I HC QUC GIA H NI

TRNG I HC KHOA HC T NHIN

KHOA TON - C - TIN HC
Trn Th Nh Hoa
NG DNG TI U HA TON HC
GII BI TON MARKOWITZ
TI U HA DANH MC U T CHNG KHON
KHA LUN TT NGHIP I HC CHNH QUY
Ngnh: Ton - Tin ng dng
Ngi hng dn: PGS.TS Nguyn Hu in
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.Phng php im trong. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.3.1. Hng i s dng phng php Newton-Raphson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3.2. Tnh ton chiu di mi bc lp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3.3. Tiu chun hi t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.3.4. Thut ton im trong. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.4.Phng php gradient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4.1. tng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4.2. Thut ton gradient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.5.Phng php s dng cc m rng ca phng php n hnh . . . .
18
2.5.1. Pht biu bi ton v iu kin ti u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.5.2. Hng gii quyt vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Chng 3. Gii bi ton Markowitz - ti u ha danh mc u t . . . 21
3.1.Tng quan v bi ton Markowitz . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.1.1. Pht biu bi ton Markowitz c bn v cc tnh cht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.1.2. Cc khi nim v thng s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.1.3. Thuc tnh ca bi ton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.1.4. Mt s kt qu nghin cu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
3.2.Phng php gii bi ton Markowitz gc . . . . . . . . . . . . . . . . . . . 27
3.2.1. M hnh c bn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.2.2. iu kin Kuhn-Tucker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.2.3. Trng hp c bit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3.2.4. Tm nghim c s ca bi ton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.2.5. V d minh ha thut gii . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
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
Ngy nay, ti u ha tr thnh mt lnh vc rt pht trin, gp phn quan
trng trong vic ng dng khoa hc cng ngh vo cuc sng v sn xut. Quy
hoch ton phng (QHTP) l mt lnh vc ca ti u ha c pht trin
t u ca th k 20, n nay ton b l thuyt ton hc cho lnh vc ny c
th ni l rt hon thin. Chng ta c hai l do chnh yu thch QHTP.
u tin l v mt thc tin, mt m hnh rt quan trng trong vn ti u
ha u t ti chnh yu cu gii bi ton quy hoch ton phng. L do th
hai cho s yu thch ca chng ta l dng bi ton v cch gii QHTP l
cu ni ti mt lnh vc mang tnh rng ln hn rt nhiu l quy hoch li.
Chng ta s i vo vn ng dng thc tin ca QHTP, mt vn m rt
nhiu ngi quan tm, khng ch cc nh ton hc m cc nh kinh t cng
ang nghin cu t m m hnh ny.
Kha lun tp trung lm r mt s vn sau: Trnh by bi ton quy hoch
ton phng tng qut, cc phng php ch yu gii bi ton. Sau i
vo bi ton Markowitz: ti u ha danh mc u t chng khon. Bi ton
Markowitz c trnh by di 2 dng, dng gc v dng tng qut. V cui
cng l cc v d cng nh kt qu tnh ton bng s minh ha cho bi ton.
B cc ca kha lun bao gm 3 chng v 1 ph lc:
Chng 1 ca kha lun trnh by tm tt v bi ton quy hoch tuyn
tnh gc v i ngu, thut ton n hnh gii bi ton quy hoch tuyn
tnh, cc nh l v kt qu c bn lin quan n kha lun.
Chng 2 ca kha lun i vo trnh by tng quan v bi ton quy hoch
ton phng, mt s phng php ch yu gii bi ton nh phng
php im trong, phng php gradient, phng php s dng nhng m
rng ca phng php n hnh.
Chng 3 trnh by cc kin thc v kinh t lin quan, t bi ton
Markowitz, cc iu kin bi ton ti u, sau i vo trnh by
phng php gii bi ton Markowitz gc vi cc rng buc dng ng
thc v bi ton Markowitz tng qut vi s rng buc ln hn, c thm
cc rng buc dng bt ng thc.
Ph lc s dng bng tnh excel lm vic vi bi ton trong thc t.
Do thi gian thc hin kha lun khng nhiu, kin thc cn hn ch nn
khi lm kha lun khng trnh khi nhng hn ch v sai st. Tc gi mong
nhn c s gp v nhng kin phn bin ca qu thy c v bn c.
Xin chn thnh cm n!
H Ni, ngy 19 thng 05 nm 2010
Sinh vin
Trn Th Nh Hoa
5
Chng 1
Mt s kin thc lin quan
1.1. Bi ton quy hoch tuyn tnh gc v i ngu
Bi ton quy hoch tuyn tnh[1] (QHTT) tng qut c th c pht biu
di dng:
min(max){f (x) :=
n

j=1
c
j
x
j
} (1.1)
tha mn: D :=
_

n
j=1
a
i j
x
j
= b
i
, i = 1, . . . , m
1
,

n
j=1
a
i j
x
j
b
i
, i = m
1
+1, . . . , m
2
,

n
j=1
a
i j
x
j
b
i
, i = m
2
+1, . . . , m,
l
j
x
j
u
j
, j = 1, . . . , n.
trong x
j
gi l cc bin, c
j
gi l thnh phn ca vct h s hm mc
tiu (hm gi), a
i j
gi l h s rng buc, b
i
gi l h s v phi, l
j
< u
j
ln lt gi l cc cn di v cn trn (gii hn di v trn) ca bin x
j
(i = 1, . . . , m, j = 1, . . . , n).
nghin cu tnh cht v cc phng php gii bi ton quy hoch tuyn
tnh (1.1) ngi ta thng chuyn bi ton ny v mt trong hai dng chnh tc
v chun tc. Trong kha lun ny ch cp n bi ton quy hoch tuyn
tnh dng chnh tc nh sau:
min f (x) = c
T
x
tha mn: D
p
=
_
Ax = b
x 0.
(1.2)
Trong x = (x
1
, . . . , x
n
)
T
gi l cc bin cn ti u, c = (c
1
, . . . , c
n
)
T
l
vct hm mc tiu, ma trn A = (a
i j
)
mn
l ma trn h s rng buc v
b = (b
1
, . . . , b
m
)
T
gi l vct v phi. Hm f gi l hm mc tiu, tp D
p
gi
6
l tp rng buc. Ma trn A c gi thit l c hng , rank A = m n v
bi ton gi l bi ton QHTT gc, k hiu l (P).
Mt im x D
p
gi l mt im (hay phng n) chp nhn c. im
x

D
p
gi l nghim (hay phng n ti u) ca bi ton (1.2) nu f (x

)
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 mr 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) = c
T
x +y
T
(bAx) +s
T
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)):
maxg(y, s) = b
T
y
tha mn: D
d
=
_
A
T
y +s = c
s 0.
(1.5)
Bin s gi l bin b, g gi l hm mc tiu i ngu v D
d
gi l min rng
buc i ngu. Hin nhin D
d
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) D
d
ta t
(x, y, s) = f (x) g(y, s) = s
T
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 x
0
ca min rng buc.
Bc 2: Nu x
0
l nghim ti u, dng thut ton. Nu khng chuyn
sang bc 3.
Bc 3: T x
0
tm cch di chuyn n nh k tip theo ca min rng
buc tt hn nh x
0
(theo ngha gi tr hm mc tiu nh hn).
Bc 4: Lp li Bc 2, 3 vi x
0
thay bng x
1
.
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 x
0
c l ti u hay khng?
T nh x
0
lm th no di chuyn n nh x
1
tt hn x
0
?
8
Thut ton n hnh.
u vo: Ma trn A = (a
i j
)
mn
, vct b, vct c. Phng n c s x
0
v
c s tng ng J(x
0
).
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 x
0
ng vi c s xut pht
J
0
:= B(x
0
).
2. Tnh cc h s khai trin Z = (z
jk
) v cc c lng
k
theo cc
cng thc tng ng sau
_

_
A
k
=

jJ
0
z
jk
A
j
j = 1, n

k
=

jJ
0
z
jk
c
j
c
k
k / J
0

k
= 0 k J
0
Bc 1: Kim tra tiu chun ti u.
1. Nu
k
0 vi mi k / J
0
th x
0
l phng n ti u. Kt thc
thut ton.
2. Nu
k
> 0, chuyn sang bc 2.
Bc 2: Kim tra tnh b chn ca hm mc tiu.
Vi mi k / J
0
m
k
> 0 ta kim tra cc h s khai trin Z
k
= (z
jk
).
1. Nu c mt
k
>0 m tt c cc h s khai trin z
jk
0, (j J
0
)
th kt lun hm mc tiu khng b chn di. Bi ton khng c
phng n hu hn. Kt thc thut ton.
2. Nu vi mi k / J
0
m tn ti t nht mt h s z
jk
>0 th tin hnh
tm phng n mi x
1
tt hn x
0
bng cch chuyn sang bc 3.
Bc 3: Tm phng n mi
1. Chn vct A
s
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 A
r
a ra khi c s theo quy tc:
9
3. Tnh phng n mi x
1
v gi tr hm mc tiu mi theo cng
thc:
x
1
=
_

