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1. Add-Ins Solver
Trc khi s dng, chng ta cn phi thm tin ch ny vo Excel. Ty theo phin bn Excel m
bn ang s dng th cch lm khc nhau i cht. Tuy nhin, cch thc hin Add-In Solver cho
cc phin bn Excel 97-2003 l ging nhau v cch thc hin Add-In Solver trong Excel 2007-
2010 cng tng t nhau. Cc hnh minh ha trong bi ny s s dng phin bn Excel 2003 v
Excel 2007.
1.1. Add-In Solver cho Excel 2003
Cc bc thc hin Add-Ins Solver cho Excel 2003 nh sau:
Bc 1. Vo Tools | chn Add-Ins. Hp thoi Add-Ins xut hin.

Hnh 1. Chn lnh Add-Ins
Bc 2. Trong hp thoi Solver, tch vo vung Solver Add-In

Hnh 2. Hp thoi Add-Ins cha cc chc nng m rng ca Excel
Bc 3. Nhn nt OK ng hp Add-Ins
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Bc 4. Khi trong thc n Tools s xut hin thm lnh Solver

Hnh 3. Lnh Solver trong thc n Tools

1.2. Add-In Solver cho Excel 2007
Do giao din Excel 2007 thay i nhiu so vi cc phin bn Excel c nn cc bc thc hin
Add-Ins s khc i cht. Cc bc thc hin nh sau:
Bc 1. Nhp chut vo nt Office | chn Excel Options

Hnh 4. Vo Excel Options trong Excel 2007 & Excel 2010
Bc 2. Trong hp thoi Excel Options, chn Add-Ins t danh sch bn tri, danh sch cc
Add-Ins trong Excel c lit k trong hp Add-Ins vi cc phn nhm khc nhau.
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Hnh 5. Hp thoi Excel Options
Bc 3. Ti Manage, chn Excel Add-Ins t danh sch v nhn nt Go... m hp thoi
Add-Ins.

Hnh 6. Solver Add-in

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Bc 4. Chn Solver Add-in t danh sch Add-Ins avaiable v nhn nt OK.
Bc 5. Trong ngn Data xut hin thm nhm Analysis cha lnh Solver.

Hnh 7. Lnh Solver


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2. S dng Solver
2.1. Trng hp Excel 97-2007
s dng tt Solver ta cn nm vng cc yu cu thng s cn phi khai bo trong hp thoi
Solver Parameters:

Hnh 8. Hp thoi Solver Excel 97-2007
- Set Target Cell: Ni y ta cn nhp vo a ch ca hm mc tiu.
- Equal To: Hm mc tiu mun t ti Max, Min hay Value of (bng mt gi tr mong
mun no th nhp gi tr vo.)
- By Changing Cell: Nhp vo a ch cha cc bin ca bi ton cn gii.
- Subject to the constraints: Nhp vo cc rng buc ca bi ton.

Cch lm ca Solver l thay i gi tr ca cc bin ti By Changing Cell n lc no lm
cho gi tr hm mc tiu ti Set Target Cell t mt gi tr qui nh ti Equal To (Max, Min
hoc Value of) v ng thi phi tha mn tp cc rng buc ti Subject to the constraints.
Thit lp cc ty chn cho hp thoi Solver Parameters ta nhp chut vo nt Options, hp
thoi Solver Options xut hin:
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Hnh 9. Thit lp thng s cho Solver: Ch mc nh

