bai 3 l_a ch_n trong =i_u ki_n r_i ro

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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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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bai 3 l_a ch_n trong =i_u ki_n r_i ro

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