_
0 vi k / J
0
, k = s
x
0
r
z
rs
vi k = s
x
0
j

x
0
r
z
rs
z
js
vi j J
0
f (x
1
) = f (x
0
)
x
0
r
z
rs

s
Bc 4: Tnh cc h s khai trin v c lng mi theo cng thc
z
1
jk
=
_
z
rk
z
rs
nu j = s
z
jk

z
rk
z
rs
z
js
nu j J
0
, j = r

1
k
=
k

z
rk
z
r
s

s
Bc 5: Quay v bc 1 vi phng n c s mi x
1
v c s mi
J
1
:= J(x
1
).
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 c
J
Phng n 1 2 k n
J x
J
c
1
c
2
c
k
c
n
J
1
c
j
1
x
j
1
z
j
1
1
z
j
1
2
z
j
1
3
z
j
1
n
J
2
c
j
2
x
j
2
z
j
2
1
z
j
2
2
z
j
2
3
z
j
2
n
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
J
m
c
j
m
x
j
m
z
j
m
1
z
j
m
2
z
j
m
3
z
j
m
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 J
0
s l cc vct n v vi h s 1 nm trn
dng vi ch s j.
Vi k / J
0
th ct k ca bng n hnh l h s khai trin ca A
k
ca ma
trn A theo c s J
0
. Ta k hiu ct ny l Z
k
ngha l A
k
= B
J
0
Z
k
hay
Z
k
= (B
J
0
)
1
A
k
, y B
J
0
l ma trn c s (B
J
0
= A
j
| j J
0
.
c bit khi ta chn c mt ma trn B
J
0
c dng ma trn n v th h
s khai trin trn cc ct j vi j J
0
s chnh l ct vct n v z
jk
= e
j
,
cn cc h s khai trin trn cc ct k / J
0
chnh l z
jk
= A
k
.
10
Dng c lng l dng cui cng ca bng v c tnh bi
k
=c
T
J
0
Z
k

c
k
v
j
= 0, (j J
0
).
Gi tr hm mc tiu chnh l f (x) = c
T
J
0
x
J
)
.
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 A
J
, 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 A

J
. Khi
ta c:
x

J
= A
1
J

b,
vi x

= (x

j
)
jJ
v (x

j
)
jJ
= (0).
Khi A
J
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

= (A
1
J

)
T
c
J
, s

= c A
T
y

,
trong c
J
= (c
j
)
jJ
.
Khi khong trng i ngu s l:

= (x

)
T
s

= 0. Theo nh l v
lch b th nu x

j
> 0 th s

j
= 0, do d thy s

= 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 x
0
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 b
i
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
min f
a
(u) :=
m

j=1
u
n+j
(1.7)
tho mn D
a
:=
_

n
j=1
a
i j
x
j
+u
n+i
= b
i
, (i = 1, m)
x
j
0, ( j = 1, n)
u
n+i
0, (i = 1, m)
11
Cc bin u
n+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 =
(u
n+1
, u
n+2
, . . . , u
n+m
)
T
v E l ma trn n v cp m th ta c th vit bi
ton trn di dng
min f
a
(u) := e
T
u (1.8)
tho mn D
a
:=
_
Ax +Eu = b
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 u
n+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
Bi ton quy hoch ton phng
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.
2.2. Bi ton quy hoch ton phng dng chun
Bi ton quy hoch ton phng dng chun pht biu di dng:
minc
T
x +
1
2
x
T
Qx
tha mn:
_
Ax = b (a)
x 0 (b)
(2.1)
Trong x
n1
l bin ti u, A
mn
l ma trn rng buc b
m1
l vct ca
cc rng buc v phi, c
n1
l vct ca hm mc tiu, Q
nn
l ma trn trong
hm mc tiu. D thy rng bi ton quy hoch ton phng l li khi Q
nn
l
ma trn vung xc nh dng.
13
2.2.1. iu kin ti u Karush-Kuhn-Tucker (KT)
iu kin KT [4] ny l iu kin cn v bi ton c nghim. Cc iu
kin ti u ny gn vi vic chuyn bi ton QHTP v dng bi ton khng
rng buc bng cch xt hm Lagrange. Hm Lagrange[4] gn vi bi ton
(1.1) c dng nh sau:
L(x, u, v, s) = c
T
x +
1
2
x
T
Qx +u
T
(x +s
2
) +v
T
(Ax +b)
Trong u 0 l nhn t Lagrange lin kt vi rng buc bt ng thc x 0
, s l bin ph lin kt vi rng buc x 0, v
m1
l nhn t Lagrange lin kt
vi rng buc Ax = b (hay Ax +b = 0)
Ly vi phn hm Lagrange theo tng bin ta c:
L
x
= 0 c +Qx uA
T
v = 0
L
v
= 0 Ax b = 0
L
u
= 0 x +s
2
= 0
L
s
= 0 u
i
s
i
= 0 i = 1. . . n
u
i
0 i = 1. . . n
(2.2)
iu kin ti u ca bi ton QHTP t c khi gii quyt h phng trnh
sau:
(a) Ax b = 0 (iu kin c s)
(b) Qx +A
T
v +u = c (iu kin i ngu)
(c) u
i
x
i
= 0 i = 1. . . n (iu kin ph b sung)
(d) x
i
0, u
i
0 i = 1. . . n
(2.3)
nh ngha ma trn cho c nn:
U = diag[u
i
] X = diag[x
i
]
V vct e: e
T
= (1. . . 1)
iu kin ph b sung (2.3 c) c vit li nh sau: XUe = 0.
2.3. Phng php im trong
Phng php im trong (interior point method) c bn i gii quyt h
phng trnh (2.3). H (2.3) l phi tuyn bi iu kin (2.3 c). Chng ta s s
dng mt phng php lp nh Newton-Raphson gii h phng trnh ny.
14
Cc phng trnh tuyn tnh s tha mn mi bc lp, vi phng trnh (2.3
c) khng tha mn mi bc, ta s dng mt tham s > 0 ch th li
ny. iu kin (2.3 c) c vit li nh sau:
XUe = e
2.3.1. Hng i s dng phng php Newton-Raphson
mi ln lp ta cn tnh ton gi tr mi ca (2n +m) bin (x, u, v). S
dng phng php Newton-Raphson gi tr mi ca cc bin t c bng
cch gii h sau:
_
_
A 0 0
Q I A
T
U X 0
_
_
_
_
d
x
d
u
d
v
_
_
=
_
_
Ax
k
b
Qx +A
T
v
k
+u
k
c
XUe
k
e
_
_
.
Bin i h ny ta tnh c d
v
:
A[XQ+U]
1
XA
T
d
v
= r
p
+A[XQ+U]
1
(Xr
d
r
c
)
Bit d
v
ta tnh c d
x
, d
u
:
d
x
= [XQ+U]
1
(XA
T
d
v
Xr
d
+r
c
)
d
u
= X
1
(r
c
Ud
x
)
2.3.2. Tnh ton chiu di mi bc lp
K hiu l chiu di mi bc lp, ta c cng thc tnh phn t th (k+1)
qua phn t th k nh sau:
x
k+1
= x
k
+
p
d
x
u
k+1
= u
k
+
d
d
u
v
k+1
= v
k
+
d
d
v
(2.4)
Chiu di ca mi bc c chn:

p
= min[1,
x
i
dx
i
, dx
i
< 0]

d
= min[1,
u
i
du
i
, du
i
< 0]
0 1, thng ly bng 0, 999
(2.5)
15
2.3.3. Tiu chun hi t
Vi
1
,
2
,
3
l cc s dng nh. S dng tnh cht ti u:

p
=
||Ax
k
b||
||b|| +1

1

d
=
||r
d
||
||Qx
k
+c|| +1

2

3
Vi
k
=
(x
k
)
T
u
n
, n l s bin ti u
(2.6)
Vi tng nh trn, thut ton im trong[4] c m t nh sau:
2.3.4. Thut ton im trong.
Bc khi to: u tin khi to k = 0, gi tr ty ( 0) ca x, u, v v
d x
k
= u
k
= e = (1. . . 1) v v
k
= 0
im k tip x
k+1
c tnh nh sau:
Bc 1: Kim tra tiu chun hi t. t
k
=
[
(x
k
)
T
u
n
]
(k +1)
Kim tra iu kin

p
=
||Ax
k
b||
||b|| +1

1

d
=
||r
d
||
||Qx
k
+c|| +1

2

3
(2.7)
Bc 2: Tnh r
p
, r
d
, r
c
r
p
=Ax
k
+b
r
d
= Qx
k
A
T
v
k
u
k
+c
r
c
=XUe +
k
e
(2.8)
Bc 3: Tm d
v
Bc 4: Tm d
x
, d
u
.
Bc 5: Tnh ton bc tng
p
,
d
.
Bc 6: Tnh gi tr im k tip x
k+1
, u
k+1
, v
k+1
.
16
2.4. Phng php gradient
2.4.1. tng
Ta bit rng vct gradient ca f ti x
0
c dng:
f (x
0
) = (
f (x
0
)
x
1
,
f (x
0
)
x
2
, . . . ,
f (x
0
)
x
n
)
Vct gradient f (x
0
) ch ra hng tng nhanh nht ca hm mc tiu ti x
0
.
Vy vct f (x
0
) gi l i gradient ch ra hng gim nhanh nht ca hm
mc tiu ti x
0
. T tng trn th thut ton gradient[1] c pht biu nh
sau:
2.4.2. Thut ton gradient
u vo: Ma trn A = (a
i j
)
mn
, vct b, vct c. Phng n c s x
0
v
c s tng ng J(x
0
).
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 1: Tm phng n x
0
thuc min rng buc M, cho k = 0.
Bc 2: c x
k
(k 0) ta xc nh di bc: Vic dch chuyn t
t
k
theo hng f (x
k
) ti im x
k
+[f (x
k
)] ko theo bin i hm
f mt s gia:
f =f [x
k
f (x
k
)] + f (x
k
)
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
d
= 0 f [x
k
f (x
k
)](f (x
k
) = 0 (*)
T phng trnh (*) ta tm c im dng

