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Trn Th Nh Hoa
NG DNG TI U HA TON HC
H Ni - 2010
LI CM N
Trc khi trnh by ni dung chnh ca kha lun, em xin by t lng bit
n su sc ti PGS.TS Nguyn Hu in ngi tn tnh hng dn em
c th hon thnh kha lun ny.
Em cng xin by t lng bit n chn thnh ti ton th cc thy c gio
trong khoa Ton - C - Tin hc, i hc Khoa Hc T Nhin, i Hc Quc
Gia H Ni dy bo em tn tnh trong sut qu trnh hc tp ti khoa.
Nhn dp ny em cng xin c gi li cm n chn thnh ti gia nh, bn
b lun bn em, c v, ng vin, gip em trong sut qu trnh hc tp
v thc hin kha lun tt nghip.
H Ni, ngy 19 thng 05 nm 2010
Sinh vin
Trn Th Nh Hoa
Mc lc
Li m u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Chng 1. Mt s kin thc lin quan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.1.Bi ton quy hoch tuyn tnh gc v i ngu . . . . . . . . . . . . . . . . 6
1.2.Phng php n hnh gii bi ton QHTT. . . . . . . . . . . . . . . . . . . . 8
Chng 2. Bi ton quy hoch ton phng . . . . . . . . . . . . . . . . . . . . . . . . 13
2.1.t vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2.Bi ton quy hoch ton phng dng chun. . . . . . . . . . . . . . . . . 13
2.2.1. iu kin ti u Karush-Kuhn-Tucker (KT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2
3.3.Thut gii Markowitz tng qut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.3.1. M hnh bi ton ti u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
3.3.2. iu kin ti u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.3.3. Tm nghim c s ca bi ton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.3.4. V d minh ha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Ph lc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Kt lun . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Ti liu tham kho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3
Li m u
Trn Th Nh Hoa
5
Chng 1
f (x) vi mi x D p . V D p l tp li a din, nn x D p l nh ca D p th x
gi l phng n cc bin (phng n c s). Nu x l im cc bin (nh)
ca D p v ti u th x gi l phng n cc bin ti u.
Cho mt phng n c s (hay mt nh) x, k hiu J+ (x) = { j {1, . . . , n} :
x j > 0} gi l tp ch s c s ca x. Nu |J+ (x)| = m th x gi l phng n
khng suy bin, cn nu |J+(x)| < m th x gi l phng n suy bin. Ta cng
nhn kt qu sau: tp hp cc vct
B+ (x) = {A j | j J+ (x)} (1.3)
gm cc vct ct ca A s l mt h c lp tuyn tnh. Nu r := |J+ (x)| < m
th ta b sung thm m r vct cn li ca A vo B+ (x) sao cho ta thu c
h gm m vct ct ca A c lp tuyn tnh, k hiu l B(x). H vct B(x)
gi l h vct c s (hay gi tt l c s) ca phng n cc bin x. Thng
thng ta thng gi J(x) l tp ch s c s thay cho gi c s B(x).
Lp hm Lagrange cho bi ton QHTT gc (P) nh sau:
L(x, y, s) = cT x + yT (b Ax) + sT x (1.4)
trong y v s 0 l cc nhn t Lagrange. Khi bi ton i ngu (dng
Lagrange) ca bi ton gc (P) s c dng (s k hiu l (D)):
max g(y, s) = bT y
(
AT y + s = c
tha mn: Dd = (1.5)
s 0.
Bin s gi l bin b, g gi l hm mc tiu i ngu v Dd gi l min rng
buc i ngu. Hin nhin Dd cng l tp li a din v bi ton (1.5) cng l
bi ton QHTT.
Vi mi b ba (x, y, s) sao cho x D p v (y, s) Dd ta t
(x, y, s) = f (x) g(y, s) = sT x, (1.6)
gi l khong trng i ngu. Theo nh l i ngu yu th (x, y, s) 0, v
nu (x, y, s) = 0 th (x, y, s) s l nghim ca cp bi ton gc i ngu (P)-
(D). Cn theo nh l i ngu mnh th nu x l nghim ti u ca bi ton
gc (P) th s tn ti nghim ti u (y , s ) ca bi ton i ngu (D) sao cho
= (x , y , s ) = 0 v ngc li.
7
1.2. Phng php n hnh gii bi ton QHTT.
Mt trong nhng phng php ni ting v hiu qu l phng php n
hnh, c G. B. Dantzig pht minh ra nm 1947. Phn ny s trnh by tm
tt li t tng c bn v ni dung ca phng php n hnh, phng php
ny s c s dng tnh ton nhiu trong kha lun.
Trc ht ta ch ra mt tnh cht quan trng ca bi ton quy hoch tuyn
tnh l nghim s nm im cc bin.
B 1.2.1. Gi s bi ton QHTT gc (1.2) c nghim ti u th n s c
nghim ti u x nm nh.
Do tnh cht c bit ca bi ton QHTT nn thut ton n hnh tn
dng rt hiu qu cc tnh cht ny to ra mt thut ton rt hiu qu. c
bit l cc tnh cht:
Min rng buc ca bi ton QHTT l mt tp li a din vi s im cc
bin l hu hn.
Nu bi ton QHTT c nghim ti u th s c nghim ti u nm nh.
tng ca thut ton
Bc 1: Xut pht t mt nh x0 ca min rng buc.
Bc 2: Nu x0 l nghim ti u, dng thut ton. Nu khng chuyn
sang bc 3.
Bc 3: T x0 tm cch di chuyn n nh k tip theo ca min rng
buc tt hn nh x0 (theo ngha gi tr hm mc tiu nh hn).
Bc 4: Lp li Bc 2, 3 vi x0 thay bng x1 .
Do s nh ca min rng buc l hu hn, nn nu bi ton c nghim, sau
hu hn bc ta s tm c nh ti u. C nhiu vn cn gii quyt trong
phng php n hnh, bao gm:
Tm nh xut pht, vn ny thng c gii quyt da vo phng
php hai pha hoc nh thu (hai phng php ny cng cho bit min
rng buc c rng hay khng).
Kim tra bi ton c nghim hay v nghim (c b chn di hay khng).
Kim tra nh x0 c l ti u hay khng?
T nh x0 lm th no di chuyn n nh x1 tt hn x0 ?
