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

3.2 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

V d bi ton ti u ho phi tuyn c th hin qua
th:
Hm mc tiu Max
x1 x2 > Max
iu kin rng buc:
x12 + x2 1
x1 + x2 3
x1 + x2 2
x1 0, x2 0

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

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.
Financial Modeli

3.2 TI U HA PHI TUYN QUA TH

Financial Modeli

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 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.

Financial Modeli

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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.

Financial Modeli

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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

Financial Modeli

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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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3.6 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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3.6 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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3.6 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

Financial Modeli

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3.6 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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3.6 M HNH QUN L HNG TN KHO EOQ

Financial Modeli

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3.6 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$.

Financial Modeli

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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

Financial Modeli

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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

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