.
Nu ti im dng

ta c
d
2
f
d
2
< 0 th ta c im cc i

ca f .
Do :
x
k+1
= x
k
+[f (x
k
)]

17
Bc 3: Th xem x
k+1
c thuc M? Nu im x
k+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 x
k+1
l im ti u hay khng?
1. Nu f (x
k+1
) = 0 th x
k+1
l im ti u.
2. Nu f (x
k+1
) =0 th x
k+1
cha l im ti u, ta tng k ln 1 v quay
tr li bc 2.
2.5. Phng php s dng cc m rng ca phng php n hnh
Trong chng th nht chng ta i tm hiu phng php n hnh v
ng dng gii cc bi ton quy hoch tuyn tnh, trong phn ny ta s x
xem xt nhng m rng ca phng php ny[6] gii bi ton quy hoch
ton phng. u tin ta kim tra iu kin Karush Kuhn-Tucker (KKT) cho
bi ton quy hoch ton phng v nhn thy t iu kin ny tr v mt h
cc phng trnh tuyn tnh v cc rng buc b sung, gii c h ny cn
s dng ti cc m rng ca phng php n hnh.
2.5.1. Pht biu bi ton v iu kin ti u
Dng ca bi ton quy hoch ton phng vi cc rng buc bt ng thc
min f (x) = c
T
x +
1
2
x
T
Qx
tha mn:
_
Ax b (a)
x 0 (b)
(2.9)
Hm Lagrange gn vi bi ton:
L(x, ) = cx +
1
2
x
T
Qx +u
T
(x +s
2
) +(Ax b)
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
x
j
0, j = 1. . . n c +x
T
Q+A 0 (a)
L

j
0, i = 1. . . m Ax b 0 (b)
x
j
L
x
j
= 0, j = 1. . . n x
T
(c
T
+Qx +A
T
) = 0 (c)

j
g
i
(x) = 0, i = 1. . . m (Ax b) = 0 (d)
x
j
0, j = 1. . . n x 0 (e)

j
0, i = 1. . . m 0 (f)
(2.10)
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 R
n
vo bt ng thc (2.10 a) v
v R
m
vo bt ng thc (2.10 b) ta c
c
T
+Qx +A
T

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 +A
T

T
y =c
T
(a)
Ax +v = b (b)
x 0, 0, y 0, v 0 (c)
y
T
x = 0, v = 0 (d)
(2.11)
2.5.2. Hng gii quyt vn
Ta chuyn bi ton (2.11 a) - (2.11 d) v dng ca bi ton quy hoch tuyn
tnh, khi ta s p dng c thut ton n hnh vi bi ton ny. chuyn
bi ton v dng tuyn tnh th cn bin i dng ca phng trnh (2.11 d).
Nu cc gi tr v phi l m th nhn phng trnh vi (-1).
Thm cc bin gi vo mi phng trnh.
Ta lp bi ton ph vi hm mc tiu l tng ca cc bin gi trn. Bi
ton ph s gii theo phng php n hnh (c th l thut ton n hnh
hai pha cp chng mt).
minh ha cho phng php ny chng ta xt v d sau:
V d:
min f (x) =8x
1
16x
2
+x
2
1
+4x
2
2
tha mn: x
1
+x
2
5, x
1
3, x
1
0, x
2
0
(2.12)
19
Li gii: Chuyn bi ton v dng bi ton QHTP
c
T
=
_
8
16
_
, Q =
_
2 0
0 8
_
, A =
_
1 1
1 0
_
, b =
_
5
3
_
x = (x
1
, x
2
), y = (y
1
, y
2
), = (
1
,
2
), v = (
1
,
2
)
(2.13)
Rng buc tuyn tnh (2.11 a) v (2.11 b) c chuyn v dng sau:
2x
1
+
1
+
2
y
1
= 8 (2.14)
8x
2
+
1
y
2
= 16
x
1
+x
2
+
1
= 5
x
1
+
2
= 3
Ta thm cc bin gi vo mi rng buc v tm gi tr nh nht ca tng cc
bin ny.
min a
1
+a
2
+a
3
+a
4
tha mn:
2x
1
+
1
+
2
y
1
+a
1
= 8
8x
2
+
1
y
2
+a
2
= 16
x
1
+x
2
+
1
+a
3
= 5
x
1
+
2
+a
4
= 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: (x

1
, x

2
) = (3, 2)
Bng : Gi tr ti cc bc lp ca thut ton n hnh hai pha gii bi ton
QHTP
Bc
lp
Bin s dng Gi tr bin Gi tr
hm mc
tiu
Bin
thm
vo
Bin
loi
b
1 (a
1
, a
2
, a
3
, a
4
) (8,16,5,3) 32 x
2
a
2
2 (a
1
, x
2
, a
3
, a
4
) (8,2,3,3) 14 x
1
a
3
3 (a
1
, x
2
, x
3
, a
4
) (2,2,3,0) 2
1
a
4
4 (a
1
, a
2
, a
3
,
1
) (2,2,3,0) 2
1
a
1
5 (
2
, a
2
, a
3
, a
4
) (2,2,3,0) 0
20
Chng 3
Gii bi ton Markowitz - ti u ha
danh mc u t
3.1. Tng quan v bi ton Markowitz
Quy hoch ton phng c rt nhiu ng dng trong thc t, nht l trong
lnh vc kinh t. Mt ng dng in hnh l bi ton Markowitz. Harrry
Markowitz l nh ton hc v nh kinh t hc, ng nghin cu qu trnh
u t trong kinh t v xut ln bi ton Markowitz v ti u ha danh mc
u t. Vi cng trnh ny ng t gii Nobel v kinh t. Bi ton ny c
m hnh ha di dng quy hoch ton phng, thng qua vic gii bi ton
cc nh u t s c thm phng hng la chn danh mc u t ca
mnh.
hiu c bi ton ny, trc ht chng ta cn c mt cht kin thc v
lnh vc kinh t [2]. u tin chng ta cng tm hiu mt vi khi nim v cc
i lng ngu nhin c tnh quy lut trong kinh t:
+ Li sut u t vo mt ti sn
Li sut u t trn mt ti sn ti chnh l thu nhp m ti sn ny mang
li v s tng vn (tng gi tr ti sn) ca chnh ti sn . Nh vy li sut
tng vn bao gm c hiu sut sinh li do thu nhp t ti sn mang li v gi
tr vn tng thm so vi gi mua ban u ca ti sn. Cng thc nh gi li
sut ca mt ti sn l:
R
t
=
D
t
+P
t
P
t1
P
t1
Trong :
R
t
l li sut ca ti sn u t trong thi k t.
D
t
l thu nhp t ti sn m nh u t nhn c trong thi k t.
21
P
t
l gi tr ca ti sn cui k t.
P
t1
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:
E(R) =
n

i=1
P
i
R
i
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:
E(R) =
1
N
N

t=1
R
t
+ 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:
E(r
p
) = w
1
E(r
1
) +w
2
E(r
2
) + +w
n
E(r
n
) =
n

i=1
w
i
E(r
i
)
Trong w
1
, w
2
, . . . , w
n
l t trng vn u t vo tng loi ti sn, E(r
i
) l
li sut u t tng ng.
+ Ri ro danh mc u t
Ri ro ca tng chng khon l s bin thin ca kt qu t mt nguyn
nhn ban u, c lng ha bng lch chun ca li sut thu c. Cng
ging nh tng chng khon ring l, ri ro tng th ca danh mc chng
khon l kh nng bin ng trong tng lai v kt qu thu c t danh mc
u t. V th khi phn tch ri ro ca mt danh mc u t chng khon ngui
ta phi quan tm n ri ro ca c danh mc ch khng phi ri ro ca mt
loi chng khon no.
22
Trong mt danh mc u t mi loi chng khon c mc ri ro khc nhau.
V th a dng ha u t (khng b tt c trng vo mt r) tr thnh mt
nguyn tc trong u t chng khon v l gii php quan trng gim thiu
ri ro cho ton danh mc.
Thc t cng chng minh rng, nhiu khi b sung vo mt danh mc u
t cc chng khon c tnh ri ro li l yu t quan trng gp phn gim thiu
ri ro cho ton danh mc u t. Bi v mt khi danh mc u t c nhiu loi
chng khon khc nhau th gia chng s c tc ng tng tc, b tr ri ro
ln nhau v to ra mt kt qu u t chung cho ton danh mc. xc nh
h s ri ro gia hai chng khon v gia chng khon vi tng danh mc
ngi ta cn xem xt h s covariance (tch sai - ng phng sai) v h s
tng quan (correlation coefficient) ca danh mc u t. Cng thc tnh h
s covariance gia hai chng khon nh sau:
Cov(r
a
, r
b
) =
A,B
=