8
Thut ton n hnh.
u vo: Ma trn A = (ai j )mn , vct b, vct c. Phng n c s x0 v
c s tng ng J(x0 ).
u ra: Phng n c s ti u x v gi tr mc tiu ti u f (x ) hoc
ch ra bi ton khng c nghim ti u (tc l hm mc tiu khng b
chn di).
Thut ton:
Bc khi to:
1. Tm mt phng n c s xut pht x0 ng vi c s xut pht
J0 := B(x0 ).
2. Tnh cc h s khai trin Z = (z jk ) v cc c lng k theo cc
cng thc tng ng sau
Ak = jJ0 z jk A j j = 1, n
k = jJ0 z jk c j ck k / J0
= 0 k J0
k
2. Nu vi mi k
/ J0 m tn ti t nht mt h s z jk > 0 th tin hnh
tm phng n mi x1 tt hn x0 bng cch chuyn sang bc 3.
Bc 3: Tm phng n mi
1. Chn vct As a vo c s: C th bt k s / J ) sao cho s > 0.
Thng thng chn s sao cho s ln nht
2. Chn vct Ar a ra khi c s theo quy tc:
9
3. Tnh phng n mi x1 v gi tr hm mc tiu mi theo cng
thc:
00 vi k / J0 , k 6= s
x1 = zxr vi k = s
rs
x0 x0r z
zrs js vi
j j J0
x0r
f (x ) = f (x ) s
1 0
zrs
Bc 4: Tnh cc h s khai trin v c lng mi theo cng thc
(
1
zrk
nu j = s
z jk = zrs z
z jk zrkrs z js nu j J0 , j = r
zrk
1k = k s
zr s
Bc 5: Quay v bc 1 vi phng n c s mi x1 v c s mi
J1 := J(x1 ).
thut tin cho vic "thc hnh" thut ton n hnh gii bi ton QHTT
dng chun tc. Ta s dng mt bng gi l Bng n hnh gm n + 3 ct v
m + 3 hng nh sau:
C s cJ Phng n 1 2 k n
J xJ c1 c2 ck cn
J1 c j1 x j1 z j1 1 z j1 2 z j1 3 z j1 n
J2 c j2 x j2 z j2 1 z j2 2 z j2 3 z j2 n
.. .. .. .. .. .. .. .. ..
. . . . . . . . .
Jm c jm x jm z jm 1 z jm 2 z jm 3 z jm n
f (x) 1 2 k n
Lu phn bng dnh cho cc h s khai trin z jk :
Cc ct ng vi cc j J0 s l cc vct n v vi h s 1 nm trn
dng vi ch s j.
Vi k
/ J0 th ct k ca bng n hnh l h s khai trin ca Ak ca ma
trn A theo c s J0. Ta k hiu ct ny l Zk ngha l Ak = BJ0 Zk hay
Zk = (BJ0 )1 Ak , y BJ0 l ma trn c s (BJ0 = A j | j J0.
c bit khi ta chn c mt ma trn BJ0 c dng ma trn n v th h
s khai trin trn cc ct j vi j J0 s chnh l ct vct n v z jk = e j ,
cn cc h s khai trin trn cc ct k / J0 chnh l z jk = Ak .
10
Dng c lng l dng cui cng ca bng v c tnh bik = cTJ0 Zk
ck v j = 0, ( j J0 ).
Gi tr hm mc tiu chnh l f (x) = cTJ0 xJ ) .
Mt trong nhng chi tit quan trng trong phng php n hnh l: T
nghim x ca bi ton gc (P), ta c xy dng li c nghim i ngu hay
khng?. Phng php n hnh gc - i ngu s cho php thu c b ba
nghim (x , y , s ) cho cp bi ton gc, i ngu. Trn thc t, ta c th xut
pht t nghim ca bi ton gc (P) l x vi c s AJ , ta c th thu c
nghim ca bi ton i ngu (D) nh sau:
Gi s x l nghim ca bi ton gc (P) ng vi c s ti u AJ . Khi
ta c:
xJ = A1
J b,
vi xJ = (xj ) jJ v (xj ) jJ = (0).
Khi AJ cng s l c s i ngu ca bi ton i ngu (D) v nghim
i ngu (y , s ) c tnh theo cng thc:
y = (A1 T
J ) cJ , s = c AT y ,
trong cJ = (c j ) jJ .
Khi khong trng i ngu s l: = (x )T s = 0. Theo nh l v
lch b th nu xj > 0 th sj = 0, do d thy sJ = 0.
Trong thc t, bi ton QHTT thng khng phi l bi ton dng chun tc
vi vct v phi b khng m, nn ta khng th c ngay c phng n xut
pht x0 thc hin phng php n hnh. Do vy ngi ta thng s dng
mt trong hai phng php: Phng php n hnh hai pha v phng php
nh thu. Trong kha lun ny s s dng phng php n hnh hai pha vi
ni dung c tm tt nh sau:
Trc ht, i vi bi ton gc (P), khng mt tnh tng qut ta c th xem
cc bi 0 vi mi i = 1, m . Nu tri li ta nhn hai v ca rng buc th i vi
1. Ta lp bi ton ph sau
m
min fa (u) := un+ j (1.7)
j=1
j=1 ai j x j + un+i = bi ,
n
(i = 1, m)
tho mn Da := x j 0, ( j = 1, n)
un+i 0, (i = 1, m)
11
Cc bin un+i vi (i = 1, m) gi l cc bin gi.
Nu ta k hiu e = (1, 1, . . . , 1)T l vct gm m thnh phn l 1, u =
(un+1 , un+2 , . . . , un+m )T v E l ma trn n v cp m th ta c th vit bi
ton trn di dng
min fa (u) := eT u (1.8)
(
Ax + Eu = b
tho mn Da :=
x 0, u 0
Khi , quan h gia hai bi ton (1.7) v (1.8) c ch ra nh sau:
Bi ton (1.8) c mt phng n c s xut pht l (x, u)T := (0, b)T .
Bi ton (1.2) c phng n chp nhn c khi v ch khi bi ton ph
(1.8) c phng n ti u (x, u)T vi tt c cc bin gi un+i = 0, (i = 1, m.
Do phng php n hnh hai pha c thc hin nh sau:
Pha 1: Lp bi ton ph cho bi ton (P), gii bi ton ph bng phng
php n hnh. Nu bi ton ph v nghim hoc c nghim khng l
nghim chp nhn ca bi ton (P), dng thut ton. Ngc li, chuyn
sang pha 2.