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Tham s Gii thch
Max Time Thi gian ti a gii bi ton, gi tr mc nh l 100 giy dng cho cc
bi ton n gin. Thi gian ti a c th nhp vo l 32.767 giy.
Iterations S ln lp ti a gii bi ton, gi tr mc nh l 100 giy dng cho cc
bi ton n gin. S ln lp ti a c th nhp vo l 32.767 ln.
Precision chnh xc ca bi ton. Ti y c th nhp vo cc s trong khong 0
v 1. S cng gn 0 th chnh xc cng cao. Gi tr ny iu chnh sai
s cho tp rng buc. Gi tr mc nh l 1 phn triu.
Tolerance Ch p dng i vi bi ton c rng buc nguyn. Nhp vo sai s c th
chp nhn c, sai s cng ln th tc gii cng nhanh. Gi trmc nh
l 5%
Convergence Ch p dng cho cc bi ton khng tuyn tnh (nonlinear). Ti y nhp
vo cc s trong khong 0 v 1. Gi tr cng gn 0 th chnh xc cao hn
v cn thi gian nhiu hn.
Assume
Linear Model
Chn tng tc gii bi ton khi tt c quan h trong m hnh l tuyn
tnh.
Assume
Non-Negative
Chn ty chn ny nu mun Solver gi nh l tt c cc bin l khng
m.
Use Automatic
Scaling
Chn khi bi ton m cc d liu nhp v xut c s khc bit ln. V d
bi ton ti a % li nhun trn hm triu USD vn u t.
Show Iteration
Results
Chn nu mun Solver tm dng li v hin th kt qu sau mi ln lp.
Estimates Chn phng php cho Solver dng c lng cc bin:
Tangent: S dng cch xp x tuyn tnh bc nht.
Quadratic: S dng cch xp x bc bn
Derivatives Chn cch c lng hm mc tiu v cc rng buc
Forward: c dng rt ph bin hn, khi cc gi tr ca rng buc
bin i chm.
Central: Dng khi cc gi tr ca rng buc bin i nhanh v c dng
khi Solver bo khng th ci tin kt qu thu c.
Search Qui nh gii thut tm kim kt qu cho bi ton:
Newton: l phng php mc nh, n s dng nhiu b nh hn v c s
ln lp t hn phng php Conjugate.
Conjugate: Cn t b nh hn phng php Newton nhng s ln lp th
nhiu hn. Dng phng php ny cho cc bi ton phc tp v b nh th
c gii hn.
Save Model Chn ni lu m hnh bi ton. c dng khi cn lu nhiu hn mt m
hnh trn mt worksheet. M hnh u tin c lu t ng.
Load Model Xc nh vng a ch ca m hnh bi ton cn np vo

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2.2. Trng hp Excel 2010
Solver trong Excel 2010 c thit k li v giao din v tn gi ca cc hp khai bo thng
s cng nh sp xp li cc thnh phn trn hp thoi. Solver trong Excel 2010 b sung thm
phng php tm kim li gii mi Evolutionary Solver da trn cc thut ton di truyn
(genetic algorithms). Phng php ny cho php gii quyt nhng bi ton c s dng bt k
hm no trong Excel. Solver trong Excel 2010 c ti u cho vic gii quyt cc bi ton tuyn
tnh v phi tuyn v b sung thm 2 loi bo co kt qu Linearity v Feasibility.

Hnh 10. Hp thoi Solver Parameters ca Excel 2010
- Set Object: Ni y ta cn nhp vo a ch ca hm mc tiu.
- To: Hm mc tiu mun t ti Max, Min hay Value of (bng mt gi tr mong mun
no th nhp gi tr vo hp bn cnh)
- By Changing Variable Cells: Nhp vo a ch cha cc bin thay i ca bi ton cn
gii.
- Subject to the constraints: Nhp vo cc rng buc ca bi ton.

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Hnh 11. Hp thoi Solver Results
Bo co Linearity
Khi khng tm c li gii trong cc bi ton phi tuyn. Solver s ch ra cc iu kin rng
buc v cc bin khng tha trong bi ton.

Hnh 12. Hp Solver results vi bo co Linearity
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Hnh 13. Bo co Linearity
Bo co Feasibility
Nu khng tm c li gii kh thi cho bi ton. Solver hin th thng bo khng tm c li
gii kh thi v bo co s gip ta xc nh nguyn nhn ca vn khng tm c li gii.

Hnh 14. Hp thoi Solver Result vi bo co Feasibility
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Hnh 15. Bo co Feasibility
Bn c th tinh chnh cc thng s cho qu trnh gii bi ton bng cch nhn vo nt Options
trong hp thoi Solver Parameters. Hp thoi Options xut hin v c t chc thnh 3 ngn
All Methods, GRG Nonlinear v Evolutionary tng ng vi cc phng php tm kim li gii.

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Hnh 16. Cc ngn trong hp thoi Options



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3. Tm nghim cho h phng trnh
Tm nghim cho h phng trnh sau:
2x + 2y + 3z = 33 (1)
2x + y + z = 18 (2)
x + 4y + 3z = 30 (3)

Cc bc thc hin:

Bc 1. Lp m hnh bi ton trn bng tnh trong vng A7:F10 theo dng sau:

Hnh 17. Lp m hnh bi ton trn bng tnh
Bc 2. Nhp cc h s bn v tri ca cc phng trnh:
- Trong vng A8:C8 nhp cc h s ca phng trnh th nht
- Trong vng A9:C9 nhp cc h s ca phng trnh th hai
- Trong vng A10:C10 nhp cc h s ca phng trnh th ba

Hnh 18. Nhp cc h s bn tri ca cc phng trnh
Bc 3. Nhp cc gi tr v phi ca cc phng trnh vo cc F8, F9 v F10 tng ng vi
th t ca 3 phng trnh.