P
i
[r
a
E(r
a
)][r
b
E(r
b
)]
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:
Cor(r
a
, r
b
) =Cov(r
a
, r
b
)/
a

b
+ L thuyt danh mc u t hin i
Nhng ngi theo l thuyt danh mc u t hin i cho rng th trng
chng khon l mt th trng hiu qu, c ngha l gi c chng khon phn
ng tc th vi hu ht cc thng tin v u t nn khng nh phn tch no
c coi l sng sut trn kha cnh tng th ca th trng. Trng tm chnh
ca nh qun l danh mc u t l la chn mt tp hp cc khon mc u
t c th mang li cho nh u t thu nhp mong i cao nht theo tng mc
ri ro nht nh.
Ta va xem xt mt vi khi nim v lnh vc kinh t, Markowitz da vo
cc l thuyt trn v a ra m hnh Markowitz [5] v cch la chn danh mc
u t hiu qu nht. No chng ta hy cng tm hiu m hnh[10] ny trong
s tc ng gia cc bin ngu nhin.
3.1.1. Pht biu bi ton Markowitz c bn v cc tnh cht
Mc tiu ca bi ton Markowitz l tm t trng ca cc chng khon trong
danh mc u t sao cho gim ti mc ti thiu phng sai (ri ro) ca ton
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

j
x
j
= 1
x
j
0 j
(3.1)
Trong bi ton ny, hm mc tiu l hm ca bin ngu nhin R
j
. Ta c th
vit li hm mc tiu theo h s covariance:
Var[

j
R
j
x
j
] =

jk
x
j
Cov[R
j
R
k
]x
k
24
3.1.2. Cc khi nim v thng s
Hm mc tiu l hm bc hai ca bin x. H s Cov[R
j
, R
k
] l d liu vo
(input) ca bi ton. Bin ngu nhin R th hin t l hon vn hay t l li
nhun tr v ca danh mc u t sau mt nm, R c tp gi tr l I v c
biu th bi r
i
, i cng l xc sut p
i
, i I tha mn:

i
p
i
= 1.
Gi tr k vng ca bin ngu nhin R:
E[R] =

i
r
i
p
i
Khi f l hm ca bin ngu nhin R th gi tr k vng ca bin ngu nhin
f (R) l:
E[ f (R)] =

i
f (r
i
)p
i
H s covariance ca bin ngu nhin R:
Var[R] = E[(RE[R])
2
]
S dng kt qu pha trn ta c:
Var[R] =

i
(r
i
E[R])
2
p
i
H s covariance l o ca ri ro. Ngoi ra ta c cng thc v lch chun
ca bin ngu nhin R sau:
=
_
Var[R]
Li nhun tr v ca ton danh mc u t chng khon l

j
R
j
x
j
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
])x
k
(R
k
E[R
k
]))]
3.1.3. Thuc tnh ca bi ton
Li gii ti u ca bi ton l ti u ton cc bi theo l thuyt ti u m
hnh c cc rng buc l tuyn tnh v hm mc tiu l hm li. S dng nh
ngha hm li:
f (x
1
+(1)x
2
) f (x
1
) +(1) f (x
2
) [0, 1]
25
Xt hm mc tiu f (x) =

jk
x
j
Cov[R
j
, R
k
]x
k
l hm bc hai khi v ch khi ma
trn ca h s tng quan Cov[R
j
, R
k
] l ma trn i xng xc nh dng.
Ma trn l i xng xc nh dng khi v ch khi

jk
x
j
Cov[R
j
, R
k
]x
k

0, x
j
, x
k
R hay Var[

j
R
j
x
j
] 0 lun ng theo nh ngha.
3.1.4. Mt s kt qu nghin cu
phn ny ta cng nhn mt s kt qu nghin cu lm tin cho phn
tip theo. tm hiu su hn cc bn c th tham kho Rudolf [7] u tin
ta vit li bi ton di dng cc rng buc l ng thc tuyn tnh. Tp cc
bin x c thay bng bin v

l vct chuyn v ca vct .

Bi ton:
min

2
= min

V
tha:

= E

e = 1
Khi theo Merton(1972) lch chun ca ton danh mc u t tr v:
=
_
1
d
(cE
2
2bE +a) (3.2)
a, b, c, d l cc s thc c tnh bi:
a

V
1
, b

V
1
e, c e

V
1
e, d ac b
2
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

d
(cE b)
V
1
e
d
(bE a) (3.3)
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
Hnh 3.2: ng cong hiu qu v ng phn b vn
ny th c nhiu cch tip cn khc nhau, chng ta c th gii bi ton bng
cch s dng cc phng php gii quy hoch ton phng nh phng php
gradient, phng php im trong,.. trnh by trong chng hai. Tuy nhin
cc phng php ny qu phc tp, thi gian thc hin lu do cc bi ton
Markowitz trong thc t phi phn tch vi s liu u vo ln, ci t li kh
khn. Phng php gii [7] sau y da trn cc ngh ca Markowitz s cho
ta mt tip cn khc i vi bi ton, tip cn ny d dng hn, v thun tin
lp trnh, ci t trn my tnh.
3.2. Phng php gii bi ton Markowitz gc
Phn trn c gii thiu s qua v bi ton Markowitz dng c bn nht,
trong phn tip theo ny chng ta tip tc tip cn su hn v kha cnh ton
hc ca bi ton. Mc ch ca phn ny l ch ra bi ton Markowitz lm vic
nh th no v ngha ca vic ng dng cc bin ngu nhin trong bi ton.
Ni dung ca phn ny li c chia thnh cc phn nh nh sau. Phn mt
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
So vi m hnh trong phn gii thiu, m hnh ny c thm vo cc rng
buc ng thc mi.
A R
mn
biu th ma trn ca m rng buc ln n danh mc u t, b l
vct v phi ca hn ch.
Cc t trng u t ca mi chng khon phi khng m.
E l gi tr k vng li nhun tr v hay li nhun c tnh
n l s chng khon u t.
(a) min

2
=

V
(b)

= E
(c) A = b
(d) 0
(3.4)
K hiu

= (
1
, . . . ,
m
) R
m
v
E
l nhn t Lagrange lin kt vi (3.4 c)
v (3.4 d). Hm Lagrange cho bi ton nh sau:
L =
1
2

V +

(A b)
E
(

E)
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:
L =
1
2

V +

A
E

3.2.2. iu kin Kuhn-Tucker

K hiu:

= (
1
. . .
n
) = (
L

1
. . .
L

n
)
28
Khi iu kin Kuhn-Tucker cho bi ton l:
(a) = (V A

)
_

E
0
(b) 0, 0
(c)
1in

i
> 0
i
= 0 v
i
= 0
i
> 0
(d) A = b
(e)

= E
(3.5)
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:
(a)
_
V A

A 0
__

E
_

0
_
=
_
0
b
_
(b) 0, 0
(c)
1in

i
> 0
i
= 0 v
i
= 0
i
> 0
(d) = (V A

)
_

E
0
(e)

= E
(3.6)
K hiu ma trn M R
(m+n)(m+n)
v nh ngha M
_
V A

A 0
_
, khi
iu kin ti u cho vct
_

_
c vit li nh sau:
_

_
= M
1
_
0
b
_
+
E
M
1
_

0
_
(3.7)
29
Rt gn phng trnh hn na ta k hiu R
m+n
, R
m+n
vi
= M
1
_
0
b
_
, = M
1
_

0
_
(3.8)
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

in

, tp bin
phi c s l

out

. Trong ma trn V
in
th cc bin c s gi nguyn, cc bin phi
c s c thay bng vct xc nh.
Vi
in
i j
l phn t nm hng i v ct j ca V
in
, ta qui nh nh sau:

1i, jn

in
i j
=
_

i j
nu i, j in
1 nu i = j v i, j out
0 ngc li
(3.10)
Vct t l li nhun k vng
in
= cn cc hng ng vi thnh phn

out

c thay th bng 0, A
in
=A (cc ct ng vi phn t

out

c thay th bng
0). Khi ta c mt danh mc u t P
in
nh ngha bi ch s

in

v bi ton
ti u l:

2
P
in
=

V
in

E =

in
b =

A
in

i
= 0
i
out
(3.11)
Ta k hiu li cc thng s:
M
in

_
V
in
A

in
A
in
0
_
,
in
M
1
in
_
0
b
_
,
in
M
1
in
_

in
0
_
(3.12)
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

)
_

E
= (V A

)(
in
+
in

E
)
E
0 (3.14)
Phng trnh ny c th sp xp li thnh:
=
in
+
in

E
0
vi:
in
= (V A

)
in

in
= (V A

)
in

(3.15)
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:

1in

a

_

_
max

i
in
>0

i
in

i
in
vi
i
in
0

1in

b

_

_
max

i
in
>0

i
in

i
in
vi
i
in
0

1in

c

_

_
max

i
in
<0

i
in

i
in
vi
i
in
0

1in

d

_

_
max

i
in
<0

i
in

i
in
vi
i
in
0
(3.16)
t:

low
max[
A
,
B
]

high
min[
C
,
D
]
vi:
low

E

high
(3.17)
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

in

v tp

out

.
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

in

v kt np vo tp

out

.
2. Nu
k
(1 k n) khng tha mn (1.37) th o hm ring ca hm
Lagrange L i vi
k
bng 0,
k
chuyn t tp cc bin ngoi c s

out

vo tp cc bin c s

in

.
Thut gii s khng cn ng khi
high
= hoc
low
=.
T (3.13), (3.5 e) v kt qu ca (3.17) thu c:
E =

in
+

in

E

E
=
E

in

in
(3.18)
(Mt ng dng ca cng thc ny s c tm thy trong phn v d ng dng)
3.2.3. Trng hp c bit
Phn ny trnh by mt trng hp c bit ca li gii trn. l khi
cc bin c s bao gm tt c cc bin tng ng vi danh mc u t hay cc
t trng u t
i
(1 i n) l khc 0 vi mi i. Khi in = {
1
,
2
,
3
},
out ={}.
V =V
in
A = A
in
= M = M
in
v =
in
=
in
= =
in
(3.19)
S dng (3.11) v (3.14) ta c:
= (V A