Pha 2: S dng thut ton n hnh gii bi ton (P) vi phng n xut
pht thu c t pha 1.
12
Chng 2
2.1. t vn
Chng ta va xt bi ton QHTT vi hm mc tiu v cc rng buc l
tuyn tnh. Trong thc t th c mt s lng ln cc ng dng, bi ton m
hm mc tiu ca chng khng dng tuyn tnh m c dng bc hai. Nhng
bi ton m hm mc tiu l bc hai ca cc bin ti u v tt c cc rng buc
l tuyn tnh th bi ton c dng quy hoch ton phng (QHTP).
Vi bi ton dng ny th cc phng php gii c mi quan h ti cc
m rng ca bi ton quy hoch tuyn tnh. Trong phn u tin s gii thiu
v bi ton quy hoch ton phng dng chun v iu kin ti u Karush
Kunh Tucker. Phn 2, 3 v 4 s cp ti phng php im trong, phng
php active-set, phng php gradient gii quyt bi ton. Trong phn cui
chng s cp n phng php s dng cc m rng ca phng php n
hnh gii bi ton QHTP.
13
2.2.1. iu kin ti u Karush-Kuhn-Tucker (KT)
U = diag[ui ] X = diag[xi ]
V vct e: eT = (1 . . . 1)
iu kin ph b sung (2.3 c) c vit li nh sau: XUe = 0.
15
2.3.3. Tiu chun hi t
||Axk b||
p = 1
||b|| + 1
||rd ||
d = 2 (2.6)
||Qxk + c|| + 1
(xk )T u
3 Vi = k , n l s bin ti u
n
Vi tng nh trn, thut ton im trong[4] c m t nh sau:
Bc 2: Tnh r p , rd , rc
r p = Axk + b
rd = Qxk AT vk uk + c (2.8)
rc = XUe + k e
Bc 3: Tm dv
Bc 4: Tm dx , du .
Bc 5: Tnh ton bc tng p , d .
Bc 6: Tnh gi tr im k tip xk+1 , uk+1 , vk+1 .
16
2.4. Phng php gradient
2.4.1. tng
Thut ton:
Bc 1: Tm phng n x0 thuc min rng buc M, cho k = 0.
Bc 2: c xk (k 0) ta xc nh di bc: Vic dch chuyn t
t k theo hng f (xk ) ti im xk + [ f (xk )] ko theo bin i hm
f mt s gia:
f = f [xk f (xk ) ] + f (xk )
Gi tr m vi n s gia f t gi tr ln nht (tc l hm f gim c
nhiu nht) c th xc nh ti im dng ca hm f :
f
= 0 f [xk f (xk ) ]( f (xk ) = 0 (*)
d
T phng trnh (*) ta tm c im dng .
d 2 f
Nu ti im dng ta c
< 0 th ta c im cc i ca f .
d 2
Do :
xk+1 = xk + [ f (xk )]
17
Bc 3: Th xem xk+1 c thuc M? Nu im xk+1 vt ra khi min
rng buc th ta phi rt ngn bc sao cho c mt im trn bin
theo hng chn.
Bc 4: Kim tra xk+1 l im ti u hay khng?
1. Nu f (xk+1 ) = 0 th xk+1 l im ti u.
2. Nu f (xk+1 ) 6= 0 th xk+1 cha l im ti u, ta tng k ln 1 v quay
tr li bc 2.
Hm Lagrange gn vi bi ton:
1
L(x, ) = cx + xT Qx + uT (x + s2 ) + (Ax b)
2
18
Trong m1 l nhn t Lagrange lin kt vi rng buc Ax b.iu kin
KKT cho ti u cc b ca bi ton l:
L
0, j = 1...n c + xT Q + A 0 (a)
xj
L
0, i = 1...m Ax b 0 (b)
j
L (2.10)
xj = 0, j = 1...n xT (cT + Qx + AT ) = 0 (c)
xj
j gi (x) = 0, i = 1...m (Ax b) = 0 (d)
x j 0, j = 1...n x0 (e)
j 0, i = 1...m 0 (f)
Bin i cc phng trnh (2.10 a) - (2.10 e) v dng bi ton gii d dng
hn bng cch thm bin ph khng m y Rn vo bt ng thc (2.10 a) v
v Rm vo bt ng thc (2.10 b) ta c
cT + Qx + AT T y = 0 v Ax b + v = 0
Vi vic di chuyn cc hng s v bn phi, iu kin KKT c vit li nh
sau:
Qx + AT T y = cT (a)
Ax + v = b (b)
(2.11)
x 0, 0, y 0, v 0 (c)
yT x = 0, v = 0 (d)
2x1 + 1 + 2 y1 =8 (2.14)
8x2 + 1 y2 = 16
x1 + x2 +1 =5
x1 + 2 =3
Ta thm cc bin gi vo mi rng buc v tm gi tr nh nht ca tng cc
bin ny.
min a1 + a2 + a3 + a4
tha mn:
2x1 +1 + 2 y1 +a1 =8
8x2 + 1 y2 + a2 = 16
x1 + x2 +1 +a3 =5
x1 + 2 + a4 =3
(2.15)
Tt c cc bin 0.
S dng thut ton n hnh hai pha, cc gi tr tnh theo cc bc lp nh
bng sau ta thu c nghim ti u ca bi ton ban u l: (x1 , x2 ) = (3, 2)
Bng : Gi tr ti cc bc lp ca thut ton n hnh hai pha gii bi ton
QHTP
Bc Bin s dng Gi tr bin Gi tr Bin Bin
lp hm mc thm loi
tiu vo b
1 (a1 , a2 , a3 , a4 ) (8,16,5,3) 32 x2 a2
2 (a1 , x2 , a3 , a4 ) (8,2,3,3) 14 x1 a3
3 (a1 , x2 , x3 , a4 ) (2,2,3,0) 2 1 a4
4 (a1 , a2 , a3 , 1 ) (2,2,3,0) 2 1 a1
5 (2 , a2 , a3 , a4 ) (2,2,3,0) 0
20
Chng 3
21
Pt l gi tr ca ti sn cui k t.
Pt1 l gi tr ca ti sn cui k t 1.