Hnh 19. Nhp cc gi tr v phi ca cc phng trnh
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Bc 4. Nhp cc gi tr nghim khi to cho cc bin x, y, z trong cc D8, D9 v D10 cc gi
tr ty . V d bn nhp vo l 1 cho tt c cc .

Hnh 20. Nghim khi to
Bc 5. Tnh ton kt qu cho v tri bng vic nhn cc h s ca phng trnh vi cc nghim
x, y, z khi to. C nhiu cch tnh:
Cch 1. Nhn c bn:
- Ti E8 nhp vo cng thc =A8*$D$8+B8*$D$9+C8*$D$10
- Sao chp cng thc xung cho cc E9 v E10. Khi :
o E9 c cng thc l =A9*$D$8+B9*$D$9+C9*$D$10
o E10 c cng thc l =A10*$D$8+B10*$D$9+C10*$D$10
Cch 2. S dng hm Sumproduct kt hp hm Transpose tnh v tri:
- Ti E8 nhp vo cng thc =Sumproduct(A8:C8,Transpose($D$8:$D$10))
- Sao chp cng thc t E8 cho cc E9 v E10


Hnh 21. Tnh v tri
Bc 6. Vo Data | nhm Analysis | chn lnh Solver, hp thoi Solver Parameters xut hin.
Chng ta tin hnh khai bo cc thng s:
- Ti By Changing Cells nhp vo a ch ca cc nghim khi to D8:D10
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Hnh 22. Khai bo By Changing Cells
- Ti hp Subject to the Constraints, nhp nt Add thm rng buc vo hp thoi
Add Contraint nh hnh sau:

Hnh 23. Thm rng buc
- Nhp nt OK sau khi khai bo xong rng buc, hp thoi Solver Parameters nh sau:

Hnh 24. Khai bo thng s cho Solver
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Bc 7. Nhp vo nt Solve bt u tm nghim h phng trnh. Khi Solver tm c
nghim th hp thoi Solver Results xut hin nh hnh sau:

Hnh 25. Hp thoi Solver Results
Bc 8. Chn kiu bo co:
- Chn Keep Solver Solution lu kt qu tm c trn bng tnh.
- Chn Restore Original Values hy kt qu Solver va tm c v tr cc bin v
tnh trng ban u.
- Chn Save Scenario lu kt qu va tm c thnh mt tnh hung c xem li
sau ny. Ngoi ra bn cn c th chn 3 loi bo co b sung l Answer, Sensitivity v
Limits.

Bc 9. Chn OK hon tt qu trnh chy Solver.

Hnh 26. Cc nghim ca h phng trnh
Nghim ca h phng trnh gii bng Solver trong bi trn c chnh xc mt phn triu,
chng ta c th tng chnh xc lnh bng cch chnh li Precision trong Options ca hp
thoi Solver Parameters.


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4. Bi ton ti u v qui hoch tuyn tnh
Dng tng qut ca mt bi ton qui hoch tuyn tnh
Hm mc tiu: F = c
1
X
1
+ c
2
X
2
+ + c
n
X
n
Max (hoc Min)
Cc rng buc: a
11
X
1
+ a
12
X
2
+ + a
1n
X
n
b
1

:
a
k1
X
1
+ a
k2
X
2
+ + a
kn
X
n
b
k

:
a
m1
X
1
+ a
m2
X
2
+ + a
mn
X
n
= b
m

Vi i, j, k, m, n e Z

- Cc k hiu c
1
, c
2
, c
n
l cc h s ca hm mc tiu. Chng c th biu th cho li nhun
(hoc chi ph).
- K hiu a
ij
l cc h s ca cc phng trnh trong tp rng buc. Cc phng trnh c
dng bt ng thc hoc ng thc.
- Mt tp hp X = (X
1
, X
2
, X
n
) gi l li gii chp nhn c khi n tha tt c rng
buc.
- Mt tp hp X* = (X*
1
, X*
2
, X*
n
) gi l li gii ti u nu gi tr hm mc tiu ti
tt hn gi tr hm mc tiu theo cc phng n khc.

