TI U HA PHI TUYN

CHNG 3

Financial Modeling

3.1 GiI THIU M HNH PHI TUYN

Trn thc t c nhiu vn trong kinh t v trong cc

hot ng kinh doanh c nhng mi lin h vi nhau
khng phi l mi quan h tuyn tnh m l phi tuyn.

S tn ti cc mi quan h khng theo t l ( doanh s

t c khng theo t l vi gi bn v gi bn c th
tng v doanh s c th gim.

S tn ti cc mi quan h khng mang tnh cng b

sung (ri ro ca danh mc s khc vi bnh qun gia
quyn ca 2 chng khon trong danh mc ny.

S hiu qu v khng hiu qu theo quy m (khi sn

lng tiu th vt qu mt mc gii hn no th
tng nh ph v bin ph n v s thay i)

Financial Modeli

3.1 GiI THIU M HNH PHI TUYN

Bt c gi tr no ca x m ti o hm ring = 0 gi l
im dng.

Ti gi tr ti u a phng (ti thiu hoc ti a) tt c cc

o hm ring phi = 0. im ti u cc i hoc cc tiu
lun l im dng.

Vic thit lp cc o hm ring cp 1 bng 0 trong mt

hm n bin s to ra n h phng trnh. Ngoi tr trng hp
h phng trnh l tuyn tnh, th i vi trng hp hm phi
tuyn (v d hm s gc l hm bc 3) khng d dng tm li
gii v s khng kh thi khi gii bng tay.

iu kin th 2 kh phc tp, yu cu phi tnh ton cc

nh thc ca cc ma trn o hm ring cp 2. Trn thc t,
ngay c trong trng hp hm f ch c mt hay hai bin s
nhng qu phc tp th dng nh chng ta vn khng c
kh nng gii bng th cng bi ton ti u ny.

Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Gii php ti u ca m hnh phi tuyn khng phi lun

lun ti gc nh ca m hnh tuyn tnh
Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Gii php ti u trong m hnh danh mc u t

Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Trong phng php The hillclimbing m Solver p dng
cho bi ton tm gi tr cc i, mt im dng u tin
s c chn, sau hng th tng dn c thc hin
bng cch phng chng cc mc thay i ban u dc
theo ng gi tr ti u (Optimal Value OV) tng
dn, ti im cao nht c th t c ca ng ny.
Phng php ny s kt thc khi cc mc thay i phng
chng theo tt c cc hng (o hm ring cp 1) tin
dn v 0 (iu kin th nht c tha mn). Nhng im
ny khi s lun l im cc tr a phng hoc im
ti u a phng. Nhng im ti u khc c tip
tc tm kim bng cch khi ng li chng trnh ti u
ha, bt u ti mt im khi s khc cho gi tr ban
u cc bin s ca m hnh.
Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

S so snh gia LP v NLP
C mt vi im tng ng gia LP v NLP. V d:
Mt s gia tng (hay gim) RHS ca bt phng trnh
rng buc () s ni lng iu kin rng buc. iu
ny khng lm co li v c th m rng vng kh thi.
Vic ni lng iu kin rng buc khng lm tn hi v
c th gip gia tng gi tr mc tiu ti u.
Vic tht cht iu kin rng buc khng gip ch v c
th gy tn hi gi tr mc tiu ti u.

Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Gi tr ti u a phng (cc tr a phng) so vi
gi tr ti u ton cc (cc tr ton cc)
Trong m hnh LP cc tr a phng cng l cc tr ton
cc
Trong m hnh NLP c th va c cc tr a phng v
va c ca tr ton cc.
Gi tr cc i ton cc l im cc i theo rng buc
ton cc bi v gi tr ca hm mc tiu ti im ny l
ln nht so vi tt c cc im kh thi khc.
Trong m hnh NLP tm ra cc tr ton cc t cc cc tr
a phng cn phi b sung cc iu kin cc iu kin
li v iu kin lm. Nhng iu kin ny phi c tha
mn m bo rng gi tr ti u ha a phng cng
s l gi tr ti u ha ton cc.
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3.2 TI U HA PHI TUYN QUA TH

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3.3 S DNG SOLVER CHO M HNH PHI TUYN

Trong m hnh LP, Solver s dng phng php di

chuyn t gc ny sang gc khc trong cc vng kh thi

Trong m hnh NLP, Solver s dng phng php leo

dc da trn tin trnh tm kim dc c gim thiu

chung v phng php ny cn c gi l GRG.
Cc bc ca tin trnh ny c thc hin nh sau:
S dng cc gi tr ban u ca cc bin s quyt nh
tnh ton mt hng i c sao cho ci thin nhanh
nht gi tr ca hm mc tiu.
Solver li th mt hng tnh ton mi t mt im khi
s mi, tin trnh trn c lp li cho n khi gi tr OV
khng cn c ci thin tt hn trn bt k mt hng
mi no th tin trnh tm kim gi tr ti u kt thc.
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3.4 M HNH QUN L HNG TN KHO EOQ