Cng thc trn cng c dng nh gi hiu qu ca cc ti sn u t
trong qu kh. nh gi hiu qu u t trong tng lai nh u t phi
tnh n s khng chc chn ca li sut. Cng thc tnh li sut k vng:
n
E(R) = Pi Ri
i=1
chnh l cng thc nh gi hiu qu u t mong i v mt ti sn c
bit. Nu nh u t tin rng tng lai chc chn thu c cc li sut mong
i hoc nu cc quan st trong qu kh c thi gian di bc l y
xu hng th c th nh gi li sut k vng bng trung bnh cng ca cc li
sut thc hin trong N thi k, tng ng vi:
1 N
E(R) = Rt
N t=1
+ Li sut ca mt danh mc u t
Cng thc trn nh gi hiu qu ca mt ti sn. Nu nh u t khng
ch u t vo mt ti sn m u t vo nhiu loi ti sn th phi c nhng
phng php nh gi hiu qu u t cho mt danh mc ti sn. Mt danh
mc u t chng khon bao gm nhiu loi chng khon khc nhau. Mi
loi chng khon li c li sut u t ring. V th li sut c tnh ca mt
danh mc u t chng khon l bnh qun ca li sut thu c t mi chng
khon trong danh mc u t . Cng thc tnh:
n
E(r p ) = w1 E(r1 ) + w2 E(r2 ) + + wn E(rn ) = wi E(ri )
i=1
Cng thc covariance ch cho thy mi tng tc gia hai chng khon
cng chiu hay ngc chiu m cha ch ra mc bin ng ca chng.
nh lng mc bin ng ny ta s dng n h s tng quan gii hn
covariance trong khong t 1 n +1, cng thc tnh:
23
danh mc m t c mt mc thu nhp nht nh. Gii bi ton vi cc mc
thu nhp mc tiu ngui ta xc nh c mt tp hp cc danh mc u t
hiu qu. T y nh u t c thm mt phng hng u t da trn quan
im ca mnh v vic nh i thu nhp v ri ro.
Trong phn ny bi ton ch tp trung vo m t k bi ton trong s tc
ng ca cc bin ngu nhin, cc tnh cht c bn nht.
Pht biu bi ton:
Min : ri ro ca ton danh mc u t
Tha mn:
gi tr k vng li nhun tr v hay li nhun c tnh ca ton danh mc
u t phi ln hn mc ti thiu (mc mc tiu ra) cho php.
cc t trng u t ng vi tng chng khon: cc t trng ny phi khng
m v c tng bng 1.
Cc k hiu s dng:
Ch s j : ch mc u t th j (hay chng khon j)
Cc tham s:
R j li nhun tr v ca chng khon j (bin ngu nhin)
m j gi tr li nhun k vng ca bin ngu nhin R j
M gi tr li nhun ti thiu (gi tr mc tiu ra) ca ton danh mc
u t tr v.
Bin: x j t trng u t vo chng khon j.
M hnh ton hc:
min Var[ j R j x j ]
Tha mn: j m j x j M
(3.1)
j xj = 1
xj 0 j
24
3.1.2. Cc khi nim v thng s
= Var[R]
p
E[ j R j x j ] = E[( j R j x j E[ j R j x j ])2 ]
= E[( j R j x j j x j E[R j ])2 ]
= E[( x j (R j E[R j ]))2 ]
= E[( jk x j (R j E[R j ])xk (Rk E[Rk ]))]
25
Xt hm mc tiu f (x) = jk x jCov[R j , Rk ]xk l hm bc hai khi v ch khi ma
trn ca h s tng quan Cov[R j , Rk ] l ma trn i xng xc nh dng.
Ma trn l i xng xc nh dng khi v ch khi jk x jCov[R j , Rk ]xk
0, x j , xk R hay Var[ j R j x j ] 0 lun ng theo nh ngha.
3.1.4. Mt s kt qu nghin cu
min 2 = min 0V
tha: 0 = E
0e = 1
Khi theo Merton(1972) lch chun ca ton danh mc u t tr v:
r
1
= (cE 2 2bE + a) (3.2)
d
a, b, c, d l cc s thc c tnh bi:
a 0V 1 , b 0V 1 e, c e0V 1 e, d ac b2
th ca phng trnh (1.6) c dng hypecbol v c gi l ng cong
hiu qu ca danh mc u t. Vct t trng ca mi chng khon trong
danh mc u t c th tnh bi:
V 1 V 1 e
= (cE b) (bE a) (3.3)
d d
Mi ng hypecbol (ng cong hiu qu ca danh mc u t) nm trong
khong gia ca hai ng tim cn nh hnh (3.1):
ng tip tuyn cho hypecbol ny, trong lnh vc kinh t gi l ng
phn b vn (Capital Market Line - CML) tip xc vi hypecbol ti mt im,
ti v tr im ny th danh mc u t l ti u nht (hnh (3.2)). Nh vy khi
to danh mc u t ti u nh u t phi tnh cc lch chun, phng sai,
covariance, xc nh ng cong hiu qu ca danh mc, v sau xc nh
danh mc u t hon chnh.
Chng ta cng tm hiu phn tip theo l mt vi tip cn v mt ton hc
xc nh danh mc u t chng khon ti u. i vi bi ton Markowitz
26
Hnh 3.1: ng cong hiu qu ca danh mc u t v cc tim cn
27
cp ti m hnh ton hc v hm Lagrange tng ng vi bi ton. Phn
hai cp ti iu kin Kuhn-Tucker[4] cho bi ton v cc kt lun v iu
kin bi ton ti u. Mt trng hp c bit c xem xt phn ba. Mt
ch quan trng l tm c nghim c s ca bi ton s c nu phn
bn v cui cng v d minh ha cho thut ton s c th hin phn nm.
3.2.1. M hnh c bn
(a) min 2 = 0V
(b) 0
=E (3.4)
(c) A = b
(d) 0
K hiu 0 = (1 , . . . , m ) Rm v E l nhn t Lagrange lin kt vi (3.4 c)
v (3.4 d). Hm Lagrange cho bi ton nh sau:
1
L = 0V + 0 (A b) E ( 0 E)
2
V b v E l cc hng s, bin thin ca hm Lagrange ch ph thuc vo
v th ta vit li hm ny di dng n gin hn nh sau:
1
L = 0V + 0 A E 0
2
3.2.2. iu kin Kuhn-Tucker
K hiu:
L L
0 = (1 . . . n ) = ( ... )
1 n
28
Khi iu kin Kuhn-Tucker cho bi ton l:
(a) = (V A ) 0 E 0
(b) 0, 0
(3.5)
(c) 1in i > 0 i = 0 v i = 0 i > 0
(d) A = b
(e) 0 = E
iu kin (3.5 c) c ngha o hm ring ca L cho i bng 0 khi v ch khi
i > 0 hay chng khon i c mt trong danh mc c s. y l iu kin rt
cn thit cho tnh ti u ca bi ton. Trong bi ton phn sau ta s thy
rng iu kin ny c kim tra rt nhiu trong vic kt np cc chng khon
vo tp c s ca bi ton. Tuy nhin nu i = 0 th o hm ring ca hm
Lagrange L cho i l dng. iu ny c ngha l gi tr hm Lagrange s
c ci thin nu i khng b gii hn di (trong trng hp n gin y
i b gii hn bi 0).