)
_
M
1
_
0
b
_
+M
1
_

0
_

E
_

E
= (V A

)
E
_
(V A

)M
1
_

0
_

_
(3.20)
Chia M
1
thnh cc khi ma trn v nh ngha li nh sau:
M
1
=
_
M
1
M
2
M
3
M
4
_
M
1
R
nn
, M
2
R
nm
, M
3
R
mn
, M
4
R
mm
(3.21)
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:
MM
1
=
_
V A

A 0
__
M
1
M
2
M
3
M
4
_
=
_
(V A

) M
1
AM
1
AM
2
_
=
_
E
(nn)
0
(nm)
0
(mn)
E
(mm)
_
=(V A

)M
1
= (E
(nn)
0
(nm)
)
(3.22)
Thay th (3.20) vo (3.21) ta c:
=
_
E
(nn)
0
(nm)
_
_
0
b
_
+
E
_
(E
(nn)
0
(nm)
)
_

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
Theo nh ngha, mi danh mc u t m c gi tr li nhun k vng ln
nht l danh mc u t hiu qu. V th thc thi bi ton sau ta s tm c
nghim c s kh thi cho bi ton ny.
max

tha mn: A = b
0
(3.24)
Nhn thy hm mc tiu l hm tuyn tnh ca , cc rng buc ca bi ton
cng l tuyn tnh, v th bi ton c th c gii bng phng php n hnh.
T nghim c s ta p dng (3.16) (3.17) tm c
low
,
high
hay tm c
khong ca
E
v gi tr E. hiu r hn v thut gii chng ta hy cng xt
v d sau:
3.2.5. V d minh ha thut gii
Ti u ha danh mc u t bao gm 3 danh mc u t A, B, C vi cc s
liu cho trong bng sau:
33
Covariance A B C
A 400 150 100 15
B 225 150 10
C 625 20
Bi ton:
min
2
=

V
(1 1 1)
_
_

3
_
_
= 1
0
(3.25)
T bi ton v s liu suy ra:
V
_
_
400 150 100
150 225 150
100 150 625
_
_

_
_
15
10
20
_
_
A
_
_
1
1
1
_
_
(3.26)
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):
M
in

_
_
_
_
1 0 0 0
0 1 0 0
0 0 625 1
0 0 1 0
_
_
_
_
=M
1
in

_
_
_
_
1 0 0 0
0 1 0 0
0 0 0 1
0 0 1 625
_
_
_
_
(3.27)
S dng (3.13) v (3.15):
Danh
mc
u
t

in

in

in

in

in

in

in

in
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)
M
in

_
_
_
_
400 0 100 1
0 1 0 0
100 0 625 1
1 0 1 0
_
_
_
_
= M
1
in

_
_
_
_
0.001212 0 0.001212 0.6364
0 1 0 0
0.001212 0 0.001212 0.3636
0.6364 0 0.3636 290.9091
_
_
_
_
(3.30)
S dng (3.13) v (3.15):
Danh
mc u
t

in

in

in

in

in

in

in

in
A 0.6364-
0.006061
105 0 0 -
B 0 0 - -
140.9031
6.818220.67
C 0.36360.006061 -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:
(
E
=
high
) =
_
_
0
0
1
_
_
(
E
=
low
) =
_
_
0.5136
0
0.4864
_
_
E(
E
=
high
) = 20 E(
E
=
low
) = 17.43
(3.33)
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):
M
in

_
_
_
_
400 150 100 1
150 225 150 1
100 150 625 1
1 1 1 0
_
_
_
_
= M
1
in

_
_
_
_
0.003088 0.002947 0.00014 0.2210
0.002947 0.004632 0.001684 0.6526
0.00014 0.001684 0.001825 0.1263
0.2211 0.6526 0.1263 198.95
_
_
_
_
(3.34)
S dng (3.13) v (3.15):
Danh
mc u
t

in

in

in

in

in

in

in

in
A 0.2211 0.014 -15.75 0 0 -
B 0.6526 -0.0316 20.67 0 0 -
C 0.1263 0.0175 -7.2 0 0 -
T (3.16) v kt qu bc trn, kt hp vi bng ta c:

a
=7.2
b
=
c
= 20.67
d
= (3.35)
T (3.17) c:

low
=7.2
high
= 20.67 (3.36)
T (3.13) tnh c:
(
E
=
high
) =
_
_
0.5136
0
0.4864
_
_
(
E
=
low
) =
_
_
0.1203
0.8801
0.0
_
_
E(
E
=
high
) = 17.43 E(
E
=
low
) = 10.61
(3.37)
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)
M
in

_
_
_
_
400 150 0 1
150 225 0 1
0 0 1 0
1 1 0 0
_
_
_
_
= M
1
in

_
_
_
_
0.0031 0.0031 0 0.2308
0.0031 0.0031 0 0.7692
0 0 1 0
0.2308 0.7692 0 207.69
_
_
_
_
(3.38)
S dng (3.13) v (3.15):
Danh
mc u
t

in

in

in

in

in

in

in

in
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 (3.16) v kt qu bc trn, kt hp vi bng ta c:

a
=15
b
=
c
= 50
d
=7.2 (3.39)
T (3.17) c:

low
=15
high
=7.2 (3.40)
T (3.13) tnh c:
(
E
=
high
) =
_
_
0.1203
0.8801
0.0
_
_
(
E
=
low
) =
_
_
0
1
0
_
_
E(
E
=
high
) = 10.61 E(
E
=
low
) = 10
(3.41)
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
lp

high

low
E(
high
) E(
low
)
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
T bng ta thy rng c 2 bc m gi tr
E
tin ti + v . Khi v ln
th cc phn ny s tng ng vi ng cong khng gii hn (tin ra v
cng). Cn ti 3 bc 2, 3, 4 th gi tr ca
E
trong khong xc nh. Khi v
ln th th cc khong ny lin tip nhau lm ln on cong lin tip gii
hn.
Cc kt qu ny c minh ha trn biu (3.3). Biu ny c gi l
ng cong hiu qu ca danh mc u t chng khon. Biu gm c 2
trc, mt trc th hin gi tr li nhun c tnh, trc th hai th hin lch
chun hay ri ro ca danh mc u t. ng th nht to thnh khi ni cc
hnh khi li vi nhau, th hin ng cong hiu qu b gii hn. ng th
hai tin ra v cng (ng thng lin) th hin ng cong hiu qu khng
gii hn. V tr ca A c xc nh l v tr m danh mc u t ch bao gm
chng khon A, tng t i vi cc im B, C. Chng khon C c li sut
c tnh v lch chun ln nht, sau n chng khon A v cui cng l
chng khon B.
Cc im giao gia chng ch nh s chuyn tip t bc ny sang bc
tip theo. hiu r hn phn ny bn hy c li phn u chng v mt
s kt qu nghin cu. Trong phn kt qu nghin cu ta c ni v im ti
u ca bi ton l im giao gia ng cong v tip tuyn ca ng cong.
Hn na nhn thy th trn hnh v (3.3) l dng th lm th khong gi
tr no m c
E
bng 0 th im ti u nm trong khong . Nh vy im
ti u l im giao ca th trong bc 2 v bc 3, ng vi gi tr li nhun
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.
3.3. Thut gii Markowitz tng qut
Trong phn trc chng ta xem xt thut gii Markowitz thng thng
vi cc rng buc ng thc tuyn tnh v khng m. Phn tip ny ta s i vo
mt thut gii tng qut hn vi vic thm vo cc rng buc bt ng thc
tuyn tnh. iu ny xut pht t mt s yu cu thc t, trong thc t khi u
t cn phi xem xt cc rng buc php l hay cc u i i vi t chc qun
l. Cc hn ch dn n cn thit phi pht trin nhng thut ton phc tp
hn m p ng c nhu cu u t. Trong cc bi bo ca mnh, Markowitz
[5] cng nhc n vic gii quyt bi ton quy hoch ton phng cng
nhng hn ch tng qut ny, tuy nhin ng khng m t chi tit vic x l
chng th no, cc k thut ci tin trong phn ti ny xut pht t ngh
ca Markowitz [7], c pht trin hn nhm mc ch a n cho ngi c
mt tip cn n bi ton d dng hn, to iu kin cho lp trnh vin to ra
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.
3.3.1. M hnh bi ton ti u
So snh vi m hnh c bn trong phn 2, m hnh trong phn ny c m
rng thm cc rng buc dng bt ng thc. Tng kt cc rng buc trong
m hnh gm c m
1
rng buc dng ng thc, m
2
rng buc , m
3
rng buc
. K hiu cc ma trn h s: A R
m
1
n
ng vi cc rng buc ng thc,
K R
m
2
n
ng vi cc rng buc , v G R
m
3
n
ng vi cc rng buc .
Thm na cc vct v phi tng ng vi chng ln lt l: b R
m
1
, k R
m
2
,
z R
m
3
. Bi ton cn s dng thm hai bin ph y R
m
2
v z R
m
3
, v ch
0
k
l vct 0 c k chiu. M hnh c pht biu nh sau:
(a) min
2
=

V
(b)

= E
(c) A = b A +0
(m
1
)
= b
tha mn: (d) K k K +y = k
(e) G g G z = g
(f) , y, z 0
(3.42)
H phng trnh s dng n+m
2
+m
3
bin thay v n bin gii bi ton. K
hiu 0
kl
v E
kl
l ma trn 0 v ma trn n v k l chiu. Bin i bi ton
trn thu gn li cc rng buc:
(a) min
2
=

