngn hng ny (mc li sut tng
ln cn thit ti sn t c ca Ngn hng = 0).
Cu 72: Bn ang s hu danh mc u t gm 4 c phiu v thng

s ca chng nh sau:
Loi c phiu

Gi tr th trng ()

Mc sinh li (%)

150 000 000

20 000 000

14

30 000 000

16

10 000 000

15

Hy xc nh mc sinh li v k vng tng th ca bn.


Cu 73: Ngn hng ca bn c ngha v tr n theo thi hn v gi tr

theo bng sau:


Sau

Lng tin cn tr n

1 nm

20 000 000

2 nm

40 000 000

3 nm

38 000 000

4 nm

60 000 000

tn dng ngun vn, Ngn hng nh dng chin lc u t vo


danh mc tri phiu vi cc loi tri phiu hin c nh sau:

- Tri phiu coupon 1 nm c C = 9%, F = 100 000


- Tri phiu chit khu 2 nm, C = 0; F = 100 000
- Tri phiu coupon 3 nm, C = 8%; F = 100 000
- Tri phiu zero coupon 4 nm; F = 100 000
Bn hy gip lnh o xc nh mt danh mc u t sao cho tng s
tin chi ra cho danh mc ny l b nht (ch yu cu lp lun bi ton).
Cu 74: Ta c s liu v 2 c phiu theo bng sau:

Li sut u t

Li sut u t

vo CP A

vo CP B

20%

-5%

6%

Bnh thng

40,%

10%

-2%

Kh

30%

-45%

Hng thnh

10%

7%

9%

Tnh trng KT

Xc xut

Suy thoi

Bn hy:
a) Xc nh thu nhp k vng u t vo A v B
b) Ri ro u t vo A v B
c) Tch sai ca A v B
d) H s tng quan gia A v B
Hai c phiu ny c th kt hp vi nhau trong danh mc u t tr
kh ri ro khng? V sao?
Cu 75: Cng tri gio dc c mnh gi l 200.000 ng, thi gian

o hn l 4 nm, c li sut gp 40%/4 nm cn 3 nm na o hn, ang


bn gi 220.000, li sut tit kim di hn hai nm l 8%/nm, trn quan
im gi tr tri phiu, c mua c tri phiu trn khng? V sao?
Cu 76: Bn mun n khi v hu (15 nm na) ngoi tin lng hu

bnh qun mi thng bn c thm 1 triu ng tiu xi, t nay n lc v


hu mi nm bn phi gi vo tit kim bao nhiu lc v hu khon tin

dnh dm ca bn c mc sinh li tho mn mun ca bn, gi s trong


15 nm ti t nc trong giai on pht trin nn li sut bnh qun mc
cao l 9% nm, cn t khi bn v hu kinh t pht trin n nh nn li
sut ch mc 0,5% thng.
Cu 77: Tri phiu chnh ph pht hnh ngy 15/7/2002, ang bn

vo ngy 22/11/2004, F = 100.000, C = 9%, M = 5 nm, li sut di hn


chit khu l 8%. Vit mt cng thc nh gi tri phiu trn.
Cu 78: Gi mt c p hiu Hapohaco hin ti l 37.000 , d on

gi c phiu ny trong 1 nm sau, bng phng php iu tra mt s chuyn


gia phn tch chng khon, ngi ta c t liu sau:
Gi $

S ngi d on

50

30

40

30

30

20

32

20

Hy d bo mc ri ro u t vo Haphaco vi t liu.
Cu 79: Cng tri gio dc c mnh gi l 500.000 , thi gian o

hn l 5 nm, c li sut gp 40%/nm, cn 2 nm na o hn, ang bn


gi 600.000 , li sut tit kim di hn 2 nm ang l 8%/nm, trn quan
im gi tr tri phiu c mua c tri phiu trn khng? V sao?
Cu 80: Cng ty XYZ c mc tng trng c tc trong 3 nm u l

25%, nhng nm tip theo c tc tng trng c c tc n nh mc


7%. C tc trong ln tr gn nht l 1.2$. Li sut yu cu ca nh u t i
vi c phiu ny l 12.4%. Hy xc nh gi CP m nh u t chp nhn
mua.
Cu 81: Nm ngoi cng ty A tr c tc 6000 /1 c phiu, c tc ny

tng u khong 5% nm trong nhng nm qua v c kh nng tng nh

vy trong tng lai. Nu li nhun yu cu ca bn i vi c phiu ny l


13%, c phiu ang c bn gi 72.000 . Trn quan im gi tr bn c
nn mua c phiu ny khng? V sao?
Cu 82: C phiu Cng ty A v B c xc sut mc sinh li nh sau

cho cc nm ti:
Kh nng sinh li

Kh nng sinh li

ca A

ca B

0.2

-12

Tng trng mc 2

0.4

18

-2

Tng trng mc 3

0.4

24

-10

Tnh trng kinh t

Xc sut

Tng trng mc 1

a. Tnh mc sinh li mong i ca A v B


b. nh gi ri ro u t vo mi c phiu
c. Tnh tch sai mong i ca li nhun A v B
d. Tnh h s tng quan ca li nhun A v B
A v B c th kt hp tr kh ri ro trong danh mc u t hay khng?
Cu 83: Bn ang s hu danh mc u t gm 4 c phiu v thng

s ca chng nh sau:
Loi c phiu

Gi tr th trng

Mc sinh li (%)

10.000.000

10

20.000.000

14

30.000.000

16

40.000.000

15

Hy xc nh mc sinh li tng th ca bn.