Nh vy phng php tip cn gii bi ton Markowitz gc ny khng p
dng ngay cc phng php gii ra trong chng 2 m tip cn theo iu
kin ti u Kuhn Tucker. i xt h iu kin ny ta s tm c cc nghim
ph hp vi bi ton. Mi cc bn cng theo di tip cch xy dng v trin
khai ca thut ton ny. Sp xp li h (3.5) bng cch kt hp trng hp xy
ra du ng thc trong (3.5 a) v phng trnh (3.5 d), ni c cc o hm
ring u bng 0 hay t trng ca cc chng khon l ln hn 0 th h tr
thnh:
V A0
0
(a) E =
A 0 0 b
(b) 0, 0
(c) 1in i > 0 i = 0 v i = 0 i > 0 (3.6)
(d) = (V A0 ) E 0
(e) 0 = E
V A0
K hiu ma trn M R (m+n)(m+n) v nh ngha M , khi
A 0
iu kin ti u cho vct c vit li nh sau:
1
1 0
=M + E M (3.7)
b 0
29
Rt gn phng trnh hn na ta k hiu Rm+n , Rm+n vi
1
1 0
=M , =M (3.8)
b 0
Khi iu kin (3.7) tr thnh:
= + E 0 (3.9)
Nh vy vct ca t trng danh mc u t c th hin li nh hm tuyn
tnh ca nhn t Lagrange E . tng chnh ca thut gii ny l tm khong
gi tr ca E m tha mn phng trnh (3.9).
Gi bin i > 0 l bin c s, i = 0 l bin phi c s. Khi tp cc bin
c s s bao hm mt danh mc u t. K hiu tp bin c s l 0 in0 , tp bin
phi c s l 0out 0 . Trong ma trn Vin th cc bin c s gi nguyn, cc bin phi
c s c thay bng vct xc nh.
Vi iinj l phn t nm hng i v ct j ca Vin , ta qui nh nh sau:
i j nu i, j in
1i, jn iinj = 1 nu i = j v i, j out (3.10)
ngc li
0
P2in = 0Vin
E = 0 in
(3.11)
b = 0Ain
i = 0 i out
Ta k hiu li cc thng s:
Vin A0in in
1 0
Min , in Min , in Min
1
(3.12)
Ain 0 b 0
Th vo (3.9) t trng ca mi danh mc c tnh:
= in + in E 0 (3.13)
30
Phng trnh (3.6d) c vit li nh sau:
= (V A ) 0
E = (V A0 )(in + in E ) E 0 (3.14)
= in + in E 0
vi: in = (V A0 )in (3.15)
in = (V A0)in
T 2 phng trnh (3.13) v (3.15) th iu kin Kuhn-Tucker phng trnh
(3.6 a,b,d) chuyn thnh cc hm tuyn tnh i vi E .iu kin cn v
cho v l ph thuc vo E .Thm na E v c mi quan h tuyn tnh
vi nhau. V th tm c khong gi tr ca E th tm c khong gi tr ca
E. Thut ton ny tip cn t hng xut pht t iu kin Kuhn-Tucker, gii
h iu kin ny a n gi tr E , i su vo tm gi tr ca E , tng ng
xc nh c khong ca E l xc nh c E v lch chun. K hiu:
ini
max i
1in a ini >0 in
vi ini 0
i
max ini
1in b ini >0 in
vi ini 0
(3.16)
ini
max i
1in c ini <0 in
vi ini 0
ini
max i
1in d ini <0 in
vi i 0
in
t:
low max[A , B ]
high min[C , D ] (3.17)
vi: low E high
Nu iu kin low high khng c tha mn th khng c phng n kh
thi m tha mn cc rng buc trn. Sau khi tm c khong ca E , xc nh
31
c gi tr ca E tng ng th ta thc hin bc lp tip theo. Trong bc
lp tip ta cn xc nh li cc thnh phn ca tp 0in0 v tp 0 out 0 .
Ta xt 2 trng hp l nu bt k i = 0 vi phm (1.35) hay i = 0 vi phm
(1.37) th:
1. Nu mt vi k , (1 k n) khng tha mn (1.37) th loi k ra khi tp
0 in0 v kt np vo tp 0 out 0 .
32
Gi E(kl) l ma trn n v v 0(kl) l ma trn 0 c k l chiu. Th M 1
(3.21) vo ta c:
0
V A M 1 M2
MM 1 =
A 0 M3 M4
(V A0 ) M 1
=
AM1 AM2 (3.22)
E(nn) 0(nm)
=
0(mn) E(mm)
= (V A0 )M 1 = (E(nn) 0(nm) )
Thay th (3.20) vo (3.21) ta c:
0
= E(nn) 0(nm) + E (E(nn) 0(nm) )
b 0
v s dng nh ngha trong (3.15) ta c:
in = = 0 v in = = 0 (3.23)
Kt qu trng hp c bit ny cho thy o hm tng phn ca hm La-
grange vi i , 1 i n bng 0. Ta s gp trng hp ny trong phn v d
minh ha.
3.2.4. Tm nghim c s ca bi ton
Bi ton:
min 2 = 0V
1
(1 1 1) 2 = 1 (3.25)
3
0
T bi ton v s liu suy ra:
400 150 100 15 1
V 150 225 150 10 A 1 (3.26)
100 150 625 20 1
Bc 1: Khai bo mt nghim c s. T bng covariance nhn thy chng
khon C c gi tr k vng li nhun tr v ln nht nn c th khi to phng
n ban u cho bi ton: in = {C } v out = {A , B}.