4.1. Ti u mt mc tiu
Tm X
1
v X
2
sau cho hm li nhun F = 350X
1
+ 300X
2
t gi tr cc i vi cc rng buc
sau y:
X
1
+ X
2
200 (R1)
9X
1
+ 6X
2
1566 (R2)
12X
1
+ 16X
2
2880 (R3)
X
1
0 (R4)
X
2
0 (R5)

Bc 1. T chc d liu trn bng tnh
- Bin quyt nh: l s lng sn phm mi loi cn sn xut nhp ti cc B3 v C3. V
d, bn hy cho cc gi tr cn sn xut khi to l 0.
- Hm mc tiu: l hm li nhun c tnh cn c trn cc gi tr khi to ca X1, X2 v
li nhun n v. Cng thc ti D4 l =B4*B3+C4*C3
- Thit lp cc rng buc trn bng tnh:
o Nhp cc h s bn tri ca cc quan h rng buc ti cc B7:C9.
o Tnh lng ti nguyn s dng ti cc D7, D8 v D9 theo cc cng thc:
Cng thc ti D7 l =B7*B3+C7*C3
Cng thc ti D8 l =B8*B3+C8*C3
Cng thc ti D9 l =B9*B3+C9*C3
o Nhp cc gi tr v phi ca cc quan h rng buc ti cc E7, E8 v E9.
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Hnh 27. Lp m hnh bi ton trn bng tnh
Bc 2. Khai bo hm mc tiu, chn hm mc tiu D4 ri vo Data | nhm Analysis | chn
lnh Solver, hp thoi Solver Parameters xut hin:
- Ti Set Target Cell nhp vo D4
- Ti Equal To chn Max cho Solver tm li gii cc i cho hm mc tiu, ngha l ti
a ha li nhun.

Hnh 28. Khai bo hm mc tiu

Bc 3. Khai bo cc bin quyt nh (tng trng cho lng sn phm X
1
v X
2
cn phi sn
xut). Ti By Changing Cells nhp vo vng a ch ca cc bin quyt nh B3 v C3.
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Hnh 29. Khai bo a ch cc bin cn tm
Bc 4. Thm cc rng buc vo Subject to the Constraints
- Nhp nt Add, chn vng a ch D7:D9 ti Cell Reference, chn du <= v chn E7:E9
ti Constraint. (Cc rng buc R1, R2, R3 u l bt phng trnh dng <= nn ta chn
c vng a ch).

Hnh 30. Cc rng buc cho cc bt phng trnh R1, R2 v R3
- Nhp nt Add v khai bo tip cc rng buc v cn di cho X1 v X2 nh hnh sau.

Hnh 31. Cc rng buc cho cc bin X1 v X2
- Nhp nt OK sau khi hon tt khai bo cc rng buc
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Hnh 32. Danh sch cc rng buc ca bi ton
- hiu chnh rng buc ta chn rng buc v nhp nt Change
- xa rng buc, ta chn rng buc t danh sch Subject to the Contraints v nhp nt
Delete.
Bc 5. Nhp nt Solve chy Solver, hp thoi Solver Results xut hin

Hnh 33. Kt qu chy Solver v to bo co.
Bc 6. Nhp chn Keep Solver Solution v chn OK.

Hnh 34. Kt qu bi ton ti u mt mc tiu.
Li nhun ln nht t $66.100 khi cn sn xut 122 sn phm X
1
v 78 sn phm X
2
.
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4.2. Qui hoch nguyn
Trong Excel cch gii bi ton qui hoch nguyn tuyn tnh cng ging nh cc gii bi ton qui
hoch tuyn tnh. Bn ch cn thm iu kin nguyn cho cc bin bt buc l s nguyn v hiu
chnh mt s tu chn trong Options.ca hp thoi Solver Parameters.
Tm X
1
v X
2
sau cho hm li nhun F = 300X
1
+ 230X
2
t gi tr cc i vi cc rng buc
sau y:
X
1
+ 3X
2
200 (R1)
9X
1
+ 5X
2
1290 (R2)
9X
1
+ 16X
2
2350 (R3)
X
1
0 (R4)
X
2
0 (R5)
X
1
v X
2
phi l s nguyn.

Bc 1. T chc d liu trn bng tnh

Hnh 35. Thit lp m hnh by ton
Bc 2. Khai bo cc thng s cho hp thoi Solver Parameters.

Hnh 36. Khai bo thng s
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Bc 3. Ty chnh Tolerance trong ty chn Options v nhp Tolerance l 0 (khng sai s).
Nhp nt OK sau khi ty chnh.

