Nguyễn Ngọc Phan Văn

1. Can 1:
1) Tinh de>l~eh chuan, hiep plnrong sai va h~ s6 nrong quan cua danh mue
Vi 1)' trong v6n dAu nr m6i loai e6 phieu bang nhau nen 1)' l~ sinh lei eda danh muc voi xac suftt
nrong img chfnh la trung, binh cong 1)' l~ sinh Ioi e~a hai loai e6 phieu trong tirng tnrong hQ'P.
Gia tri ky vong ve 1)' l~ sinh Ioi tirng loai co phieu tinh theo cong thirc:
DAp AN DE TID HOC pHAN
TAl CHiNH DOANH NGHltP 2 _A2
i=l
Phuong sai cua tirng loai e6 phieu tinh thea cong thirc:
n
V = LPi(ki-ki
i=l
Vade> lech chuan la din b~e hai cua phirong sai.
K6t qua tinh toan d6i voi tirng loai e6 phieu va cua ca danh muc dAu nr th~ hien tren bang t6ng
hQ'P:
Xac suat
Ty l~ sinh loi
C6 phieu M C6 phieu N Danh muc M+N
0,1 14 42 28
0,2 22 24 23
0,4 28 36 32
0,2 32 24 28
0,1 40 10 25
Gia tri ky vong 27,4 29,2 28,3
Phuong sai 44,04 82,56 12,21
Be>l~eh ehuAn 6,64 9,09 3,49
Phuong sai eua danh mue dau tu:
0, 1(28-28,3i+o,2(23-28,3)2+0,4(32-28,3i+o,2(28-28,3i+o, 1(25-28,3i = 12,21%2.
Be>l~eh ehuAn eua danh mve:
a = ~12,21 = 3,49%
Hi~p phuong sai eua danh mve:
COV(M,N) =0,1(14-27,4)(42-29,2) + 0,2(22-27,4)(24-29,2) + 0,4(28-27~4)(36-29,2) + 0,2(32-
27,4)(24-29,2) + 0,1(40-27,4)(10-29,2) = -38,88%2.
H~ s6 tuong quan eua danh mve:
PAB= COV(M,N) = -38,8 =-0,64
crMcrN 6,64x9,09
2) Ty tr9ng dAu tu d~ t6i thi~u hoa rui ro va rui ro t6i thi~u eua danh mve:
2
• ~ ,;".J.. (IN - PMN(JM(JN
Ty tr9ng dau tu vao co phleu M: W M = --=-2-!.!......:2:-'--'=":"-='---'-'---
(JM + aN - 2PMN(JM(JN
W = 82,56-(-0,64x6,64x9,09) =0,5925 hay59,25%
M 44,04 +82,56 - 2(-0,64 x 6,64 x 9,09)
Ty tr9ng dAutu vao e6 phi6u N:
100% _ 59,25% '= 40,75%.
~-------------
Rui ro eua danh mve: ap =~w~a~ + w~a~ + 2wMwNPMNaMaN
=~(59,25)2 x 44,04 + (40,75)2 x82,56+ 2x59,25%x40, 75%.(-0,64 x 6,64x 9,09) =3,13%
'TCDN _TCDN2 _CDCQ_ A2 TRANG 2/2_MD: 151113001

2. Cau 2:(DVT: d6ng)
1. Trai phi~u Cong ty ABC
a. Ti~n unm6i nam: 500.000 x 13% 65.000
- Gia tri hien tai cua trai phieu trong tnrong hop tra l§j hang nam:
65.000 65.000 65.000 65.000 565.000
--+ + + + =518.024
1,12 1,122 1,123 1,124 1,125
- Gia tri trai phieu trong tnrong hop tra Utimot IAnkhi dao han:
(65.000x5 + 500.000) =468.127
1125,
b) Trong truOng,hqp tra lai hang nam, nSu gia tri trai phieu hai nam sau v§n bang gia tri hien tai
vira tinh, tY l~ sinh Urican thiet cua thi tnrong phai nho han 14%. Ta c6:
518.024 = 65.000 + 675.000 + 565.000
l-i-k (l+k)2 (l+k)3
Dung phirong phap thir IAnhrot va nQisuy.
h
= o.NP'T=-518024 65.000 65.000 565.000=6413
C on k, 11Yo, VI • + + 2 + 3 .
· 1,11 1,11 1,11
_ O. NP'T - -518024 65.000 65.000 565.000 - -6015
Chon k2-12 Yo, V 2 - • + + 2 + 3 - .
· L12 L12 L12
k=l1%+ 6.413(12%-11%) =11 51%
6.413+6015 '
Ty l~ sinh UricAnthiet cua thi tnrong giam so voi hien tai:
12% - 11,51% = 0,49%.
2. cA phi~u Cong ty XYZ
a) Tinh gia tri hien tai c6 phieu
do 5.400
dJ 5.400(1+5%) 5.670
d2 5.670(1+7%) 6.067
d, 6.067(1+7%) 6.492
d, 6.492(1+6%) 6.882
TiI nam thir illtro di, tY l~tang tnrong c6 tuc 6n djnh nen tinh dUQ'C:
P3= 6.882 = 38.233
24%-6%
" "A ., " .J... 5.670 + 6.067 + 6.492 + 38.233 = 31 976
Gla tr! hlyn t~l cua tral phleu. 1 24 1 242 1 243 1 243 ., , , ,
b) NSu gia trj hi~n ~i Cllac6 phiSu la 30.500, ta c6:
30.500 = 5.670 + 6.067 + 6.492 + 38.233
l+k (l+k)2 (l+k)3 (1+k)3
Thl.'rIAnluqt:va nQisuy.
5.670 6.067 6.492 38.233
Chonkj=26% tinhduO'c NPVI =-30.500+--+--2 +--3 + 63 =180
· ,. 1,26 1,26 1,26 1,2
5.670 6.067 6.492 38.233
Chonk2=27% tfnhduO'c NPV2 =-30.500+--+--2 +--3 + 3 =-440
· ,. 1,27 1,27 1,27 1,27
k = 26% + 180(27% - 26%) = 26,29%
180+440
Nbu v~y, tY l~ sinh UricAnthiSt Cllathj truemg d6i vai c6 phiSu tang 2,29%.
TCDN_TCDN2_CDC~A2
TRANG 2/2_:MD: 151113001