Bc 2: Xc nh phn on th 1
Theo phng trnh (3.12):
1 0 0 0 1 0 0 0
0 1 0 0
= M 1 0 1 0 0
(3.27)
Min 0 0 625 1 in 0 0 0
1
0 0 1 0 0 0 1 625
S dng (3.13) v (3.15):
in in
Danh in in in in
in in
mc
u
t
A 0 0 - -525 5 105
B 0 0 - -475 10 47.5
C 1 0 - 0 0 -
T (3.16) kt hp vi bng ta c:
a = b = 105 c = d = (3.28)
34
T (3.17) c:
low = 105 high = (3.29)
V high = nn ta ch xt n gi tr low , low c xc nh bi danh
mc A, o hm tng phn ca hm Lagrange L i vi A bng 0. V th
danh mc u t A s c kt np vo danh mc khi to bc k tip,
in = {A , C } v out = {B}.
Bc 3: Xc nh phn on th 2
Tnh M t (3.12)
400 0 100 1
0 1 0 0
Min
100 0 625 1
1 0 1 0
(3.30)
0.001212 0 0.001212
0.6364
1
0 1 0 0
= Min
0.001212 0 0.001212
0.3636
0.6364 0 0.3636 290.9091
S dng (3.13) v (3.15):
in in
Danh in in in in
in in
mc u
t
A 0.6364 - 105 0 0 -
0.006061
B 0 0 - - 6.8182 20.67
140.9031
C 0.3636 0.006061
-60 0 0 -
T (3.16) kt hp vi bng ta c:
a = 60 b = 20.67, c = 105, d = (3.31)
T (3.17) c:
low = 20.67 high = 105 (3.32)
T (3.13) tnh c:
0 0.5136
(E = high ) = 0 (E = low ) = 0
(3.33)
1 0.4864
E(E = high ) = 20 E(E = low ) = 17.43
35
low c xc nh bi danh mc B, o hm tng phn ca hm Lagrange
L i vi B bng 0. Danh mc B c kt np vo danh mc khi to bc
tip theo. Nh vy danh mc khi to bao hm c A, B, C. in = {A, B , C }
v out = {} iu ny tha mn trng hp c bit, nn in = in = 0.
Bc 4: Xc nh phn on th 3
Tnh M t (3.12):
400 150 100 1
150 225 150 1
Min 100 150 625 1
1 1 1 0
0.003088 0.002947 0.00014 0.2210
1
0.002947 0.004632 0.001684 0.6526
= Min 0.00014 0.001684 0.001825 0.1263
36
low c xc nh bi danh mc C, C = 0, loi C ra khi danh mc khi
to, in = {A, B }, out = {C }
Bc 5: Xc nh phn on th 4
Tnh M t (3.12)
400 150 0 1
150 225 0 1
Min
0
0 1 0
1 1 0 0
(3.38)
0.0031 0.0031
0 0.2308
1
0.0031 0.0031 0 0.7692
= Min
0 0 1 0
0.2308 0.7692 0 207.69
S dng (3.13) v (3.15):
in in
Danh in in in in
in in
mc u
t
A 0.2208 0.01539 -14.5 0 0 -
B 0.7692 -0.0153 50 0 0 -
C 0 0 - -69.23 -9.615 -7.2
T (3.17) c:
low = 15 high = 7.2 (3.40)
T (3.13) tnh c:
0.1203 0
(E = high ) = 0.8801 (E = low ) = 1
(3.41)
0.0 0
E(E = high ) = 10.61 E(E = low ) = 10
Nhn thy cc rng buc khng m b vi phm ti A, loi A ra khi phng
n khi to. Tng t i vi B. Bc lp tip theo c th hy b. Kt qu
low = v high = 14.5.
37
Nh vy 5 bc trn l cn thit tnh ton c ng bin hiu qu ca
danh mc u t, ta c th tnh theo nhiu bc hn ty thuc vo vic chp
nhn ri ro ca nh u t n u, trong bi ton ny ch dng li bc th
5 l phn tch. Tt c cc phn on c c trng bi c 2 thng s E
v t l li nhun k vng E. Cc kt qu tnh ton c minh ha trong bng
sau:
Bc high low E(high ) E(low )
lp
1 105 20.0 20.0
2 105 20.67 20.0 17.43
3 20.67 -7.2 17.43 10.61
4 -7.2 -14.5 10.61 10.0
5 -14.5 10.0 10.0
38
Hnh 3.3: So snh gia ng cong gii hn v ng cong khng gii hn
c tnh l E = 17.43%.
Thm vo ta thy rng ng vi khong gi tr ca E v E trong ln phn
on 3 th danh mc u t bao gm c 3 chng khon A, B, C theo nh mong
mun u t ca ta.
ngha v mt kinh t:
Trong kinh t, nh u t nhn vo biu , la chn cho mnh li nhun
mc tiu v mc ri ro trong khong chp nhn c. T ng cong hiu
qu ta c th tnh ngc li cc gi tr i vi 1 i n v bit c t trng
ca mi chng khon trong danh mc u t l bao nhiu, v c phng hng
u t ph hp.
39
cc chng trnh ng dng.
Ni dung chnh ca phn ny c chia ra thnh cc phn nh nh sau.
Phn mt cp ti m hnh Markowitz dng tng qut, phn hai l iu
kin Kuhn-Tucker pht biu gn ging vi pht biu trong mc 2. Phn ba
cp ti vic tm mt phng n khi to c s ca bi ton, phng n ny c
dng tuyn tnh v c gii bng phng php n hnh nhng cc rng buc
phc tp hn phn hai lm. Phn bn l v d minh ha cho thut gii. Cc
m rng thm ca thut ton ny s c th hin trong phn nm.
40
m m1 + m2
Ain 0(m1 m2 ) 0(m1 m2 )
A Kin E(m2 m2 ) 0(m2 m3 ) R(m1 +m)(n+m)
Gin 0(m3 m2 ) E(m3 m3 ) (3.44)
b
b k R
m1 +m x y Rn+m
g z
Kin v Gin c xc nh bng cch t tt c cc ct m c cc bin tng ng
thnh phn 0 out 0 bng vct 0 c m1 v m2 chiu. Ain , Vin , in c xy dng
tng t phn m hnh bi ton gc. Khi bi ton c thu gn li thnh:
(a) min 2 = 0Vin
(b) in0 = E
(3.45)
(c) Ax = b
(d) x 0
Ch rng (3.45) bao hm hai bin v x trong x bao hm . Ta cn
chuyn bi ton v dng ng vi mt bin s p dng c cc kt qu
trong phn 2 ca chng. t:
!
in
Vin 0(n(m))
V (3.46)
0(mn) D(mm) 0(m)
Ma trn variance/covariance v vct li nhun k vng c chnh sa li,
Dmm l ma trn n v. Khi hm mc tiu s thay i mt cht bi ton
tr v vi ch mt bin x.