Hnh 37. Thit lp tham s cho Tolerance
Bc 4. Nhn nt Solve, chn loi bo co v nhp nt OK. Kt qu bi ton qui hoch nguyn
nh sau:

Hnh 38. Kt qu bi ton qui hoch nguyn


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4.3. Bi ton u t
Nh u t chng khon Ch Pho ang phn tch k hoch u t ton b s tin $750.000 vo
cc loi tri phiu ca cc Cng ty c nh gi theo bng sau:
Tri phiu Sut thu li S nm nh gi
ca cng ty hng nm o hn Tri phiu
ACME Chemical 8.65% 11 1-Cc k tt
DynaStar 9.50% 10 3-Tt
Eagle Vision 10.00% 6 4-Kh tt
MicroModeling 8.75% 10 1- Cc k tt
OptiPro 9.25% 7 3-Tt
Sabre Systems 9.00% 13 2-Rt tt
Nhm bo v khon u t, nh u t quyt nh u t khng qu 25% tin vo bt k tri
phiu no v phi u t t nht l 50% ca tng s tin vo tri phiu di hn (c nm o hn
ln hn hay bng 10 nm). Cc tri phiu DynaStar, Eagle Vision v OptiPro c sut thu li cao
nht tuy nhin khng c u t vo 3 loi tri phiu ny qu 35% ca tng s tin v chng c
ri ro cao (ri ro cao khi c nh gi t 2-Tt tr xung).
Ch Pho cn xc nh phi u t nh th no cc i ha li tc trong khi m bo tha
mn cc qui nh nu ra nh phn trn.
Xc nh cc bin: s tin u t vo mi loi tri phiu
t X
1
: l tng s tin u t vo Acme Chemical
X
2
: l tng s tin u t vo DynaStar
X
3
: l tng s tin u t vo Eagle Vision
X
4
: l tng s tin u t vo MicroModeling
X
5
: l tng s tin u t vo OptiPro
X
6
: l tng s tin u t vo Sabre Systems
Xc nh hm mc tiu: cc i ha li tc u t
0.0865X
1
+ 0.095X
2
+ 0.10X
3
+ 0.0875X
4
+ 0.0925X
5
+ 0.09X
6
Max
Xc nh cc rng buc:
- Tng u t phi bng $750.000
X
1
+ X
2
+ X
3
+ X
4
+ X
5
+ X
6
= 750.000
- m bo khng u t qu 25% ca tng s tin vo mt loi tri phiu no .
(25%*750.000 = 187.500). Ta c 6 rng buc sau:
X
1
, X
2
, X
3
, X
4
, X
5
, X
6
187.500
- Phi u t t nht 50% tin vo cc tri phiu di hn (50%*750.000=375.000). Cc tri
phiu c s nm o hn ln hn hay bng 10 nm l X
1
, X
2
, X
4
v X
6
.
X
1
+ X
2
+ X
4
+ X
6
375.000
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- u t khng qu 35% tin (35%*750.000=262.500) vo cc tri phiu DynaStar (X
2
),
Eagle Vision (X
3
) v OptiPro (X
5
).
X
2
+ X
3
+ X
5
262.500
- V cc bin l tin u t nn phi ln hn hay bng 0.
X
1
, X
2
, X
3
, X
4
, X
5
, X
6
0
Bc 1. Lp m hnh bi ton trn bng tnh
- Nhp cc s tin u t khi ng cho cc B4:B9 l 0.
- Tnh tng tin u t v t ti B10 theo cng thc =Sum(B4:B9).
- Nhp s tin cn u t 750.000 vo B11.
- Tnh s tin u t ti a cho mi tri phiu v t ti cc C4:C9. Tt c tnh bng
cng thc =$C$3*$B$11
- Tnh tng li tc hng nm ti D10 theo cng thc sau:
=SUMPRODUCT(D4:D9,$B$4:$B$9).
- Nhp s 1 vo cc F4:F9 nu n l tri phiu di hn, nu khng l tri phiu di hn
th nhp s 0. Sau tnh tng s tin u t vo cc tri phiu di hn nh cng thc
sau: =SUMPRODUCT(F4:F9,$B$4:$B$9).
- Nhp s 1 vo cc H4:H9 nu nh gi tri phiu l ri ro cao (li nhiu), ngc li th
nhp s 0. Tnh tng s tin u t cc tri phiu c sut thu li cao theo cng thc:
=SUMPRODUCT(H4:H9,$B$4:$B$9)
- Tnh F11 theo cng thc =50%*B11 v tnh H11 theo cng thc =35%*B11.


Hnh 39. Lp m hnh bi ton trn bng tnh
Bc 2. Chn hm mc tiu D10, sau chn Data | nhm Analysis | chn Solver. Khai bo
cc tham s nh hp thoi Solver Parameters nh hnh sau:
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Hnh 40. Khai bo tham s cho Solver
Bc 3. Nhp nt Solve chy Solver. Chn loi bo co v nhp OK hon tt.