V
(b)

= E
tha mn: (c)
_
_
A 0
(m
1
m
2
)
0
(m
1
m
2
)
K E
(m
2
m
2
)
0
(m
2
m
3
)
G 0
(m
3
m
2
)
E
(m
3
m
3
)
_
_
_
y z
_
=
_
_
b
k
g
_
_
(d) , y, z 0
(3.43)
Trong h rng buc trn ma trn A, K, G,V v vct coi nh tp

in

c
biu din trong phn 2. thu gn phng trnh ta t:
40
mm
1
+m
2
A
_
_
A
in
0
(m
1
m
2
)
0
(m
1
m
2
)
K
in
E
(m
2
m
2
)
0
(m
2
m
3
)
G
in
0
(m
3
m
2
)
E
(m
3
m
3
)
_
_
R
(m
1
+m)(n+m)
b
_
_
b
k
g
_
_
R
m
1
+m
x
_
_

y
z
_
_
R
n+m
(3.44)
K
in
v G
in
c xc nh bng cch t tt c cc ct m c cc bin tng ng
thnh phn

out

bng vct 0 c m
1
v m
2
chiu. A
in
, V
in
,
in
c xy dng
tng t phn m hnh bi ton gc. Khi bi ton c thu gn li thnh:
(a) min
2
=

V
in

(b)

in
= E
(c) Ax = b
(d) x 0
(3.45)
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:
V
_
V
in
0
(n(m))
0
(mn)
D
(mm)
_

_

in
0
(m)
_
(3.46)
Ma trn variance/covariance v vct li nhun k vng c chnh sa li,
D
mm
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
= x

Vx
(b)

x = E
(c) Ax = b
(d) x 0
(3.47)
Hm mc tiu trong (3.47 a) ny c th vit li thy khc bit so vi hm
mc tiu trong (3.45 a):
x

Vx =

V
in
+y

y +z

z
. tm cch gii quyt cho bi ton ny ta c th phn chia ma trn D thnh
cc khi: D
_
D
(m
2
m
2
)
0
(m
2
m
3
)
0
(m
3
m
2
)
D
(m
3
m
3
)
_
vi D
(m
2
m
2
)
v D
(m
3
m
3
)
l cc ma trn n
v.
41
K hiu K
i
biu th hng i ca ma trn K, vi bt k y
i
(1 i m
2
) bng 1
l thnh phn ca tp

in

nu K
i
< k
i
. Ngc li y
i
l phn t ca tp

out

.
V z
i
(1 i m
3
) bng 1 nu v ch nu G
i
> g
i
, G
i
l hng i ca ma trn G.
Nu
1
i j
biu th thnh phn hng i v ct j ca D
(m
2
m
2
)
v
2
i j
tng ng
thnh phn ca D
(m
3
m
3
)
. Ta nh ngha:

1
i j

_

_
0 i = j
1 i = j v y
i
= 0
0 i = j v y
i
= 1
1 i, j m
2

2
i j

_

_
0 i = j
1 i = j v z
i
= 0
0 i = j v z
i
=1
1 i, j m
3
Vy nu y
i
(z
i
) bng 1 th
1
i j
(
2
i j
) bng 0, nu y
i
(z
i
) bng 0 th
1
i j
(
2
i j
) bng
1 (-1). iu ny m bo rng x

Vx =

V
in
. 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
Mc ch ca phn ny l xy dng iu kin Kuhn-Tucker cho bi ton
(3.47) da vo iu kin Kuhn-Tucker xy dng cho bi ton Markowitz
thng thng trong (3.4). K hiu

R
m
1
+m
l vct nhn t Lagrange v
R
n+ m
l vct o hm ring hm Lagrange L i vi bin x. iu kin
Kuhn-Tucker cho bi ton tng qut ny nh sau:
(a)
_
V A

A 0
m
1
+m,m
1
+m
__
x

E
_

0
m
1
+m
_
=
_
0
n+m
b
_
(b) x 0, 0
(c) x
i
= 0
i
> 0 v x
i
> 0
i
= 0 1 i n+m
(d) = (V A

)
_
x

E
_

0
(m
1
+m)
_
(d)

x = E
(3.48)
42
Theo x l trong phn bi ton gc ma trn M R
(n+m
1
+2m)(n+m
1
+2m)
c th
nh ngha nh sau:
M
_
V A

A 0
(m
1
+m,m
1
+m)
_
=
_

_
_
V
in
0
nm
0
nm
D
_
_
_
A

in
K

in
G

in
0
(m
2
m
1
)
E
(m
2
m
2
)
0
(m
2
m
3
)
0
(m
3
m
1
)
0
(m
3
m
2
)
E
(m
3
m
3
)
_
_
_
_
A
in
0
(m
1
m
2
)
0
(m
1
m
3
)
K
in
E
(m
2
m
2
)
0
(m
2
m
3
)
G
in
0
(m
3
m
2
)
E
(m
3
m
3
)
_
_
0
(m
1
+m,m
1
+m)
_

_
(3.49)
Khi iu kin (3.48) c th c x l ging nh phn (3.13) v (3.15) ta
c:
_
x

_
= M
1
_
0
(n+m)
b
_
+
E
M
1
_

0
(m
1
+m)
_
+
E
0
vi M
1
_
0
(n+m)
b
_
R
n+m
1
+2m
v M
1
_

0
m
1
+m
_
R
n+m
1
+2m
(3.50)
v:
= (V A

) +
E
[(V A

) ] +
E
0
vi (V A

) R
n+m
v [(V A

) ] R
n+m
(3.51)
Cc bc xy dng tip theo cng tng t phn trc.
3.3.3. Tm nghim c s ca bi ton
Tng t trong phn 2 ca chng, mt nghim c s cho bi ton quy
hoch ton phng c tm bng cch tm gi tr ln nht ca hm mc tiu
tuyn tnh vi cc rng buc cng l tuyn tnh. Tuy nhin cc rng buc
tuyn tnh trong phn ny phc tp hn trong phn trc. Phng php n
hnh c trnh by trong chng 1 c s dng tm nghim c s ny.
tng cho phn tm nghim ny cng tng t nh trong phn trc. Mi
danh mc u t m gi tr k vng ln nht c xc nh th gn nh chc
43
chn rng danh mc u t hiu qu. Chng ta cng phn tch vn ny:
(a) max

= maxE
(b) A = b A +0
(m
1
)
= b
(c) K k K +y = k
(d) G g G z = g
(e) , y, z 0
(3.52)
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 = bA
(c) K +y +t = k t = k K y
(d) G z +u = g u = gG +z
(e) , y, z, s, t, u 0
(3.53)
Ta thm vo bi ton cc bin gi s R
m
1
, t R
m
2
, u R
m
3
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:
min(s

e
(m
1
)
+t

e
(m
1
)
+u

e
(m
1
)
max(s

e
(m
1
)
+t

e
(m
1
)
+u

e
(m
1
)
)
(3.54)
Bng cch nh ngha Z (s

e
(m
1
)
+t

e
(m
1
)
+u

e
(m
1
)
), mc tiu ca bi ton
ph l tm gi tr ln nht ca Z theo cc bin s, t, u. T (1.70) ta xy dng hm
mc tiu mi nh sau:
Z(e

(m
1
)
A+e

(m
2
)
K+e

(m
3
)
G)+y

e
(m
2
)
z

e
(m
3
)
=(b

e
(m
1
)
+k

e
(m
2
)
+g

e
(m
3
)
)
(3.55)
Xt 2 trng hp xy ra:
1. Z = 0 (s t u)

= 0
2. Z < 0 (s t u)

= 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

My

e
(m
2
)
+z

e
(m
3
)
vi

M e

(m
1
)
e

(m
2
)
Ke

(m
3
)
G R
n
R b

e
(m
1
)
k

e
(m
2
)
g

e
(m
3
)
R
(3.56)
Bng n hnh xut pht i vi bi ton n hnh hai pha (bng 3.1):

1
...
n
y
1
... y
m
2
z
1
... z
m
3
h s
E
1
...
n
0 ... 0 0 ... 0 0 1
s
1
A
11
... A
1n
0 ... 0 0 ... 0 b
1
2
... ... ... ... ... ... ... ... ... ... ... 3
s
m
1
A
m
1
1
... A
m
1
n
0 ... 0 0 ... 0 b
m
1
4
t
1
K
11
... K
1n
1 ... 0 0 ... 0 k
1
5
... ... ... ... ... ... ... ... ... ... ... 6
t
m
2
K
m
2
1
... K
m
2
n
0 ... 1 0 ... 0 k
m
1
7
u
1
G
11
... G
1n
0 ... 0 -1 ... 0 g
1
8
... ... ... ... ... ... ... ... ... ... ... 9
u
m
3
G
m
3
1
... G
m
3
n
0 ... 0 0 ... -1 g
m
3
10
Z

M
1
...