(a) min 2 = x0V x
(b) 0x = E
(3.47)
(c) Ax = b
(d) x 0
Hm mc tiu trong (3.47 a) ny c th vit li thy khc bit so vi hm
mc tiu trong (3.45 a):
x0V x = 0Vin + y0 y + z0 z
. tm cch gii
quyt cho bi ton ny ta c th phn chia ma trn D thnh
D(m2 m2 ) 0(m2 m3 )
cc khi: D vi D(m2 m2 ) v D(m3 m3 ) l cc ma trn n
0(m3 m2 ) D(m3 m3 )
v.
41
K hiu Ki biu th hng i ca ma trn K, vi bt k yi(1 i m2 ) bng 1
l thnh phn ca tp 0 in0 nu Ki < ki . Ngc li yi l phn t ca tp 0 out 0 .
V zi (1 i m3 ) bng 1 nu v ch nu Gi > gi , Gi l hng i ca ma trn G.
Nu i1j biu th thnh phn hng i v ct j ca D(m2 m2 ) v i2j tng ng
thnh phn ca D(m3 m3 ) . Ta nh ngha:
0 i 6= j
i1j 1 i = j v yi = 0 1 i, j m2
0 i = j v y = 1
i
0 i 6= j
i2j 1 i = j v zi = 0 1 i, j m3
0 i = j v zi = 1
Vy nu yi (zi ) bng 1 th i1j (i2j ) bng 0, nu yi (zi ) bng 0 th i1j (i2j ) bng
1 (-1). iu ny m bo rng x0V x = 0Vin . Chng ta cn ch rng mc
ch ca phn ny l i xy dng thut gii cho bi ton Markowitz dng tng
qut. Trong phn ti ta cng xem xt iu kin ti u cho bi ton ny.
3.3.2. iu kin ti u
42
Theo x l trong phn bi ton gc ma trn M R(n+m1 +2m)(n+m1 +2m) c th
nh ngha nh sau:
A0
V
M
A 0(m1 +m,m1 +m)
A0in Kin0 G0in
Vin 0nm 0(m m ) E(m m ) 0(m m )
0nm D 2 1 2 2 2 3
0(m3 m1 ) 0(m3 m2 ) E(m3 m3 )
=
Ain 0(m1 m2 ) 0(m1 m3 )
Kin E(m2 m2 ) 0(m2 m3 ) 0(m1 +m,m1 +m)
Gin 0(m3 m2 ) E(m3 m3 )
(3.49)
Khi iu kin (3.48) c th c x l ging nh phn (3.13) v (3.15) ta
c:
x 1 0(n+m) 1
=M + E M + E 0
b 0(m1 +m)
1 0(n+m) 1
vi M n+m
R 1 +2m v M Rn+m1 +2m
b 0m1 +m
(3.50)
v:
0 0
= (V A ) + E [(V A ) ] + E 0
0 0 (3.51)
vi (V A ) Rn+m v [(V A ) ] Rn+m
Cc bc xy dng tip theo cng tng t phn trc.
3.3.3. Tm nghim c s ca bi ton
43
chn rng danh mc u t hiu qu. Chng ta cng phn tch vn ny:
(a) max 0 = max E
(b) A = b A + 0(m1 ) = b
(c) K k K + y = k (3.52)
(d) G g G z = g
(e) , y, z 0
Bin i phng trnh trn v dng chnh tc bng cch thm cc bin ph y, z.
C mt vi vn xy ra khi w = 0 khi cc phng trnh (3.52 d) (3.52 e)
khng tha mn. Phng php n hnh c bn cha c kh thi i vi bi
ton ny, v th ta p dng phng php n hnh hai pha(cng c cp
trong chng 1 ca kha lun) gii quyt bi ton.
(b) A + s = b s = b A
(c) K + y + t = k t = k K y
(3.53)
(d) G z + u = g u = g G + z
(e) , y, z, s,t, u 0
Ta thm vo bi ton cc bin gi s Rm1 , t Rm2 , u Rm3 v coi chng l
tp cc bin c s mi. Tip theo ta phi xy dng hm mc tiu mi cha cc
bin c s mi. K hiu e(k) l vct n v k chiu. Khi hm mc tiu mi
c dng:
Z (e0(m1 ) A+e0(m2 ) K +e0(m3 ) G) +y0 e(m2 ) z0 e(m3 ) = (b0 e(m1 ) +k0 e(m2 ) +g0 e(m3 ) )
(3.55)
Xt 2 trng hp xy ra:
1. Z = 0 (s t u)0 = 0
2. Z < 0 (s t u)0 6= 0, nhng cc thnh phn s, t, u l khng m,
khng tn ti phng n c s cho bi ton (3.52)
44
No by gi ta chnh sa hm mc tiu mt cht cho ngn gn hn:
Z 0M
~ y0 e(m ) + z0 e(m ) vi
2 3
~ 0 0 0
M e(m1 ) e(m2 ) K e(m3 ) G Rn (3.56)
R b0 e(m1 ) k0e(m2 ) g0 e(m3 ) R
Bng n hnh xut pht i vi bi ton n hnh hai pha (bng 3.1):
1 ... n y1 ... ym2 z1 ... zm3 h s
E 1 ... n 0 ... 0 0 ... 0 0 1
s1 A11 ... A1n 0 ... 0 0 ... 0 b1 2
... ... ... ... ... ... ... ... ... ... ... 3
sm1 Am1 1 ... Am1 n 0 ... 0 0 ... 0 bm1 4
t1 K11 ... K1n 1 ... 0 0 ... 0 k1 5
... ... ... ... ... ... ... ... ... ... ... 6
tm2 Km2 1 ... Km2 n 0 ... 1 0 ... 0 km1 7
u1 G11 ... G1n 0 ... 0 -1 ... 0 g1 8
... ... ... ... ... ... ... ... ... ... ... 9
um3 Gm3 1 ... Gm3 n 0 ... 0 0 ... -1 gm3 10
Z ~1
M ... ~n
M 1 ... 1 1 ... 1 R 11
3.3.4. V d minh ha
Bng 3.2:
Bng 3.3:
Bng 3.4:
Bng 3.5:
46
Nh vy phng n c s cho bi ton quy hoch ton phng (3.57)
c thy y vi gi tr hm mc tiu Z = 0. Nghim tng ng l 0 =
(0.3 0.2 0.5) gi tr k vng ca li nhun l 16.5%. Bc tip theo ta b
i cc ct ng vi cc bin gi, hm mc tiu bi ton trung gian ny cng
c g i. Kt qu c:
Bng 4 y1 z1 rhs
E 10.0 -5.0 16.5
2 -1.0 1.0 0.2
3 1.0 0.0 0.5
1 0.0 -1.0 0.3
Bng 3.6:
Bng 3.7:
Bng 3.8:
T bng v (3.16) c:
a = , b = 22.5, c = , d =
S dng (3.17) ta c high = , low = 22.5. Rng buc 00 00 nh hng ti
o hm ring ca L vi bin y1, v th y1 nh hng ti low v c kt np
vo tp c s. Tp c s mi l in = {1 , 3 , y1 , z1 } v out = {2 }. Gi tr k
vng li nhun ca ton danh mc l E(low ) =17.5% v t trng u t ca
0.5
cc chng khon trong danh mc l (low ) = 0.0
0.5
Bc 2: Do tp in v out c s thay i nn ma trn M c vit li. Gi
0 0 0 0
48
tr ca ma trn D v A24 ca A c in m.