Hnh 41. Kt qu bi ton u t



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5. La chn danh mc u t
K nim v Mr.Okebab
Mt trong cc ng dng ni ting nht ca m hnh NLP l xc nh cc khon u trong danh
mc vn u t gim ri ro n mc thp nht v thu c li nhun nh mong mun. i
vi vic u t n l th thc o mc ri ro chnh l s bin thin (phng sai) hoc lch
chun ca li nhun trong mt s thi on. Do vy, mc tiu chnh ca vic chn la danh mc
u t l lm gim i (lm trn) s bin thin ca li nhun thu v t danh mc u t bng
cch chn u t sao cho tng li nhun thu v c khuynh hng bin i ngc chiu nhau. V
th chng ta nn chn cc khon u t sao cho chng c phng sai m hoc tng quan
nghch khi m mt khon u t thu v li nhun thp hn mc li nhun trung bnh th s c
mt khon u t khc thu v li nhun cao hn mc trung bnh. Vic ny lm cho s bin thin
li nhun ca tp u t nh hn s bin thin ca vic u t n l.
5.1. Gii thiu bi ton
Mr.Okebab l nh t vn ti chnh c lp. ng ta gp mt khch hng mi tn l Ms.SG, c
ny mun Mr.Okebab t vn a dng ha tp u t ca mnh. Ms.SG u t mt phn
vn vo c phiu IBC. Trong 12 nm qua c phiu ny c t sut li nhun hng nm trung bnh
l 7.64% vi phng sai xp x 0.0026. Ms.SG mun c c nhiu li nhun hn t cc khon
u t nhng khng mun b nhiu ri ro. Ms.SG nh Mr.Okebab t vn cho mt tp u t sao
cho thu v t nht li nhun trung bnh l 12% vi ri ro l thp nht. Sau khi nghin cu,
Mr.Okebab xc nh c thm hai loi c phiu m l NMC v NBS c th gip Ms.SG thu
c li nhun mong mun. Kt qu nghin cu tm tt nh hnh di y.

Hnh 42. S liu ca tp u t
Theo kt qu nghin cu, ta thy rng c phiu NMC c t sut li nhun trung bnh l 13.43%
trong 12 nm v c phiu NBS t 14.93%. Mr.Okebab dng hm Covar() trong Excel to
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27Trn Thanh Phong 27
nn ma trn hip tng quan (xem hnh). T ma trn thy rng phng sai ca t sut li nhun
hng nm ca IBC, NMC v NBS ln lt l 0.00258, 0.00276 v 0.03677. Cc phn cn li
trong ma trn cho bit hip tng quan gia cc cp chng khon, v d nh hip tng quan
gia IBC v NMC xp x 0.00440, gia NMC v NBS xp x -0.00542.
Mr.Okebab mun xc nh t l u t vo tng loi c phiu nhm t c t l li nhun
mong mun l 12% vi iu kin s bin thin (phng sai) ca tng li nhun trong tp u t
l thp nht (ri ro thp nht).

5.2. Xc nh cc bin quyt nh
Trong bi ton ny chng ta phi xc nh t l u t vo tng loi c phiu. V vy, gii
quyt bi ton chng ta cn c ba bin quyt nh:
p
1
= t l trong tng tin u t vo IBC
p
2
= t l trong tng tin u t vo NMC
p
3
= t l trong tng tin u t vo NBS
Bi v cc bin ny tng trng cho cc t l, do vy chng phi ln hn 0 v tng ca chng
phi bng 1 (100%). Lu phi a cc iu kin ny vo khi gii bi ton.

5.3. Xc nh mc tiu
Mc tiu trong bi ton ny l ti thiu ha ri ro ca danh mc u t da vo cc tr thng k
phng sai. Mt cch tng qut, phng sai ca danh mc u t vi n hn mc u t c
xc nh bi cng thc sau:
Phng sai danh mc u t =

= + = =
+
1
1 1 1
2 2
2
n
i
n
i j
j i ij
n
i
i i
p p p o o

Trong :
p
i
= t l ca hn mc u t i trong danh mc u t
2
i
o = phng sai ca hn mc u t i
ij
o =
ji
o = hip tng quan gia cp hn mc u t i v j

Cng thc trn tng ng vi cng thc dng ma trn nh sau:
Phng sai danh mc u t = p
T
C
p

Trong :
p
T

= (p
1
, p
2
, p
3
, ., p
n
)
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28Trn Thanh Phong 28
C = ma trn hip tng quan n x n =
(
(
(
(
(

2
1 1
2
2
2 21
1 12
2
1
n n n
n
n
o o o
o o o
o o o



Lu nu u t ht 100% vn vo mt hn mc u t i th phng sai danh mc u t chnh
l
2
i
o (chnh l phng sai ca hn mc u t ).
Theo bi ton th chng ta c cc d liu sau:

2
1
o = 0.00258
2
2
o = 0.00276
2
3
o = 0.03677
12
o = -0.00025
13
o = 0.00440
23
o = -0.00542
T th vo cng thc trn ta c hm mc tiu nh sau:
MIN: 0.00258
1
2
+ 0.00276
2
2
+ 0.03677
3
2
+
2 x (-0.00025 x p
1
p
2
+ 0.0044 x p
1
p
3
0.00542 x p
2
p
3
)

Hm mc tiu ny khng tuyn tnh, v vy chng ta phi gii bng NLP.

