KHNG C BN KHNG

Ma trn phng sai - hip phng sai

0.10
0.01
0.03
0.05
0.01
0.30
0.06 -0.04
0.03
0.06
0.40
0.02
0.05
-0.04
0.02
0.50
hng s c

Chuyn v
TSSL trung bnh ca danh mc
lch chun ca danh mc
Theta

6.50%

T trng ti u
x1
-1.097
x2
0.40483
x3
0.50881
x4
1.18337
Tng
1 =SUM(C12:C15)
-1.097 0.4048 0.5088

19.50% <-- =MMULT(C17:F17,G4:G7)

90.09% <-- =SQRT(MMULT(MMULT(C17:F1
14.43% <-- =(B19-C9)/B20

s dng Solver gii bi ton DM hiu qu khi khng bn khng

Hm mc tiu: Theta --> max
B21 -->max
Bin s quyt nh: t trng ti u
C12:C15
iu kin RB:
- khng bn khng
C12:C15>=0
- u t ht
C16=1
Cho c thay i gi tr t 9%; 8,5%; 8%; 3%; 11%

ng sai

TSSL
6%
8%
10%
15%

E(r x )c
Theta=
p

C12:C15)
1.1834 =TRANSPOSE(C12:C15)

7:F17,G4:G7)
ULT(MMULT(C17:F17,B4:E7),C12:C15))

KHNG C BN KHNG
Ma trn phng sai - hip phng sai
0.1
0.03 -0.08
0.05
0.03
0.2
0.02
0.03
-0.08
0.02
0.3
0.2
0.05
0.03
0.2
0.9
hng s c

Chuyn v
TSSL trung bnh ca danh mc
lch chun ca danh mc
Theta

9.00%

T trng ti u
x1
0
x2
0
x3
0.5556
x4
0.4444
Tng
1
0

0 0.5556

10.44%
60.76%
2.38% --> MAX

s dng Solver gii bi ton DM hiu qu khi khng bn khng

Hm mc tiu: Theta --> max
B21 -->max
Bin s quyt nh: t trng ti u
C12:C15
iu kin RB:
- khng bn khng
C12:C15>=0
- u t ht
C16=1
Cho c thay i gi tr t 9%; 8,5%; 8%; 3%; 11%

hng sai

TSSL
8%
9%
10%
11%

0.4444

E(r x )c
Theta=
p

KHNG C BN KHNG
Ma trn phng sai - hip phng sai
0.1
0.03
-0.08
0.05
0.03
0.2
0.02
0.03
-0.08
0.02
0.3
0.2
0.05
0.03
0.2
0.9
9.46%

Chuyn v
TSSL trung bnh ca danh mc
lch chun ca danh mc
Theta

T trng ti u
x1
0
x2
0
x3
0.55555
x4
0.44445
Tng
1
0

0 0.55555 0.44445

10.44% <-- =MMULT(C17:F17,G4:G7)

60.76% <-- =SQRT(MMULT(MMULT(C17:F17,B4:E7),C12:C15
1.62% <-- =(B19-C9)/B20

s dng Solver gii bi ton DM hiu qu khi khng bn khng

Hm mc tiu: Theta --> max
B21 -->max
Bin s quyt nh: t trng ti u C12:C15
iu kin RB:
- khng bn khng
C12:C15>=0
- u t ht
C16=1

TSSL
8%
9%
10%
11%

T(C17:F17,B4:E7),C12:C15))

KHNG C BN KHNG
Ma trn phng sai - hip phng sai
0.1
0.03
-0.08
0.05
0.03
0.2
0.02
0.03
-0.08
0.02
0.3
0.2
0.05
0.03
0.2
0.9
Cch 1

hng s c

8.00%

Chuyn v

T trng ti u
x1
20.03%
x2
25.88%
x3
42.18%
x4
11.91%
Tng
1
0.20031 0.25876

TSSL
8%
9%
10%
11%

Cch 2
zx
0.02873
0.03708
0.06048
0.01706
0.14336
0.42183

%x
20.04%
25.87%
42.19%
11.90%

0.1191 ==> =TRANSPOSE(C12:

TSSL TB ca DM
lch chun ca DM
Theta

9.46% <-- =MMULT(C17:F17,G4:G7)

31.91% <-- =SQRT(MMULT(MMULT(C17:F17,B4:E7),C12:C15))
4.57% <-- =(B19-C9)/B20

TSSL TB ca DM
lch chun ca DM

9.46%
31.92%

R-c
0
0.01
0.02
0.03

==> = G4:G7-C9

Cch 3

20.02%
25.88%
42.19%
11.91%
100%
==> =TRANSPOSE(C12:C15)

7,B4:E7),C12:C15))

KHNG C BN KHNG

1
2
3
4
5
6
7
8
9
10
11
12

Ma trn phng sai - hip phng sai

0.1
0.03
-0.08
0.05
0.03
0.2
0.02
0.03
-0.08
0.02
0.3
0.2
0.05
0.03
0.2
0.9
hng s c

16.0%

13

T trng ti u
x1
0.0000
x2
0.0000

14

x3

0.0000

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

x4

1.0000
1

Tng
TSSL trung bnh ca danh mc
lch chun ca danh mc
Theta

?
?
?