Kin thc nn ti chnh
Cc chi ph lin quan n tn kho
Ti cng mt thi im khi mt doanh nghip c
hng nhng li ch t vic s dng hng tn kho th
cc chi ph c lin quan cng pht sinh tng ng, bao
gm:
Chi ph t hng (Ordering costs)
Chi ph tn tr (Carrying costs)
Chi ph thit hi do kho khng c hng (Stockout costs)

Financial Modeli

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3.4 M HNH QUN L HNG TN KHO EOQ

Kin thc nn ti chnh
Chi ph t hng
Chi ph t hng bao gm cc chi ph giao dch, chi ph vn
chuyn v chi ph giao nhn hng. Chi ph t hng c tnh
bng n v tin t cho mi ln t hng.
Chi ph tn tr
Chi ph tn tr bao gm tt c cc chi ph lu gi hng trong kho.
Chi ph tn tr c tnh bng n v tin t trn mi n v
hng lu kho hoc c tnh bng t l phn trm trn gi tr
hng lu kho trong mt thi k.
Chi ph thit hi khi khng c hng (hng tn kho ht)
Chi ph thit hi do hng tn kho ht (Stockout costs) xy ra bt
c khi no doanh nghip khng c kh nng giao hng bi v
nhu cu hng ln hn s lng hng sn c trong kho.
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3.4 M HNH QUN L HNG TN KHO EOQ

Kin thc nn ti chnh
Gi Q l lng hng tn kho cho mi ln t
hng. Ti thi im u k, lng hng tn kho l
Q v thi im cui k l 0 nn s lng tn
kho bnh qun trong k l:

QO Q

2
2

Gi C l chi ph lu gi cho mi n v hng tn kho th

tng chi ph lu gi hng tn kho trong k l:

Q
xC
2

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3.4 M HNH QUN L HNG TN KHO EOQ

Kin thc nn ti chnh
Gi S l lng hng tiu th trong k nn s ln t
hng trong k l

S
Q
Gi O l chi ph cho mi ln t hng th tng chi ph
t hng trong k l:

S
xO
Q
Gi TC l tng chi ph th:

Q
S
TC x C x O
2
Q
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3.4 M HNH QUN L HNG TN KHO EOQ

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3.4 M HNH QUN L HNG TN KHO EOQ

V d:
Cng ty bn s Steco c nhu cu hng ha mi thng
duy tr mc n nh l vo khong 5.000 sn phm
(60.000 sn phm/nm).
Gi nh chi ph cho mt ln t hng ca cng ty Steco
l 25$.
Chi ph lu gi tnh trn mi sn phm tn kho bao gm
chi ph c hi ca vn l 20% trn gi mua vo v chi
ph tn tr l 4% trn gi mua vo mi sn phm. Vy
chi ph lu gi cho mi n v hng tn kho l 24% x
8,00$ = 1,92$.

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3.6 M HNH QUN L HNG TN KHO EOQ

Bi ton ti u ha ca cng ty Steco
Hm mc tiu:

60.000
Q
TC
x 25 $
x 1,92$ Min
Q
2
Bin s ra quyt nh
Q
Rng buc:
Q >= 1

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YU CU
Chuyn m hnh ti u ha trn vo bng tnh
Dng Solver gii quyt v so snh kt qu ca Cng
thc tn kho ti u:

2SO
Q
C
*

Thc hnh vi m hnh EOQ chit khu theo s lng

t hng

Financial Modeli

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3.5 NG DNG M HNH PHI TUYN

M hnh danh mc (portfolio)
Khung tnh hung:
Cc nh qun l danh mc u t lun tm kim ri ro thp v t
sut sinh li cao nn c gng tt a ha t sut sinh li (ng vi
ri ro cho php) hoc ti thiu ha ri ro (vi gii hn v ri ro).
Nh u t cn xc nh t trng ti u vo cc loi chng khon
trong danh mc.
Tp hp cc quyt nh kh thi phi tha mn cc rng buc.
Tng t trng u t = 1 (gii hn chnh sch u t ht)
T trng mi loi phi cao hn hoc thp hn 1 con s cho php (gii
hn chnh sch a dng ha)
T trng phi >=0 (gii hn chnh sch khng bn khng).
Tng vn u t nh hn ngun vn c sn (gii hn t nhin)
Ri ro thp hn 1 mc no hoc TSSL phi cao hn mc cho
php.

