bai 3 l_a ch_n trong =i_u ki_n r_i ro
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7/28/2019 Bai 3 L_a Ch_n Trong =I_u Ki_n R_i Ro
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LA CHN TRONG IU KIN RI RO
Bi 3
TS. L Vn Chin
Ni dungbi
3.1 Ri ro
3.2 Ra quyt nh trong iu kin ri ro
3.3 Gim ri ro
3.4 Cu v ti sn ri ro
3.1 Ri ro
Cc trngthi khc nhau ca thng tin:
Chcchn (certainty): Mtquytnh c duy nhtmtktqu
v ngi ra quytnhbittrcktqu.
Ri ro: C nhiuhnmtktqu. Bittrc gi trca cc kt
qu v xc suttngng.
Khngchcchn/btnh (Uncertainty): C nhiuhnmtkt
qu. Khng th lit k ttc cc ktcc c th v/hoc khng
bit xc suttngng.
Lu : Trong bi ny thutngri ro v khngchcchnc
dngtngngnhau.
M t ri roXc sut
Xc sutkhch quan:L tnsutxuthinmtskinnhtnh,
bo gm xc sutbit trc (XS tin nghim) v xc sutbit sau
(XS hunghim).
Xc sutbittrc:l xc sut c th tnh cbng cng thc cho
trc. VD, tung mtng xu.
Xc sutbitsau: L xc sutch c thbit trcc sau khi s
vicxy ra. VD, 10 nm qua c 30 ngy thng 4 th c 10 ngy ma
XSbit sau camt ngy thng 4 l mt ngy mabng 1/3.
Xc sutch quan: L nhn thcvktquxy ra. N ph thuc
vo k vng, s thch, kinh nghim, s nh gi tng lai ca
ngi ra quytnh.
M t ri ro
Gi tr k vng ca mt bin s ngu nhin, ri rc l bnh qun gia
quyn ca cc gi tr c th c ca tt c cc kt qu, trng s bng
XS xy ra kt qu .
Gi tr k vng (EV)
EV(X) = P1X1 + P2X2 + . . . + PnXn
n
i
iiXPXEV1
)(
Pi: XS ca kt qu th i
Xi: gi tr ca kt qu th i
1iP
VD: Thu nhp t vic bn hng
Kt qu 1 Kt qu 2
XS Thu nhp ($) XS Thu nhp ($)
TN k vng($)
Vic 1: Hoa hng
Vic 2: Lng C
.5
.99
2000
1510
1000
510
.5
.01
1500
1500
Thu nhp t vic bn hng
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7/28/2019 Bai 3 L_a Ch_n Trong =I_u Ki_n R_i Ro
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S dng tiu thc li ch k vng
iiPUEU
S dng tiu thc mc ri ro ( )
S dng tiu thc h s bin thin
EVCV
La chn trng iu kin ri ro S dng tiu thc tng ng chc chn:
Tngngchcchncamthotng c ri ro l lngthu nhp (tin) sn c chc chn lm cho ngi ra quyt nhtha mn nh khi thchin hnh ng c ri ro (nhng c thunhp cao hn)
A
B
C
U3
U2U1
EV
3.3. Gim ri ro
a dng ha sn phm
Bn my iuha khng kh
Bn chn m
Tri nng
(P=0,5)20 triu VND 10 triu VND
Tri lnh
(P=0,5)
10 triu VND 20 triu VND
Bo himGi ca ri ro (ph bo him): L lng tin ti a m
ngi ght ri ro sn sng tr trnh ri ro.
Gi ca ri ro
Gi ca ri ro, CF, o lngs thu nhp m mt c nhnsn sng t b c thunhpchcchn c cng mcli ch (thadng).
y, gi cari ro l $4000v thu nhp chc chn$16,000 (ti im C) cho cnhn ny cng mcli ch(14) v thu nhp khng chcchn (XS 0.5 t im A vXS 0.5 tim E) vi gi trthu nhpkvng l $20,000.
VD: Mua bo him gim ri ro
Quyt nh i vi bo him ($)
Bo him
Mt trm(P = 0.1)
Khng mt(P = 0.9)
Gi tr kvng lch
chun
Khng
C
40,000
49,000
50,000
49,000
49,000
49,000
3000
0
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Thu thp thm thng tin
Gi tr ca thng tin y
Gi tr ca thng tin y l khon chnh lch gia gi tr k vng caphng n la chn khi c y thng tin & gi tr k vng khi thng tinkhng y.
VD: Mua 100 gi = 180$. Mua 50, gi 200$. Gi bn = 300$ nhng khngbitsbn c bao nhiu
Li nhun t vic bn Suits ($)
Bn 50 Bn 100 Li nhun k vng
Mua 50 suits 5000 5000 5000
Mua 100 suits 1500 12,000 6750
Nu c y thng tin, ngi ny s mua 50nu bn c 50 (LN=5000), mua 100 nu bnc 100 (LN=12000), XS nh nhau & = 0,5nn linhunkvng = 8500
EV khi thng tin y = 8500
EV khi khng thng tin
(mua100) = 6750
GT ca thng tin y =1750
3.4. Cu v ti sn ri ro
Ti sn: L ci mang li mt lung tin cho ngi ch s hu n- Ti sn ri ro mang li lung tin tht thng
- Ti sn khng ri ro mang li lung tin c th bit trc mt
cch chc chnLi tc camt ti sn l gi tr lung tin do TS mang li
trong mtkhongthi gian (thng l mtnm).
Tsutlitccamt ti sn l tnglungtin do TS to ra
chia cho gi trca n
Litcthctcamt ti sn = litc danh ngha - lm pht
Litckvng l litc trung bnh m TS c th mang li.
Litcthc l litc m mt TS thct mang li.
Cu v ti sn ri ro
Mtngi cn nhcut vo titkim (khng ri ro) v chng khon (ri
ro). Tsutlitcca TK = Rf: Tsutlitckvngca CK = Rm v t
sutlitcthc = rm. (Rm>Rf) v CK c ri ro.
GS ngi ny dng bphn mua CK, (1-b) gi TK. Tsutlitck
vngca tonb danh mcT (Rp)bng
(1)
(2)
(3)
fmp RbEbrER )1(
Phng sai t sut li tc ca danh mc T bng
Thay (1) vo (2) c
22 )1( Pfmp RRbbrE
22222 ()1()1( mmmfmfmp bRrbERbbRRbbrE
Vn la chn ca nh u t C th vit li phng trnh (1), t sut li tc k vng ca danh
mc u t nh sau:
T (3) suy ram
p
Do
Cu v ti sn ri ro
A c thi rt ght ri rohn.
Trong ti sn la chn caanh ta ch yu l ti snkhng c ri ro. T sut litc ca anh ta l RA ch lnhnmt cht so vimcchcchn. Nhng i li mc riro A, l rtnh.
B t ght ri ro hn. Nginy u tphn ln thu nhpvo TS c ri ro. Mc d, tsa=ut li tc RB ln hn,nhng anh ta cngphi chunhiuri ro hn.
Nhu cu i vi ti sn ri ro
S la chn ca nh u t
S la chn ca hai ngi u t khc nhau
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