TSSL
8%
9%
10%
11%

H
1
2
3
4
5
6
7
8
9
10
11
12

Cc kt qu
c
lch chun
-0.035
20.24%
-0.03
20.25%
-0.025
20.25%
-0.02
20.25%
-0.015
20.25%
-0.01
20.26%
-0.005
20.26%
0
20.27%

TSSL
8.70%
8.70%
8.70%
8.71%
8.71%
8.71%
8.71%
8.71%

0.005

20.27%

8.71%

13

0.01

20.28%

8.72%

14

0.015

20.29%

8.72%

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

0.02
0.025
0.03
0.035
0.04
0.045
0.05
0.055
0.06
0.065
0.07
0.075
0.08
0.085
0.09
0.095
0.1
0.105
0.11
0.115
0.12
0.125
0.13
0.135
0.14
0.145
0.15
0.155
0.16

20.30%
20.31%
20.32%
20.34%
20.37%
20.41%
20.46%
20.54%
20.67%
20.90%
21.36%
23.27%
31.91%
45.25%
60.76%
74.30%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%

8.72%
8.73%
8.73%
8.74%
8.74%
8.75%
8.76%
8.78%
8.80%
8.82%
8.87%
9.01%
9.46%
10.01%
10.44%
10.70%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%

x1

x2

x3

x4

0.605
0.604
0.603
0.603
0.602
0.601
0.599
0.598

0.089
0.089
0.089
0.089
0.090
0.090
0.091
0.091

0.307
0.307
0.307
0.308
0.309
0.309
0.310
0.311

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.597

0.092

0.311

0.000

13

0.595

0.093

0.312

0.000

12.00%

14

0.593

0.093

0.313

0.000

11.00%

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

0.591
0.589
0.586
0.582
0.578
0.573
0.566
0.557
0.545
0.528
0.499
0.427
0.200
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.094
0.095
0.097
0.098
0.100
0.102
0.105
0.108
0.113
0.120
0.132
0.163
0.259
0.251
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.315
0.316
0.318
0.320
0.322
0.325
0.329
0.334
0.342
0.352
0.368
0.386
0.422
0.488
0.556
0.300
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.025
0.119
0.260
0.444
0.700
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000

1
2
3
4
5
6
7
8
9
10
11
12

13.00%

10.00%
9.00%
8.00%
7.00%
6.00%
19.00% 39.00% 59.00% 79.00% 99.00% 119.00%

c o ban khon

00%

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
99.00% 119.00%
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

c o ban khong

AA

KHNG C BN KHNG

1
2
3
4
5
6
7
8
9
10
11
12

Ma trn phng sai - hip phng sai

0.1
0.03
-0.08
0.05
0.03
0.2
0.02
0.03
-0.08
0.02
0.3
0.2
0.05
0.03
0.2
0.9
hng s c

16.0%

13

T trng ti u
x1
0.0000
x2
0.0000

14

x3

0.0000

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

x4

1.0000
1

Tng
TSSL trung bnh ca danh mc
lch chun ca danh mc
Theta

?
?
?

TSSL
8%
9%
10%
11%

H
1
2
3
4
5
6
7
8
9
10
11
12

Cc kt qu
c
lch chun
-0.035
20.24%
-0.03
20.25%
-0.025
20.25%
-0.02
20.25%
-0.015
20.25%
-0.01
20.26%
-0.005
20.26%
0
20.27%

TSSL
8.70%
8.70%
8.70%
8.71%
8.71%
8.71%
8.71%
8.71%

0.005

20.27%

8.71%

13

0.01

20.28%

8.72%

14

0.015

20.29%

8.72%

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

0.02
0.025
0.03
0.035
0.04
0.045
0.05
0.055
0.06
0.065
0.07
0.075
0.08
0.085
0.09
0.095
0.1
0.105
0.11
0.115
0.12
0.125
0.13
0.135
0.14
0.145
0.15
0.155
0.16

20.30%
20.31%
20.32%
20.34%
20.37%
20.41%
20.46%
20.54%
20.67%
20.90%
21.36%
23.27%
31.91%
45.25%
60.76%
74.30%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%
94.87%

8.72%
8.73%
8.73%
8.74%
8.74%
8.75%
8.76%
8.78%
8.80%
8.82%
8.87%
9.01%
9.46%
10.01%
10.44%
10.70%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%
11.00%

x1

x2

x3

x4

0.605
0.604
0.603
0.603
0.602
0.601
0.599
0.598

0.089
0.089
0.089
0.089
0.090
0.090
0.091
0.091

0.307
0.307
0.307
0.308
0.309
0.309
0.310
0.311

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.597

0.092

0.311

0.000

13

0.595

0.093

0.312

0.000

12.00%

14

0.593

0.093

0.313

0.000

11.00%

15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

0.591
0.589
0.586
0.582
0.578
0.573
0.566
0.557
0.545
0.528
0.499
0.427
0.200
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.094
0.095
0.097
0.098
0.100
0.102
0.105
0.108
0.113
0.120
0.132
0.163
0.259
0.251
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.315
0.316
0.318
0.320
0.322
0.325
0.329
0.334
0.342
0.352
0.368
0.386
0.422
0.488
0.556
0.300
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.025
0.119
0.260
0.444
0.700
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000
1.000

1
2
3
4
5
6
7
8
9
10
11
12

13.00%

10.00%
9.00%
8.00%
7.00%
6.00%
19.00% 39.00% 59.00% 79.00% 99.00% 119.00%

c o ban khon

00%

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
99.00% 119.00%
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

c o ban khong

AA