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3.5 M HNH PORTFOLIO

Bi ton ti u ha
Hm mc tiu:
TSSL danh mc -> Max
Hoc RR danh mc -> Min
Bin s ra quyt nh:
T trng u t vo cc chng khon (xi)
Rng buc:
- Rng buc v vn u t.
- Rng buc v u t ht.
- Gii hn v trn ri ro hoc sn TSSL.
- Rng buc v bn khng v a dng ha.

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3.5 M HNH PORTFOLIO

Kin thc nn ti chnh
xi l t trng u t vo c phiu i.
i2 = phng sai ca chng khon th i
12 = hip phng sai gia t sut sinh li c phiu 1 v
2
ri = t sut sinh li mong i hng nm ca c phiu i
b = t sut sinh li ti thiu mong i hng nm t
tng s tin u t vo danh mc
Si = mc u t ti a vo c phiu th i ; i = 1,2

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3.5 M HNH PORTFOLIO

Bi ton ti u ha
Hm mc tiu:
12x12 + 212x1x2 + 22x22 > Min
Bin s ra quyt nh:
x 1, x 2
Rng buc
x1 + x2 = 1

(tt c s tin phi c u t ht)

x 1r 1 + x 2r 2 b

(t sut sinh li mong i ti thiu

ca danh mc)
x 1 S1

(mc u t ti a vo c phiu 1)

x 2 S2

(mc u t ti a vo c phiu 2)

x 1, x 2 0
Financial Modeli

(khng c bn khng c phiu)

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YU CU
Chuyn bi ton ti u ha trn vo bng tnh
S dng Solver gii quyt
So snh vi kt qu ha trong sch
Thc hnh vi danh mc gm 3 chng khon.
BI TP LN:
S dng s liu thc t lp v gii quyt m hnh
Portfolio trong thc t (S lng chng khon trong
danh mc l 5)

Financial Modeli

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M HNH PORTFOLIO
CHNG 8

Financial Modeling

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8.1 TNG QUAN

Khung tnh hung
Hm mc tiu:
TSSL danh mc -> Max
Hoc RR danh mc -> Min
Bin s ra quyt nh:
T trng u t vo cc chng khon (xi)
Rng buc:
- Rng buc v vn u t.
- Rng buc v u t ht.
- Gii hn v trn ri ro hoc sn TSSL.
- Rng buc v bn khng v a dng ha.

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8.2 CC K HIU
E(ri) l t sut sinh li mong i ca ti sn i

Var(ri) phng sai ca t sut sinh li ti sn i

Cov(ri;rj) l hip phng sai ca gia ti sn i v ti sn

j. Cov(ri;rj) l ij
Var(ri) l ii

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8.3 M HNH 2 CHNG KHON

T s liu gi ng ca vo cui mi thng (tun, ngy)
ca mi c phiu, chng ta tnh ton t sut sinh li
hng thng (tun, ngy) ca mi c phiu.

PAt

rAt ln

P
A,t 1
y l cng thc tnh theo k ghp li lin tc, trong
trng hp c c tc, chng ta c th tnh:

PAt Divt
rAt ln
PA,t 1

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8.3 M HNH 2 CHNG KHON

Gi nh rng cc d liu t sut sinh li trong 12
thng qua th hin phn phi t sut sinh li ca c
phiu ny trong nhng thng (tun, ngy) sp ti.
Tnh TSSL mong i nh sau:

1 n
r rj
N j1

Tnh phng sai ca TSSL:

1
Var
N

2
(
r

r
)
j
j 1

Tnh hip phng sai gia 2 chng khon A,B

1
Cov (rA , rB )
N
Financial Modeli

[r

At

E (rA )] * [rBt E (rB )]

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8.3 M HNH 2 CHNG KHON

S dng cc hm Average( ), Varp( ), v Stdevp( )
v COVAR() trong Excel tnh TSSL mong i,
Phng sai, lch chun v hip phng sai.
Tnh ton h s tng quan gia chng khon:

Cov(rA , rB )
AB
Hoc dng hm Correl () trong Excel
AB

H s tng quan lun lun nm gia +1v 1 hay 1

AB+1
Nu h s tng quan l +1, khi t sut sinh li gia 2

chng khon c tng quan xc nh hon ton.

Nu h s tng quan l 1, khi t sut sinh li gia 2

chng khon s c tng quan ph nh hon ton.