Cu 84: Mt khch hng ang mun u t vo tri phiu A c cc

thng s sau:
- Thi gian o hn 4 nm; F = 100 ngn

- Tri phiu Zero cupn


- Li sut yu cu ca khch hng l 9%
Bn hy gip khch hng xc nh:
a. Gi tri phiu m ngi u t chp nhn mua
b. Thi gian o hn bnh qun (D)
c. Thi gian o hn bnh qun iu chnh (MD)
d. li (C)
e. Gi TP bin i bao nhiu % theo D v C nu li sut yu cu ca
khch hng tng 1%
f. Gii thch kt qu cho khch hng.
Cu 85; Gi mt c phiu REE hin ti l 28$, d on gi c

phiu ny trong 1 nm sau, bng phng php iu tra mt s chuyn gia


phn tch chng khon ngi ta c t liu nh sau:
Gi $

S ngi
d on

21

28

10

30

20

32

10

36

5
Hy d bo mc ri ro u t vo REE vi t liu trn. Gii thch kt

qu.
Cu 85: Cng tri gio dc c mnh gi l 200.000 , thi gian o

hn l 4 nm, c li sut gp 40%/nm, cn 3 nm na o hn, ang bn


gi 220.000 , li sut tit kim di hn 2 nm ang l 8%/nm, trn quan
im gi tr tri phiu c mua c tri phiu trn khng? V sao?
Cu 86: Bn mun v hu (15 nm na) ngoi tin lng hu bnh

qun mi thng bn c thm 5 triu ng tiu xi, t nay n lc v hu


mi nm bn phi gi vo tit kim bao nhiu lc v hu khon tin dnh
dm ca bn c mc sinh li tho mn mun ca bn, gi s trong 15
nm ti t nc trong giai on pht trin nn li sut bnh qun mc cao
l 9% nm, cn t khi bn v hu kinh t pht trin n nh nn li sut
ch mc 0,5% thng.
Cu 87: Cng ty ABC d on chia c tc 3 USD/1CP trong vng 4

nm ti v sau tc tng trng c tc l 7.5% hng nm. Gi s li


sut chit khu l 12%. nh gi c phiu ny.
Cu 88: C phiu cng ty A v B c xc sut mc sinh li nh sau

cho cc nm ti:
Kh nng sinh li

Kh nng sinh li

ca A

ca B

0.2

14

20

Tng trng mc 2

0.4

-5

-2

Tng trng mc 3

0.4

10

Tnh trng kinh t

Xc sut

Tng trng mc 1

a. Tnh mc sinh li mong i ca A v B


b. nh gi ri ro u t vo mi c phiu
c. Tnh tch sai mong i ca li nhun A v B
d. Gii thch kt qu tnh c phn B
e. A v B c th kt hp gim thiu ri ro trong danh mc u t
khng? V sao?
Cu 89: C mc sinh li ca CK A = 25%, h s = 2, RF = 8,4%,

Rm = 16% c nn u t khng?
a. u t
b. Khng u t
So snh mc sinh li ca CK A v mc sinh li ti thiu phi c trn

th trng. p dng cng thc:


E(Ri) = Rf + [E(Rm) - Rf] = 8.4 + 2 (16 - 8.4) = 23.6%
Do RA = 25% > 23.6% u t.
Cu 90: Mt danh mc c li sut c tnh l 20%, lch chuyn l

20%. Tn phiu kho bc li sut l 7%. Nh u t c h s ngi ri ro A = 6.


a. Du t
b. Khng u t
So snh mc sinh li ca tn phiu kho bc vi mc sinh li iu chnh
( tnh n h s ngi ri ro) ca nh u t:
Tm tt:
E (porotio) = 20%; = 20%; Rf = 7%; A = 6
p dng cng thc tnh mc chp nhn phng n u t (qun l

danh mc)
U = E(p) - 0.5 A 2 = 20 - 0.05 6 202 = 8%
Do U = 8% > Rf = 7% Chp nhn u t
Chn phng n a.
(H s trong cng thc l 0.5 c chuyn i thnh 0.005 quy i
n v ca t (%)2 thnh %.
Cu 91: Mt ngi sp v hu hy vng mi nm s c mt khon tin

48 triu, vy by gi mi nm anh ta phi gi vo ngn hng mt khon tin


l bao nhiu, bit 8 nm na anh ta mi ngh hu. Trong 8 nm ti li sut
lun mc 9%/nm. Sau 8 nm li sut ch cn mc 6%/nm.
Tm tt:
FV = 48 triu, r = 9%, n = 8, C = ?
Mt dng tin u vi li sut khng i (9%) trong 8 nm s tr
thnh mt chui nin kim c nh. Gi nh tin c gi vo cui mi nm.
p dng cng thc tnh gi tr tng lai ca mt dng tin ta c:

n
1 + r) 1
(
FV = C
C=

FV r

(1 = r ) 1
n

C=

48 0.09
1.098 1

= 4.3523 ( tr )