400 0 100 0 0 1 0 1
0 1 0 0 0 0 0 0
100 0 625 0 0 1 1 0
0 0 0 0 0 0 1 0
M=
0 0 0 0 0 0 0 1
1 0 1 0 0 0 0 0
0 0 1 1 0 0 0 0
1 0 0 0 1 0 0 0
Tng t bc 1 ta c bng (3.9):
A 0.6364 -0.0061 104.33 0.0 0.0 -
B 0.0 0.0 - -104.9091 6.8182 20.67
C 0.3636 0.0061 -59.61 0.0 0.0 -
y1 0.1364 -0.0061 22.50 0.1364 -0.0061 22.50
z1 0.3364 -0.0061 55.15 0.3364 -0.0061 55.50
a = 59.61 low = 20.67 E(low ) = 17.44%
b = 20.67 high = 20.50
0.51
c = 22.50 (low ) = 0.0
0.49
d = 22.50
Bng 3.9:
49
m). Gi tr ca M vit li nh sau:
400 150 100 0 0 1 0 1
150 225 150 0 0 1 0 0
100 150 625 0 0 1 1 0
0 0 0 0 0 0 1 0
M=
0 0 0 0 0 0 0 1
1 1 1 0 0 0 0 0
0 0 1 1 0 0 0 0
1 0 0 0 1 0 0 0
Cc gi tr khc c tnh tng t bc trn, ta c bng (3.10):
A 0.2211 0.0140 -15.75 0.0 0.0 -
B 0.6526 -0.0316 20.67 0.0 0.0 -
C 0.1263 0.0175 -7.20 0.0 0.0 -
y1 0.3737 -0.0175 21.30 0.3737 -0.0175 21.30
z1 0.0789 0.0140 5.625 -0.0789 0.0140 5.625
a = 5.625 low = 5.625 E(low ) = 13.75%
b = 5.625 high = 20.67
0.300
c = 20.67 (low ) = 0.475
0.225
d = 21.35
Bng 3.10:
50
A 0.3 0.0 - 0.0 0.0 -
B 0.5773 -0.0182 31.75 0.0 0.0 -
C 0.1227 0.0182 -6.75 0.0 0.0 -
y1 0.3773 -0.0182 20.75 0.3773 -0.0182 20.75
z1 0.0 0.0 - 25.5682 -4.5455 5.625
a = 6.75 low = 6.75 E(low ) = 11.50%
b = high = 5.625
0.3
c = 20.75 (low ) = 0.7
0.0
d = 5.625
Bng 3.11:
0.0
d = 6.75
Bng 3.12:
Bng 3.13:
Hnh 3.4: ng bin hiu qu c tnh bi thut ton Markowitz gc v tng qut
53
Ph lc
54
Thc thi chng trnh
u tin vo mc OM_IE chn Portfolio Selection, mt hp thoi Markowitz
Portfolio hin ra, ta in cc thng s bao gm tn bi ton, s chng khon
mun la chn vo danh mc u t, s ln quan st d liu, s bin hay rng
buc m rng ca bi ton, cui cng l tch chn vo From Data, Make
Random Problem.
trong kha lun ny ta phn tch vi 10 chng khon trong 1 danh mc
v 24 im d liu, sinh d liu s dng b d liu ly ngu nhin trong tp
c sn, cc d liu ny c tp hp trong thc t. Trong ln phn tch ny ch
phn tch vi 24 ln quan st d liu, nu mun u t m t c mc
chc chn nht cc bn nn phn tch vi khong 54 ln quan st d liu (s
quan st v thi gian ty thuc vo chu k bin ng ca cc chng khon,
thng ngi ta quan st theo thng).
Tip theo ng dng yu cu bn c mun gii quyt m hnh ton hc
khng, bn chn OK v mt hp thoi v m hnh phi tuyn hin ra (hnh 3.5).
Bn in cc thng s bao gm s bin ca bi ton l 10, s rng buc l 2,
v cc mc nh nh hnh.
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Hnh 3.6: Gii bi ton Markowitz
b d liu ca bi ton (hnh 3.8) bao gm 10 chng khon S1, S2, S3,...,S10
cng cc gi tr bin, li nhun, lch chun. Ban u cc t trng ca tng
chng khon c chia u l 0.1 do tng t trng ca cc chng khon trong
danh mc u t bng 1.
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xng xc nh dng. Ch cc h s m v d -0.076 c ngha l 7.6%. iu
ny l tng ng vi ma trn V trong m hnh ti u. gii bi ton ta kch
vo nt Solver v xc nh li nhun mc tiu tr v, thng xc nh mc
va phi (l 1) th bi ton s c nghim.
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Hnh 3.11: Kt qu phn tch qua cc bc
58
Kt lun
1 Tng quan mt s phng php gii bi ton quy hoch ton phng.
2 Trnh by bi ton v phng php Markowitz trong vic ti u ha danh
mc u t.
3 S dng bng tnh excel gii bi ton.
Tuy nhin do thi gian thc hin kha lun khng nhiu cn c nhng sai st
em rt mong nhn c s gp ca qu thy c v bn c.
Ti liu tham kho
60