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8.3 M HNH 2 CHNG KHON

Gi tr trung bnh t sut sinh li ca danh mc l
bnh qun gia quyn vi trng s l t l vn u t
vo mi c phiu thnh phn.
Gi xA l t trng vn u t vo c phiu A, ta c:
E(rp) = xAE(rA) + (1xA)E(rB)
Phng sai danh mc khng phi l bnh qun gia
quyn ca cc phng sai (v c mi tng quan
trong bin ng TSSL ca cc c phiu)
Var(rp) = xA2 Var(rA) + (1 xA)2 Var(rB) + 2 xA(1
xA)Cov(rA,rB)

p2 = xA2 A2 + (1 xA)2 B2 + 2 xA(1xA)ABAB

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8.3 M HNH 2 CHNG KHON

ng hiu qu danh mc:

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8.3 M HNH 2 CHNG KHON

CU HI:
Gi nh th trng ch c 2 loi chng khon A v B,
ng hiu qu danh mc trn c phi l ng bin
hiu qu ca th trng khng?
YU CU:
C PH LC 2 SCH M HNH TI CHNH

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8.4 M HNH NHIU CHNG KHON

Trong trng hp tng qut vi N chng khon (hay N ti
sn), gi nh rng t l vn u t vo chng khon i
trong danh mc l xi, nh vy ta c ma trn ct X cc t
trng vn u t vo danh mc nh sau:

x1
x
2

X x3

....
xn

Chng ta c th vit XT nh l ma trn o ca ma trn

ct X:
XT = [x1, x2, x3, .xn]
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8.4 M HNH NHIU CHNG KHON

By gi ta vit E(r) nh l ma trn ct ca t sut sinh
li cc chng khon

E (r1 )
E(r )
2

E (r ) E (r3 )

....
E ( rN )

E(r)T nh l ma trn hng ca t sut sinh li cc chng

khon:
E(r)T = [E(r1), E(r2), E(r3), .E(rn)]
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8.4 M HNH NHIU CHNG KHON

T sut sinh li mong i ca danh mc di dng cng
thc ma trn nh sau:
N

E (rp ) x i E (ri ) X T E (r ) E (r ) T X
i 1

Hoc c th dng hm SUMPRODUCT () ca 2 vector

hng hoc 2 vector ct.

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8.4 M HNH NHIU CHNG KHON

Phng sai danh mc:
Gi ma trn c ij trong hng th i v ct th j l ma
trn phng sai hip phng sai:

11 12 13 ... 1N
...

2N
21 22 23
S 31 32 33 ... 3 N

..... ..... ..... .....

N1 N 2 N 3 ... NN

Phng sai ca danh mc l Var(rp) = XTSX

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8.4 M HNH NHIU CHNG KHON

Hip phng sai ca 2 danh mc:
Nu chng ta gi ma trn X = [x1, x2, x3,..,xN] l t
trng vn u t vo danh mc 1
Ma trn Y = [y1, y2, y3,..,yN] l t trng vn u t vo
danh mc 2,
Hip phng sai ca 2 danh mc l Cov(1,2) = X S Y T.
YU CU:
Xy dng ng bin hiu qu ca 1 th trng gm 5
chng khon (s dng s liu thc tin).

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8.5 TNH TON MA TRN HIP PHNG SAI

Cch 1:
Da trn cng thc thng k v cc hm ca Excel,
chng ta c th tnh ma trn phng sai hip phng
sai:
A l ma trn chnh lch t sut sinh li cc chng

r r1 .... rN 1 rN
r r .... r r
N2
N
12 1

khon11

.... .... .....

r1M r1 .... rNM rN

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8.5 TNH TON MA TRN HIP PHNG SAI

Ma trn chuyn v ca ma trn A:

r11 r1 r12 r1 .... .... r1M r1

.....

rN1 rN rN 2 rN .... .... rNM rN

Ma trn phng sai hip phng sai c tnh nh

sau:

A .A
S ij
M

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8.5 TNH TON MA TRN HIP PHNG SAI

S dng hm COVAR kt hp vi hm Offset
Hm Covar(array1;array2): dng tnh hip phng
sai ca 2 mng d liu (2 chui TSSL quan st)
Hm Offset(initial cells, rows, columns) s tham
chiu khi cc tng ng v hnh dng vi cc gc
ban u nhng thay i v tr sang cc hng v ct
khc.

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8.5 TNH TON MA TRN HIP PHNG SAI

M hnh ch s n
Gi nh ca m hnh l t sut sinh li ca mi mt ti
sn c th c hi quy tuyn tnh t cc ch s ca th
trng:

~
~
R i i i R x ~i

T , chng ta c 2 lp lun: lp lun th nht ging

m hnh CAPM v lp lun th 2 dng tnh ma trn
phng sai hip phng sai:

~
~
E(R i ) i i E(R x )

ij i j 2x
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