{"id":31454,"date":"2023-12-07T10:39:32","date_gmt":"2023-12-07T10:39:32","guid":{"rendered":"https:\/\/masterskills.org\/blog\/phuong-phap-monte-carlo-monte-carlo-simulation-la-gi-cach-su-dung-trong-dau-tu.html"},"modified":"2023-12-23T08:17:40","modified_gmt":"2023-12-23T01:17:40","slug":"phuong-phap-monte-carlo-monte-carlo-simulation-la-gi-cach-su-dung-trong-dau-tu","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/phuong-phap-monte-carlo-monte-carlo-simulation-la-gi-cach-su-dung-trong-dau-tu.html","title":{"rendered":"Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo (Monte Carlo Simulation) l\u00e0 g\u00ec? C\u00e1ch s\u1eed d\u1ee5ng trong \u0111\u1ea7u t\u01b0"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Pythonprogramming.net<\/i><\/p>\n<\/div>\n<\/div>\n

Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo<\/font><\/span><\/h2>\n

Kha\u0301i ni\u00ea\u0323m<\/b><\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Monte Carlo Simulation.<\/b><\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo<\/b>\u00a0l\u00e0 m\u1ed9t k\u0129 thu\u1eadt \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 hi\u1ec3u t\u00e1c \u0111\u1ed9ng c\u1ee7a r\u1ee7i ro v\u00e0 s\u1ef1 kh\u00f4ng ch\u1eafc ch\u1eafn trong c\u00e1c m\u00f4 h\u00ecnh d\u1ef1 \u0111o\u00e1n v\u00e0 d\u1ef1 b\u00e1o.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 gi\u1ea3i quy\u1ebft m\u1ed9t lo\u1ea1t c\u00e1c v\u1ea5n \u0111\u1ec1 trong h\u1ea7u h\u1ebft m\u1ecdi l\u0129nh v\u1ef1c nh\u01b0 t\u00e0i ch\u00ednh, k\u0129 thu\u1eadt, chu\u1ed7i cung \u1ee9ng v\u00e0 khoa h\u1ecdc.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo c\u0169ng \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 ph\u01b0\u01a1ng ph\u00e1p m\u00f4 ph\u1ecfng nhi\u1ec1u x\u00e1c su\u1ea5t.<\/p>\n

Hi\u1ec3u v\u1ec1 Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo<\/font><\/h3>\n

Khi c\u00f3 m\u1ee9c \u0111\u1ed9 kh\u00f4ng ch\u1eafc ch\u1eafn l\u1edbn trong qu\u00e1 tr\u00ecnh \u0111\u01b0a ra c\u00e1c d\u1ef1 b\u00e1o ho\u1eb7c \u01b0\u1edbc t\u00ednh, thay v\u00ec ch\u1ec9 thay th\u1ebf bi\u1ebfn kh\u00f4ng ch\u1eafc ch\u1eafn b\u1eb1ng m\u1ed9t gi\u00e1 tr\u1ecb trung b\u00ecnh duy nh\u1ea5t, ph\u01b0\u01a1ng ph\u00e1p Monte Carlo l\u00e0 m\u1ed9t gi\u1ea3i ph\u00e1p t\u1ed1t h\u01a1n nhi\u1ec1u.\u00a0<\/p>\n

V\u00ec kinh doanh v\u00e0 t\u00e0i ch\u00ednh b\u1ecb t\u00e1c \u0111\u1ed9ng b\u1edfi c\u00e1c y\u1ebfu t\u1ed1 ng\u1eabu nhi\u00ean, ph\u01b0\u01a1ng ph\u00e1p Monte Carlo c\u00f3 r\u1ea5t nhi\u1ec1u \u1ee9ng d\u1ee5ng trong nh\u1eefng l\u0129nh v\u1ef1c n\u00e0y. N\u00f3 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u01b0\u1edbc t\u00ednh x\u00e1c su\u1ea5t v\u01b0\u1ee3t chi ph\u00ed trong c\u00e1c d\u1ef1 \u00e1n l\u1edbn v\u00e0 kh\u1ea3 n\u0103ng gi\u00e1 t\u00e0i s\u1ea3n s\u1ebd di chuy\u1ec3n theo m\u1ed9t h\u01b0\u1edbng nh\u1ea5t \u0111\u1ecbnh.<\/p>\n

C\u00e1c c\u00f4ng ty vi\u1ec5n th\u00f4ng s\u1eed d\u1ee5ng ph\u01b0\u01a1ng ph\u00e1p n\u00e0y \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 hi\u1ec7u su\u1ea5t m\u1ea1ng trong c\u00e1c t\u00ecnh hu\u1ed1ng kh\u00e1c nhau, gi\u00fap h\u1ecd t\u1ed1i \u01b0u h\u00f3a k\u1ebft n\u1ed1i m\u1ea1ng. C\u00e1c nh\u00e0 ph\u00e2n t\u00edch s\u1eed d\u1ee5ng ch\u00fang \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 r\u1ee7i ro m\u00e0 m\u1ed9t kho\u1ea3n v\u1ed1n c\u00f3 th\u1ec3 kh\u00f4ng c\u00f3 kh\u1ea3 n\u0103ng tr\u1ea3 (v\u1ee1 n\u1ee3) v\u00e0 ph\u00e2n t\u00edch c\u00e1c c\u00f4ng c\u1ee5 ph\u00e1i sinh nh\u01b0 c\u00e1c quy\u1ec1n ch\u1ecdn.\u00a0<\/p>\n