5.4. Xc nh cc rng buc
Ch c hai rng buc chnh cho bi ton ny, theo bi chng ta c 3 bin quyt nh tng
trng cho t l ca cc hn mc u t trong danh mc u t v tng cc t l l 100%.
p
1
+ p
2
+ p
3
= 1
Ngoi ra chng ta cng cn thm rng buc t l li nhun mong mun (k vng) ca danh
mc u t l 12%.
0.074 p
1
+ 0.1343 p
2
+ 0.1493 p
3
0.12
Cc h s chnh l t sut li nhun trung bnh ca tng loi c phiu. Rng buc trn m
bo rng t sut li nhun trung bnh ca tp u t ti thiu l 12%
Do cc bin quyn nh l cc t l nn chng phi l s dng v ti a l 1.
p
1
, p
2
, p
3
0
p
1
, p
2
, p
3
1

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29Trn Thanh Phong 29
5.5. Trin khai m hnh ln bng tnh
Tm ti bi ton c cc thng tin sau:
MIN: 0.00258
1
2
+ 0.00276
2
2
+ 0.03677
3
2
+
2 x (-0.00025 x p
1
p
2
+ 0.0044 x p
1
p
3
0.00542 x p
2
p
3
)
Rng buc:
p
1
+ p
2
+ p
3
= 1
0.074 p
1
+ 0.1343 p
2
+ 0.1493 p
3
0.12
p
1
, p
2
, p
3
0
p
1
, p
2
, p
3
1

Trnh by cc ln bng tnh nh hnh bn di
- Cc G11, H11 v I11 chnh l cc t l u t p
1
, p
2
, p
3
, ta nhp cho chng cc gi tr
khi ng bt k v d nh nhp vo G11 l 100%, H11 l 0% v I11 l 0%.
- Nhp vo H16 cng thc sau:
=G6*G11^2+H7*H11^2+I8*I11^2+2*(H6*G11*H11+I6*G11*I11+H8*H11*I11)
- tn cng nhp cng thc trn ta c th s dng hm Sumproduct (Tnh tng cc
tnh) kt hp hm Mmult (nhn ma trn) nh sau:
=SUMPRODUCT(MMULT(G11:I11,G6:I8),G11:I11)
- Tng t tnh cho li nhun mong mun ti H13 bng hm Sumproduct nh sau:
=SUMPRODUCT(B18:D18,G11:I11)
- Nhp li nhun yu cu ti H14 gi tr l 12%

Hnh 43. M hnh bi ton trn bng tnh
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30Trn Thanh Phong 30
Khai bo thng s cho Solver
Bc 1. Chn H16
Bc 2. Vo Ribbon Analysis Solver. (Cc phin bn Excel c vo Tools Solver)
Bc 3. Ti Set Target Cell chn H16 (hm mc tiu) v ti Equal To th chn Min
Bc 4. Ti By Changing Cells chn G11:I11 (t l cc hn mc u t cn tm)
Bc 5. Thm cc rng buc vo bng cch nhn nt Add, lm tun tun t cho tt c cc rng
buc. Khai bo xong trong hp thoi Change Constraint nu mun thm rng buc khc th
nht nt Add cn kt thc th nhn nt OK tr v hp thoi Solver. (Xem cc hnh bn di)





