THI MN M HNH TI CHNH

THI MN M HNH TI CHNHThi gian lm bi: 45 pht. Sinh vin khng c s dng ti liu.

LU

QUY NH CN THC HIN TRC KHI LM BI1. Anh/Ch phi ghi y cc thng tin sau vo trong bi lm ca mnh:

H, tn

Ngy thng nm sinh

Lp

2. Lu li bi lm vi tn File nh sau: XX_HO_TEN.XLS (XX l s bo danh trong danh sch).

3. Th mc lu bi thi l:X:\ (trng vi th mc cha thi).V d:

X:\ 05_TRAN_VAN_BINHX:\ 12_LE_THI_HOA4. Bi thi khng thc hin ng cc quy nh trn xem nh khng hp l.

NI DUNG THI 1Cho 3 chng khon A,B,C vi nhng thng tin sau:

Chng khonABC

lch chun14%18.7%13.45%

TSSL trung bnh12.4%15.3%11.2%

Ma trn h s tng quan ca cc chng khon trn l ((ij) l:

ABC

A1-0.10.2

B10.4

C1

1. Hy tnh ton ma trn phng sai hip phng sai TSSL ca 3 chng khon trn.2. Vi hng s c = 2%, hy tnh Theta ( ca danh mc c t trng u t 50% vo chng khon A, 25% vo chng khon B% v 25% vo chng khon C.3. Tm danh mc u t hiu qu sao cho Theta ( ln nht vi cc rng buc sau:

Vn u t vo mi mt chng khon khng c vt qu 50% tng vn u t ca danh mc.

Xem nh khng c mua bn khng.

Tng t trng vn u t vo cc chng khon = 100%4. Trnh by cc rng buc n hn (binding) ca m hnh trn. Cho bit ngha ca chng

NI DUNG THI 2 D liu ch s VNI Index v gi c phiu ca MNC nh sau:Thi imGi ng ca

VNI IndexMNC

31/12/1996340130

31/12/1997374154

31/12/1998392162

31/12/1999433226

31/12/2000510329

31/12/2001545367

31/12/2002615456

31/12/2003791743

31/12/2004810783

31/12/2005922940

31/12/200610691089

31/12/200712811191

Li sut tn phiu kho bc : 5%/nm. Th trng k vng VN-Index s tng trng 20% trong nm 2008. Li sut vay n di hn ca ABC l 10%, thu sut thu TNDN l 28%

Cu trc vn mc tiu ca ABC l 40% n vay v 60% vn c phn

1. Tnh WACC ca MNC da trn m hnh CAPM.2. Nu cng ty c mt d n A nh sau, theo tiu chun NPV v IRR, cng ty c chp nhn d n A hay khng, v th NPV ca d n A.n v tnh: 1000 ng.012345

Cau san pham2020202020

Doanh so700,000700,000700,000700,000700,000

Chi ph co nh20,00020,00020,00020,00020,000

Chi ph bien oi525,000525,000525,000525,000525,000

Khau hao18,00018,00018,00018,00018,000

Li nhuan trc thue137,000137,000137,000137,000137,000

Thue54,80054,80054,80054,80054,800

Li nhuan sau thue82,20082,20082,20082,20082,200

Chi ph kt thc d n sau thu-378,000

Dong tien rong -145,000100,200100,200100,200100,200-277,800

Gi : (Doanh s = cu SP * 35.000; CP bin i = 75% doanh s; thu TNDN = 40%; CF = Li nhun sau thu + khu hao).

3. Gi nh lng cu sn phm tun theo tun theo phn phi xc sut ng dng (uniform) v c th nhn c 5 gi tr sau: 18 ;19; 20; 21 v 22. Hy nh gi ri ro d n bng NPV trung bnh, lch chun NPV, xc sut u t c NPV