C\u00e1c c\u00f4ng ty b\u1ea3o hi\u1ec3m v\u00e0 c\u00f4ng ty d\u1ea7u kh\u00ed c\u0169ng s\u1eed d\u1ee5ng ph\u01b0\u01a1ng ph\u00e1p n\u00e0y. Ph\u01b0\u01a1ng ph\u00e1p\u00a0Monte Carlo c\u00f3 v\u00f4 s\u1ed1 \u1ee9ng d\u1ee5ng ngo\u00e0i l\u0129nh v\u1ef1c kinh doanh v\u00e0 t\u00e0i ch\u00ednh, nh\u01b0 trong kh\u00ed t\u01b0\u1ee3ng h\u1ecdc, thi\u00ean v\u0103n h\u1ecdc v\u00e0 v\u1eadt l\u00fd h\u1ea1t.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p\u00a0Monte Carlo<\/b> \u0111\u01b0\u1ee3c \u0111\u1eb7t t\u00ean theo m\u1ed9t \u0111i\u1ec3m \u0111\u00e1nh b\u1ea1c n\u1ed5i ti\u1ebfng \u1edf Monaco v\u00ec c\u01a1 h\u1ed9i v\u00e0 c\u00e1c k\u1ebft qu\u1ea3 ng\u1eabu nhi\u00ean l\u00e0 tr\u1ecdng t\u00e2m c\u1ee7a m\u00f4 h\u00ecnh, gi\u1ed1ng nh\u01b0 c\u00e1c tr\u00f2 ch\u01a1i may r\u1ee7i. K\u0129 thu\u1eadt n\u00e0y \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n \u0111\u1ea7u ti\u00ean b\u1edfi Stanislaw Ulam, m\u1ed9t nh\u00e0 to\u00e1n h\u1ecdc trong khi h\u1ed3i ph\u1ee5c sau ca ph\u1eabu thu\u1eadt n\u00e3o, Ulam \u0111\u00e3 gi\u1ea3i tr\u00ed b\u1eb1ng c\u00e1ch ch\u01a1i v\u00f4 s\u1ed1 tr\u00f2 \u0111\u00e1nh b\u00e0i.\u00a0<\/p>\n

\u00d4ng \u0111\u00e3 b\u1eaft \u0111\u1ea7u vi\u1ebft ra k\u1ebft qu\u1ea3 c\u1ee7a m\u1ed7i tr\u00f2 ch\u01a1i n\u00e0y \u0111\u1ec3 quan s\u00e1t s\u1ef1 ph\u00e2n ph\u1ed1i c\u1ee7a ch\u00fang v\u00e0 x\u00e1c \u0111\u1ecbnh x\u00e1c su\u1ea5t m\u00e0 \u00f4ng c\u00f3 th\u1ec3 chi\u1ebfn th\u1eafng. Sau khi \u00f4ng chia s\u1ebb \u00fd t\u01b0\u1edfng c\u1ee7a m\u00ecnh v\u1edbi John Von Neumann, hai ng\u01b0\u1eddi \u0111\u00e3 h\u1ee3p t\u00e1c \u0111\u1ec3 ph\u00e1t tri\u1ec3n ph\u01b0\u01a1ng ph\u00e1p Monte Carlo.<\/p>\n

S\u1eed d\u1ee5ng Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo: M\u00f4 h\u00ecnh gi\u00e1 t\u00e0i s\u1ea3n<\/font><\/h3>\n

M\u1ed9t c\u00e1ch \u0111\u1ec3 s\u1eed d\u1ee5ng ph\u01b0\u01a1ng ph\u00e1p Monte Carlo l\u00e0 m\u00f4 h\u00ecnh h\u00f3a c\u00e1c bi\u1ebfn \u0111\u1ed9ng c\u00f3 th\u1ec3 c\u1ee7a gi\u00e1 t\u00e0i s\u1ea3n s\u1eed d\u1ee5ng Excel ho\u1eb7c m\u1ed9t ph\u1ea7n m\u1ec1m t\u01b0\u01a1ng t\u1ef1. C\u00f3 hai th\u00e0nh ph\u1ea7n trong bi\u1ebfn \u0111\u1ed9ng gi\u00e1 c\u1ee7a m\u1ed9t t\u00e0i s\u1ea3n: m\u1ed9t l\u00e0 \u0111\u1ed9 l\u1ec7ch hay chuy\u1ec3n \u0111\u1ed9ng c\u00f3 h\u01b0\u1edbng kh\u00f4ng \u0111\u1ed5i v\u00e0 \u0111\u1ea7u v\u00e0o ng\u1eabu nhi\u00ean, \u0111\u1ea1i di\u1ec7n cho bi\u1ebfn \u0111\u1ed9ng th\u1ecb tr\u01b0\u1eddng.\u00a0<\/p>\n