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31Trn Thanh Phong 31

Hnh 44. Khai bo cc thng s v cc rng buc
Bc 6. Nhn nt Solve tm li gii


Hnh 45. Kt qu chy Solver

5.6. Nhn xt
Kt qu cho thy phng n u t tt hn so vi vic u t n l chnh l u t 27.2% tin
vo IBC, u t 63.4% vo NMC v 9.4% vo NBS. H13 cho thy rng tp u t ny s t
c mc li nhun mong mun l 12% v H16 cho thy s bin thin ca tp u t ch l
0.00112 thp hn nhiu so vi bin thin ca tng c phiu n l.
Li gii cho thy tp u t ny s mang li li nhun mong mun cho Ms.SG vi ri ro thp
hn vic u t ca c ta trc kia v vic u t trc kia l khng hiu qu. L thuyt v danh
mc u t cho rng i vi mi mc li nhun u t c th c th s tn ti mt tp u t cho
ri ro thp nht v nu chng ta chn nhm mt tp u t m c ri ro cao hn th xem nh tp
u t khng c hiu qu. Ngc li, i vi mi mc ri ro u t th s tn ti mt tp u
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32Trn Thanh Phong 32
t cho li nhun cao nht v nu chng ta chn nhm mt tp u t cho li nhun thp hn th
cng xem nh tp u t khng c hiu qu.
Do vy, d chng ta c gng gim thiu ri ro t c mc li nhun cho trc hoc chng
ta ti a ha li nhun vi mt mc ri ro cho trc th kt qu thu c vn c kh nng l tp
u t khng hiu qu. Theo ny, li gii t bi v d trn c kh nng a ra tp u t khng
hiu qu v c kh nng tn ti mt tp u t khc hiu qu hn (v y l bi ton NLP
khng tuyn tnh).
gii quyt vn trn, gii li bi ton nhiu ln v tng mc li nhun k vng ln trong khi
vn gi nguyn mc ri ro. (t H14 thnh mt s khc cao hn v ti Equal To nhp vo gi
tr tm c ln u tin ti H16).
ti u s nh i gia ri ro v li nhun cho tp u t, chng ta nn v biu nh hnh
bn di (t kt qu thu v ca nhiu ln chy Solver c s thay i ri ro v mc li nhun).
Biu s minh ha cho chng ta mc ri ro thp nht cho mt mc t sut li nhun thu v
no .


Hnh 46. ng ranh gii u t hiu qu
5.7. Gii quyt mu thun gia li nhun v ri ro
Chng ta thy rng c s mu thun trong cc mc tiu ca bi ton la chn danh mc u t
trn: gim thiu ri ro (phng sai tp u t) v ti a ha li nhun. Cc gii quyt mu thun
trn l chng ta cng gii tip bi ton sau:
MAX: (1-r)(Li nhun k vng ca tp u t) r(Phng sai ca tp u t)
Rng buc: Ep
i
= 1
P
i
0
0.0000
0.0050
0.0100
0.0150
0.0200
0.0250
0.0300
0.0350
0.0400
10.00% 11.00% 12.00% 13.00% 14.00% 15.00% 16.00%
P
h

n
g

s
a
i

c

a

D
M

T

(
R

i

r
o
)
Li nhun ca DMT
ng ranh gii u t hiu qu
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33Trn Thanh Phong 33

Trong , p
i
chnh l t l tin u t vo cc hn mc u t v r l mt hng s gia 0 v 1
tng trng cho kh nng chp nhn ri ro ca nh u t. Khi r=1 (ri ro thp nht) th mc
tiu ca bi ton lc ny l tp trung lm gim ti thiu phng sai ca tp u t.
Chng ta th gii li bi ton khi r=1, khai bo li cc thng s trn bng tnh nh hnh sau:

Hnh 47. Chnh sa m hnh bi ton

Gi hp thoi Solver v ti Set Target Cell chn H16 v cho tin ti Max, By Change Cells
vn l cc G11:I11 v cc rng buc nh hnh di, sau nhn nt Solve xem kt qu.

Hnh 48. Khai bo thng s cho hp thoi Solver
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34Trn Thanh Phong 34
T kt qu trn, chng ta thy rng khi nh u t khng thch ri ro r=1 th t sut li nhun
thu v trong trng hp ny 11.46% khi nh u t s u t 35.96% vo IBC, 56.96% vo
NMC v 7.08% vo NBS. Vi tp u t ny th phng sai s l 0.00110 thp hn phng sai
ca tp u t xt trn.

Tng t, khi r=0 (ri ro cao nht) th mc tiu lc ny l cc i li nhun thu v ca tp u
t. Chng ta th gii li bi ton khi r=0, khai bo li cc thng s trn bng tnh nh hnh sau:



Sa li gi tr H15 thnh s 0 v chy li Solver, kt qu cho thy nh u t s u t 100%
vn vo c phiu NBS v khi thu c li nhun ln nht.

i vi trng hp gi tr 0 < r < 1 th Solver s c gng tm kim li gii sao cho li nhun thu
v l ln nht c th v phng sai ca tp u t l nh nht c th c. Khi r cng tin v 1
th ri ro cng gim, iu ny ph hp cho nhng nh u t khng thch ri ro. Tm li, y l
bi ton nh i gia li nhun thu v v ri ro phi chu ca nh u t, nu bn l ngi thch
an ton th hy chn r l mt con s gn vi s 1 v ngc li bn thch u t mo him th hy
cho r gn vi s 0, s la chn v quyt nh ng n s mang bn n thnh cng.



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