M
n
1 ... 1 1 ... 1 R 11
Bng 3.1: Bng n hnh xut pht i vi bi ton hai pha
3.3.4. V d minh ha
V d trong phn 2 ca chng c gii bi ton Markowitz gc tuy nhin
bi ton cn n gin, cc rng buc u di dng ng thc. V d trong
phn ny cng da trn phn trc nhng c thm cc rng buc dng bt
ng thc. Cch gii quyt cng c thc hin tng bc tng bc, u tin
gii bi ton n hnh ph (n hnh hai pha), sau l bi ton n hnh gc
v cui cng l gii bi ton quy hoch ton phng bng cch s dng thut
ton Markowitz tng qut.
Bi ton (cc thng s v V, A, vn nh phn trc) :
min

2
=

1
+
2
+
3
= 1
tha mn:
3
0.5

1
0.3
0
(3.57)
u tin ta tm nghim c s ca bi ton bng cch tm gi tr ln nht ca t
l li nhun k vng tr v theo (3.52). Bng ban u (3.2) c khi to cc
gi tr nh trong bng (3.1).
45
Bng 0
1

2

3
y
1
z
1
rhs
E -15.0 -10.0 -20.0 0.0 0.0 0.0
s
1
1.0 1.0 1.0 0.0 0.0 1.0
t
1
0.0 0.0 1.0 1.0 0.0 0.5
u
1
1.0 0.0 0.0 0.0 -1.0 0.3
Z -2.0 -1.0 -2.0 -1.0 1.0 -1.8
Bng 3.2:
Tp cc bin c s trong bi ton trung gian ny (bi ton n hnh hai
pha) l in = {s
1
, u
1
, t
1
}, cc bin khc nm ngoi c s. p dng cc quy tc
v chn ct xoay v hng xoay nh trong phng php n hnh trnh by
trong chng mt, phn t nm trn giao ca ct xoay v hng xoay c in
m trong bng. Tnh ton li cc gi tr ta c bng (3.3) nh sau:
Bng 1 u
1

2

3
y
1
z
1
rhs
E 15.0 -10.0 -20.0 0.0 -15.0 4.5
s
1
-1.0 1.0 -1.0 0.0 1.0 0.7
t
1
0.0 0.0 1.0 1.0 0.0 0.5

1
1.0 0.0 0.0 0.0 -1.0 0.3
Z 2.0 -1.0 -2.0 -1.0 -1.0 -1.2
Bng 3.3:
Nhn thy Z =1.2 ln hn Z =1.8 trong bc trc, nh vy bc ny
c s pht trin so vi bc trc.
Bng 2 u
1

2
t
1
y
1
z
1
rhs
E 15.0 -10.0 20.0 20.0 -15.0 14.5
s
1
-1.0 1.0 -1.0 -1.0 1.0 0.2

3
0.0 0.0 1.0 1.0 0.0 0.5

1
1.0 0.0 0.0 0.0 -1.0 0.3
Z 2.0 -1.0 2.0 1.0 -1.0 -0.2
Bng 3.4:
Bng k tip (3.5) ny cung cp li gii ti u cho bi ton ph ny:
Bng 3 u
1
s
1
t
1
y
1
z
1
rhs
E 5.0 10.0 10.0 10.0 -5.0 16.5

2
-1.0 1.0 -1.0 -1.0 1.0 0.2

3
0.0 0.0 1.0 1.0 0.0 0.5

1
1.0 0.0 0.0 0.0 -1.0 0.3
Z 1.0 1.0 1.0 0.0 0.0 0.0
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

=
(0.3 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 y
1
z
1
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:
Thm mt bc tnh ton na ta c nghim ti u ca bi ton n hnh
gc, gi tr ln nht ca k vng li nhun c tm thy bc ny.
Bng 5 y
1

2
rhs
E 5.0 5.0 17.5
z
1
-1.0 1.0 0.2

3
1.0 0.0 0.5

1
-1.0 1.0 0.5
Bng 3.7:
Gi tr ln nht ca k vng li nhun tr v bc ny l 17.5% ng vi

= (0.5 0.0 0.5). Qua vic gii bi ton tm nghim c s ny thu c

in ={z
1
,
1
,
3
} v out ={y
1
,
2
}. Thng tin ny s cung cp mt bc khi
to tt cho thut gii Markowitz.
Bc 1:
Bc u tin ca thut gii Markowitz l khai bo ma trn MR
(n+m
1
+2m)(n+m
1
+2m)
theo (3.49):
M =
_
_
_
_
_
_
_
_
_
_
_
_
_
_

_
400 0 100 0 0
0 1 0 0 0
100 0 625 0 0
0 0 0 1 0
0 0 0 0 0
_

_
_

_
1 0 1
0 0 0
1 1 0
0 0 0
0 0 1
_

_
_
_
1 0 1 0 0
0 0 1 0 0
1 0 0 0 1
_
_
_
_
0 0 0
0 0 0
0 0 0
_
_
_
_
_
_
_
_
_
_
_
_
_
_
_
T kt qu ca phn trc v tp

in

v

out

ta xy dng khi ma trn D c

in m nh trn. Bc ny s c gii thch nh sau. z
1
nm trong tp

in

v
47
c gi tr 1 cn y
1
nm trong tp

out

v c gi tr 0. Theo nh ngha v gi
tr ca cc thnh phn
1
i j
v
2
i j
ta c
2
22
= 0 v
1
11
= 1 T xc nh c
gi tr ca khi ma trn D (c in m trong ma trn M).
Trong bi ton Markowitz tng qut ny th ngoi 3 bin chnh tng ng
vi 3 chng khon A, B, C cn c cc bin ph thm vo y
1
, z
1
. V cc bin
ny u c th c mt trong tp cc bin c s

in

tng bc gii ca bi
ton. Ta s dng k hiu ngm nh sau: y
1
i din cho rng buc nh hn
hoc bng trong bi ton (3.42) cn z
1
i din cho rng buc ln hn hoc
bng trong (3.42).
S dng (3.50) v (3.51) tnh cc gi tr ca , , , , gi tr tr v nh
trong bng (3.8):

A 0.5 0.0 - 0.0 0.0 -

B 0.0 0.0 - -100.0 5.0 20.0
C 0.5 0.0 - 0.0 0.0 -
y
1
0.0 0.0 - -112.5 5.0 22.5
z
1
0.2 0.0 - 0.2 0.0 -
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

nh hng ti
o hm ring ca L vi bin y
1
, v th y
1
nh hng ti
low
v c kt np
vo tp c s. Tp c s mi l in ={
1
,
3
, y
1
, z
1
} v out ={
2
}. Gi tr k
vng li nhun ca ton danh mc l E(
low
) = 17.5% v t trng u t ca
cc chng khon trong danh mc l (
low
) =
_
_
0.5
0.0
0.5
_
_
Bc 2: Do tp

in

v

out

c s thay i nn ma trn M c vit li. Gi

48
tr ca ma trn D v A
24
ca A c in m.
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
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 -
y
1
0.1364 -0.0061 22.50 0.1364 -0.0061 22.50
z
1
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

c
= 22.50 (
low
) =
_
_
_
0.51
0.0
0.49
_
_
_

d
= 22.50
Bng 3.9:
Nhn thy chng khon B c
2
= 0.0 tng ng vi
low
theo trn. V th

2
c kt np vo tp c s, in = {
1
,
2
,
3
, y
1
, z
1
} v out = { }. Nh
vy tt c cc bin u thuc vo

in

.
Bc 3: Trong bc ny tt c cc bin u l bin c s, 2 bin ph y
1
v
z
1
cng trong c s, v th cc thnh phn ca D u bng 0 (ma trn D in
49
m). Gi tr ca M vit li nh sau:
M =
_
_
_
_
_
_
_
_
_
_
_
_
_
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
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 -
y
1
0.3737 -0.0175 21.30 0.3737 -0.0175 21.30
z
1
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

c
= 20.67 (
low
) =
_
_
_
0.300
0.475
0.225
_
_
_

d
= 21.35
Bng 3.10:
T bng v (3.23), rng buc " xc nh
low
, loi z
1
ra khi tp cc bin
c s. in ={
1
,
2
,
3
, y
1
} v out ={z
1
}.
Bc 4: z
1
loi ra khi tp c s dn n ma trn D thay i. M c vit
li:
M =
_
_
_
_
_
_
_
_
_
_
_
_
_
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
0 0 0 0 1 0 0 0
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 (3.11):
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 -
y
1
0.3773 -0.0182 20.75 0.3773 -0.0182 20.75
z
1
0.0 0.0 - 25.5682 -4.5455 5.625

a
=6.75
low
=6.75 E(
low
) = 11.50%

b
=
high
= 5.625

c
= 20.75 (
low
) =
_
_
_
0.3
0.7
0.0
_
_
_

d
= 5.625
Bng 3.11:
T (
low
) c
3
= 0, loi
3
ra khi tp c s, in ={
1
,
2
, y
1
} v out =
{
3
, z
1
}.
Bc 5: Bin y
1
vn trong tp c s v th ma trn D khng thay i, loi

3
ra khi tp c s dn n thay i trong M nh sau:
M =
_
_
_
_
_
_
_
_
_
_
_
_
_
400 150 0 0 0 1 0 1
150 225 0 0 0 1 0 0
0 0 1 0 0 0 0 0
0 0 0 0 0 0 1 0
0 0 0 0 1 0 0 0
1 1 0 0 0 0 0 0
0 0 0 1 0 0 0 0
1 0 0 0 0 0 0 0
_
_
_
_
_
_
_
_
_
_
_
_
_
Cc gi tr khc c tnh tng t bc trn, ta c bng (3.12):
Bng (3.13) tng kt qua 5 bc gii:
Hnh (3.4) minh ha li ton b qu trnh thc thi ca chng ta. T hnh
v ta s c mt s so snh gia ng cong hiu qu gii hn ca bi ton gc,
ng cong hiu qu gii hn ca bi ton tng qut v ng cong hiu qu
khng gii hn.
Nhn thy rng ng cong hiu qu minh ha cho bi ton Markowitz tng
qut ny ngn hn ng cong hiu qu ca bi ton Markowitz gc, iu ny
l do trong bi ton Markowitz tng qut c thm cc rng buc b sung so
vi bi ton gc. Chnh cc rng buc ny gii hn tp gi tr ca li nhun
c tnh (li nhun k vng) hay lch chun li. Hai ng cong ny c
nhng on ng dng hay trng nhau. L gii iu ny l do c nhng trng
51