Kt lun: Vy, c c 48 triu sau 8 nm na th vo cui nm


ngi phi gi ngn hng mt khon tin c nh l 4.35 triu
Cu 92: Gi s ngn hng bn ang s hu mt lng tri phiu chnh

ph, k hiu CP$0502 pht hnh ngy 08/08/2002, Gim c ca bn c


bn chng vo ngy hm nay 13/05/2005 (nm nay khng phi nm nhun).
Bit rng F = 100.000, M = 5 nm (C = 8,1%) li sut di hn chit khu
l 8%.
Bn hy gip gim c ca mnh nh gi tri phiu trn (ch cn vit
1 cng thc nh gi).
Cu 93: Cng tri gio dc c mnh gi l 200.000 , thi gian o

hn l 5 nm, c li sut gp 40%/nm, cn 3 nm na o hn, ang bn


gi 220.000 , li sut tit kim di hn 3 nm ang l 3%/nm, trn quan
im li sut u t tri phiu v gi tit kim nh nhau, c mua c tri
phiu trn khng? V sao?
Cu 94: Gi s ch s Vn-Index hin l 230 im, d on tr gi

ca ch s ny mt nm sau, bng phng php iu tra mt s chuyn gia


phn tch chng khon ngi ta c t liu nh sau:
Vn-Index sau 1 nm S ngi d on % tng gim VN-Index T trong (Pi)
200

20

-13,04

20% (0.2)

250

30

08,70

30% (0.3)

280

30

21,40

30% (0.3)

320

20

39,13

20% (0.2)

a) Hy d bo mc sinh li k vng khi u t vo Vn-Index?


b) Hy d bo mc ri ro u t vo Vn-Index?

Cu 95: Gi s Cng ty c phn XYZ c mc tng trng c tc trong

3 nm u l 2.5%/nm, nhng nm tip theo c mc tng trng c tc n


nh mc 7%/nm. C tc trong ln tr gn nht l 12.000. Li sut yu
cu ca nh u t i vi c phiu ny l 12.4%. Hy xc nh gi c phiu
m nh u t chp nhn mua vo u nm th 3?
Cu 96: Cng ty A c li sut yu cu l 16% v c c tc hin ti l

3.000. Nu gi hin ti ca c phiu ny l 55.000. Gi s t l tng


trng c tc u th tng trng c tc l bao nhiu?
Cu 97: Bn ang s hu danh mc u t gm 4 c phiu v thng

s ca chng nh sau:
Vn-Index sau 1 nm

S ngi d on

Mc sinh li (%)

T trong (Pi)

150.000.000 (0.75)

0.75

20.000.000 (0.10)

14

0,10

20.000.000 (0.10)

16

0,10

10.000.000 (0.05)

15

0,05

200.000.000

Hy xc nh mc sinh li k vng tng th ca bn.


Cu 98: Ngn hng ca bn c ngha v tr n theo thi gian v gi tr

theo bng sau:


Sau

Lng tin cn tr n ()

1 nm

20.000.000

2 nm

40.000.000

3 nm

38.000.000

4 nm

60.000.000

tn dng ngun vn, ngn hng nh dng chin lc u t vo


danh mc tri phiu vi cc loi tri phiu hin c nh sau:

- Tri phiu coupon 1 nm c C = 9%, F = 100.000


- Tri phiu chit khu 2 nm; F = 100.000
- Tri phiu coupon 3 nm c C =8 % ; F = 100.000
- Tri phiu zero coupon 4 nm ; F = 100.000
Bn hy gip lnh o xc nh mt danh mc u t sao cho tng s
tin chi ra cho danh mc ny b nht (ch yu cu lp bi ton)
Cu 99: Mt nh u t c khon tin 10 triu v d nh u t trong

thi hn 2.5 nm vo danh mc u t c cc tri phiu nh sau:


Tri phiu A: TP chit khu, thi gian o hn 3 nm, f = 100 ngn ng
Tri phiu B: TP c coupon 6%, thi gian o hn 2 nm, F = 100 ngn ng
Li sut th trng hin ang l 10%. Bn hy xc nh gip nh u t mt
danh mc 2 tri phiu nu trn sao t mc tiu ra v phng trnh ri ro.
Cu 100: S liu v hai c phiu theo bng sau:

Tnh trng
kinh t

Xc sut

Li sut u t vo c

Li sut u t vo c

phiu A

phiu A

Suy thoi

20%

-5%

6%

Bnh thng

40%

10%

-2%

Kh

30%

-4%

8%

Hng thnh

10%

7%

-9%

Bn hy:
a. Xc nh thu nhp k vng u t vo A v B
b. Ri ro u t vo A v B
c. Tch sai ca A v B
d. H s tng quan gia A v B
Hai c phiu ny c th kt hp vi nhau trong danh mc u t tr
kh ri ro khng? V sao?

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