3. Call 3: (Ban vi tien: Trieu d6ng) Tinb PP, NPV va IRR cua dv an
Can cu vao s6 lieu dil cho, dang tiSn cua dtr an diroc xac dinh nhtr sau:
Chi tieu
Nam
0 1 2 3 4 5
Chi phi d~unr -16.000,00
B6 sung VLB rang -5.200,00
Khc1uhao 3.200,00 3.200,00 3.200,00 3.200,00 3.200,00
EBIT 4.500,00 7.200,00 7.800,00 8.600,00 9.100
OCF=EBIT(I-t)+D 6.575,00 8.600,00 9.050,00 9.650,00 10.025,00
Thu h6i VLB 5.200,00
Thu h6i tai san 400,00
Thu h6i Uti san rang 300,00
Dang tiSn rang -21.200,00 6.575,00 8.600,00 9.050,00 9.650,00 15.525,00
Dang tiSn luy k6 -21.200,00 -14.625,00 -6.025,00 3.025,00 12.675,00 28.200,00
Thai gian hoan von thong thirong cua dir an:
6.025
PP = 2 nam +--:::i 2,69 nam
9.050
NPV = -21.200+ 6.575 + 8.600 + 9.050 + 9.650 + 15.525 = 11.070 78
114114211431144 1145 ', , , , ,
Be tim IRR, dung plnrong phap tlnr lfrnluot va nQisuy.
Chon r =31%' NPV = -21.200+ 6.575 + 8.600 + 9.050 + 9.650 + 15.525 = 156 985
• 1 , 1 1,31 1,312 1,313 1,314 1,315 '
Chon r =32%' NPV = -21.200+ 6.575 + 8.600 + 9.050 + 9.650 + 15.525 = -295 792
• 2 , 2 1,32 1,322 1,323 1,324 1,325 '
IRR=31%+ (32%-31%) =3134%
156,985 + 295, 792 '
1. Truong bQ11ty l~ lam phat bang nam la 5%:
Dang hru kim hoat dQng trong twang hQ'Pnay duoc tinh: OCF=CF(I-t)(1 +fY+ D.t; voi CF =
EBIT + D, f la tY l~ lam phat va t la thue suMthu6 thu nhap doanh nghiep.
S6 thu h6i v6n hru dQngcling duoc diSu chinh thea tY l~ lam phat 5% m6i nam lien tuc trong 5 nam.
Can cir s6 li~u da cho, co the xac dinh dang tiSn cua du an nhir sau:
Nam
Chi.tieu 0% 1 2 3 4 5
Chi phi d~u tu -16000
B6 sung VLB rang -5.200,00
Khc1uhao 3200 3200 3200 3200 3200
EBIT 4.500,00 7.200,00 7.800,00 8.600,00 9.100,00
CF=EBIT+D 7.700,00 10.400,00 11.000,00 11.800,00 12.300,00
OCF=CF(1-t)*(1+f)"t+D.t 6.863,75 9.399,50 10.350,41 11.557,23 12.573,70
Thu h6i v6n luu dQng 6.636,66
DOng tiSn rang -21.200 6.863,75 9.399,50 10.350,41 11.557,23 19.510,36
Chi phi sir dlng von duqc dieu chinh theo tY l~ lc;tmpMt:
(1+14%)(1+5%) -1 = 19,7%.
NPV = -21.200+ 6.863,75 + 9.399,5 + 10.350,41 + 11.557,23 + 19.510,36 = 10.698 41
1,197 1,1972 1,1973 1,1974 1,1975 '
TCDN_TCDN2_CDCQ_A2 TRANG 2/2 MD: 151113001