A 0.3 0.0 - 0.0 0.0 -

B 0.7 0.0 - 0.0 0.0 -
C 0.0 0.0 - -67.5 -10 -6.75
y
1
0.5 0.0 - 0.5 0.0 -
z
1
0.0 0.0 - 22.5 -5.0 -4.5

a
=
low
= E(
low
) = 11.50%

b
=
high
=6.75

c
= (
low
) =
_
_
_
0.3
0.7
0.0
_
_
_

d
=6.75
Bng 3.12:
Phn
on

low

high
E(
low
) E(
high
)
1

2

3
y
1
z
1
1 22.50 17.50 - 0.50 0.00 0.50 0.00 0.20
2 20.67 22.50 17.44 17.50 0.51 0.0 0.49 0.01 0.21
3 5.625 20.67 13.75 17.44 0.3 0.475 0.225 0.275 0.00
4 -6.75 5.625 11.50 13.75 0.30 0.70 0.00 0.50 0.00
5 -6.75 - 11.50 0.30 0.70 0.00 0.50 0.00
Bng 3.13:
Hnh 3.4: ng bin hiu qu c tnh bi thut ton Markowitz gc v tng qut
hp m lch chun v li nhun c tnh khng b tc ng ca nhng rng
buc trong bi ton. V d nh trong phn on 1 v 2 ca bng khi m bin
y
1
v z
1
ln hn 0, hay trong phn on 3 n 5, t trng u t ca chng
khon A lun l t mc hng s 30%.
V nh mt l t nhin rng c hi u t s rt ln nu c rt t cc rng
52
buc hn ch hoc khng c rng buc hn ch no trong bi ton.
53
Ph lc
Ph lc ny s trnh by cch ti u ha danh mc u t chng khon s
dng bng tnh excel
Trong phn trc chng ta trnh by v bi ton ti u v vic p dng
la chn danh mc u t ti u, nhng mi ch dng li mc c bn v tng
quan nht. Cc ng dng trong thc t c quy m v hnh thc ln hn nhiu,
khng th bng mt vi thao tc tnh ton n gin c th tnh c. V th
s h tr ca mt phn mm tnh ton nh excel v m lp trnh VBA (Visual
Basic Application) nhng bn trong s l cng c hu hiu cho vic phn
tch s liu v gii bi ton.
Li im ca vic s dng bng tnh excel
Cc i tng m ng dng bi ton ti u ny ch yu l cc nh u t,
nhng ngi c trnh s dng my tnh mc trung bnh, thm na trong
kinh t vic thao tc v lm vic trn bng tnh excel l thng xuyn, ph
bin. Bng tnh excel cho php ngi s dng d dng thao tc vi cc con
s, trong excel pht trin sn cc hm xc xut, thng k. Ngoi ra vic s
dng cc m lp trnh nhng pha trong cho php ta lp trnh cc chng
trnh gii bi ton. Ngi dng ch vic nhp cc s liu v kch chut l
c th thy c cc kt qu tr v. Cc li im trn l tng cc nh
lp trnh pht trin mt chng trnh cho php gii bi ton ti u ha trn
nn cng c excel. T chc Operations Management pht trin mt chng
trnh nh vy. Sau y l mt s hng dn thc thi cng c ny:
Trc ht cc bn phi ci t chng trnh chy. ci t cc bn xem
trong CD nh km theo kha lun ny, trong c b ci, ng link tham
kho, cc add in (hay cc m nhng lp trnh thc thi bi ton) v mt
hng dn s dng. Vic ci t l khng c g kh khn, ch ch mt iu,
cc add in ny hot ng tt trn excel 2007, v th chng ta nn s dng b
Office 2007 ci.
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.
Hnh 3.5: Cc thng s cho m hnh gii bi ton
y l cc thng s trong phn ton hc, m hnh bi ton chng ta gii l
quy hoch ton phng l c th ca bi ton quy hoch phi tuyn vi hm
mc tiu l hm bc hai. M hnh ton hc ca bi ton vi cc rng buc v
hm mc tiu c in nh hnh (3.6):
D liu v cc thng k i vi 24 ln quan st ca 10 chng khon c
ghi li trong bng Return (hnh 3.7).
Tip theo l cc d liu qua thng k v tnh ton s b c s dng lm
55
Hnh 3.6: Gii bi ton Markowitz
Hnh 3.7: D liu tr v quan st qua cc thi k
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.
Hnh 3.8: Cc thng s bi ton
y l bng h s tng quan v lch chun ca chng, tnh theo phn
trm (hnh 3.9). Ta thy ma trn trong phn bng mu en l ma trn i
56
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.
Hnh 3.9: H s tng quan v lch chun
H thng s tin hnh gii bi ton v a ra kt qu tr v nh hnh v. T
trng u t c xc nh (dng mu xanh Mix):
Hnh 3.10: Kt qu tnh ton bi ton ti u tr v
Bc tip tm phng hng u t da trn ng bin hiu qu ca danh
mc u t. Ta nhn nt Solver (hnh 3.8) v xc nh cc gi tr bin (thng
l mc nh c sn) v s khong phn tch, vi gi tr ny th bi ton s ch
phn tch trong mt khong ngn nh vy thi. bi ton ny ta chn gi tr
bin l (-2.52, 7.86) v s khong l 10.
Kt qu phn tch c th hin trn hnh (3.11), phn bn tri l cc gi tr
ca lch chun, li nhun c tnh ca 10 khong tr v. Phn bn phi t
mu xanh s dng nh gi xu th u t. Nhn hnh v ta thy nn u t
vo cc chng khon trong danh sch ngoi tr chng khon S7, chng khon
S9 c li sut c tnh ln nht. Danh mc u t ti u c s kt hp ca tt
c cc chng khon trn (tr S7).
T cc s liu ta v c ng cong hiu qu ca danh mc u t (hnh
3.12). Ty thuc vo mc chp nhn ri ro n u ca nh u t m c
cc ty chn danh mc u t hiu qu nht c th.
y l phn tch vi s liu ch yu ly t cc ngun nc ngoi. Vy liu
57
Hnh 3.11: Kt qu phn tch qua cc bc
Hnh 3.12: ng cong hiu qu ca danh mc u t
c p dng c m hnh ny vo th trng Vit Nam khng? Nu cc bn
theo di cc thng tin trn mt s trang bo in t th thy rng, cng c
mt s t chc ti chnh v qu u t p dng m hnh ny nhng s lng
cha nhiu. Trong CD km theo kha lun ti c a thm mt tp excel su
tp c ca mt tc gi trn mng v bn phn tch s liu 38 tun cc chng
khon Vit Nam cng vi ch s Vn-Index, cc kt qu phn tch thng k,
biu v kt lun khi thc thi m hnh Markowitz. Cui cng l mt lu
dnh cho cc bn, nhng ai c nh tham gia u t vo th trng chng
khon l bi ton trn ch a ra phng hng khi u t, ty thuc vo s
vn m bn c m c cch u t sao cho hp l. Nu bn mi bc vo u t
vi mt s vn t i m mun kim c nhiu tin th bn nn liu mt cht,
c ngha l nn tp trung vo mt vi chng khon c li nhun c tnh cao
nht thi.
58
Kt lun
Trong kha lun ny em trnh by t tng ni dung ca thut gii
Markowitz phc v mc ch gii bi ton quy hoch ton phng, gip ti
u ha danh mc u t chng khon. Song song l cc v d bng s minh
ha cho phng php, cui cng l cc hng dn thc thi bi ton thc t s
dng bng tnh excel. Ni dung chnh ca kha lun bao gm:
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
[1] Bi Minh Tr (2004), Quy hoch ton hc, Nh xut bn Khoa Hc K
Thut, H Ni.
[2] Nguyn ng Nam (2006), Phn tch v u t chng khon, Nh xut
bn Ti Chnh, H Ni.
[3] Andreas Antonio, Wu-Sheng Lu, (2007), Practical Optimization,
Springer, Germany.
[4] Bhatti, M. A, (2000), Practical optimization methods.. with Mathematica
applications, Springer, Germany.
[5] Markowitz. H, (1952) Portfolio Selection, The Journal of Finance, Vol.
7, No. 1, pp. 77-91.
[6] Paul, A. J, Jonathan, F. B (2007), Nonlinear Programming Method,
Quadratic Programming, Operation Researchs, America.
[7] Rudolf, (2007), LS-Finanzen, WHU, Germany.
[8] Vanderbei, R. J, (2001), Linear Programming Foundations and Exten-
sions, Princeton, America.
[9] http://www.saga.vn/Taichinh/Quihoach/Mohinhhoa_Dubao/5673.saga
[10] http://www.aimms.com/downloads/application-examples/investment-
portfolio-selection
[11] http://www.me.utexas.edu/ jensen/ORMM/omie/computation/unit/equity/markowitz.html
[12] http://www.whu.edu/cms/fileadmin/redaktion/LS-
Finanzen/publications/rudolf/books/Algorithms_Chapter0.pdf
60