B\u1eb1ng c\u00e1ch ph\u00e2n t\u00edch d\u1eef li\u1ec7u gi\u00e1 qu\u00e1 kh\u1ee9, b\u1ea1n c\u00f3 th\u1ec3 x\u00e1c \u0111\u1ecbnh \u0111\u1ed9 l\u1ec7ch, \u0111\u1ed9 l\u1ec7ch chu\u1ea9n, ph\u01b0\u01a1ng sai v\u00e0 bi\u1ebfn \u0111\u1ed9ng gi\u00e1 trung b\u00ecnh cho m\u1ed9t ch\u1ee9ng kho\u00e1n. \u0110\u00e2y l\u00e0 c\u00e1c n\u1ec1n t\u1ea3ng c\u01a1 b\u1ea3n c\u1ee7a ph\u01b0\u01a1ng ph\u00e1p Monte Carlo.<\/p>\n

\u0110\u1ec3 d\u1ef1 \u0111o\u00e1n m\u1ed9t qu\u0129 \u0111\u1ea1o gi\u00e1 ti\u1ec1m n\u0103ng, s\u1eed d\u1ee5ng d\u1eef li\u1ec7u gi\u00e1 l\u1ecbch s\u1eed c\u1ee7a t\u00e0i s\u1ea3n \u0111\u1ec3 t\u1ea1o ra m\u1ed9t lo\u1ea1t l\u1ee3i nhu\u1eadn h\u00e0ng ng\u00e0y \u0111\u1ecbnh k\u00ec b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng logarit t\u1ef1 nhi\u00ean (l\u01b0u \u00fd r\u1eb1ng ph\u01b0\u01a1ng tr\u00ecnh n\u00e0y kh\u00e1c v\u1edbi c\u00f4ng th\u1ee9c thay \u0111\u1ed5i t\u1ec9 l\u1ec7 ph\u1ea7n tr\u0103m th\u00f4ng th\u01b0\u1eddng):<\/p>\n

L\u1ee3i nhu\u1eadn h\u00e0ng ng\u00e0y \u0111\u1ecbnh k\u00ec = ln( Gi\u00e1 ng\u00e0y h\u00f4m nay\/ gi\u00e1 ng\u00e0y h\u00f4m tr\u01b0\u1edbc)<\/b><\/i><\/p>\n

Ti\u1ebfp theo, s\u1eed d\u1ee5ng c\u00e1c h\u00e0m AVERAGE, STDEV.P v\u00e0 VAR.P tr\u00ean to\u00e0n b\u1ed9 k\u1ebft qu\u1ea3 \u0111\u1ec3 c\u00f3 \u0111\u01b0\u1ee3c l\u1ee3i t\u1ee9c trung b\u00ecnh h\u00e0ng ng\u00e0y, \u0111\u1ed9 l\u1ec7ch chu\u1ea9n v\u00e0 ph\u01b0\u01a1ng sai t\u01b0\u01a1ng \u1ee9ng. \u0110\u1ed9 l\u1ec7ch b\u1eb1ng:<\/p>\n

\u0110\u1ed9 l\u1ec7ch = L\u1ee3i nhu\u1eadn trung b\u00ecnh h\u1eb1ng ng\u00e0y – ph\u01b0\u01a1ng sai\/2<\/i><\/b><\/p>\n

Ngo\u00e0i ra, \u0111\u1ed9 l\u1ec7ch c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c \u0111\u1eb7t b\u1eb1ng 0 nh\u01b0ng s\u1ef1 kh\u00e1c bi\u1ec7t s\u1ebd kh\u00f4ng l\u1edbn \u00edt nh\u1ea5t l\u00e0 \u0111\u1ed1i v\u1edbi c\u00e1c kho\u1ea3ng th\u1eddi gian ng\u1eafn.<\/p>\n

Sau \u0111\u00f3 t\u00ednh m\u1ed9t \u0111\u1ea7u v\u00e0o ng\u1eabu nhi\u00ean:<\/p>\n

Gi\u00e1 tr\u1ecb ng\u1eabu nhi\u00ean =\u00a0\u03c3 x NORMSINV(RAND())\u00a0<\/i><\/b><\/p>\n

Trong \u0111\u00f3:<\/p>\n

\u03c3 l\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u1ea5y t\u1eeb k\u1ebft qu\u1ea3 trong Excel\u00a0<\/p>\n

NORMSINV v\u00e0 RAND l\u00e0 c\u00e1c h\u00e0m trong Excel\u00a0<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh gi\u00e1 cho ng\u00e0y ti\u1ebfp theo l\u00e0<\/p>\n

Gi\u00e1 ng\u00e0y ti\u1ebfp theo = Gi\u00e1 ng\u00e0y h\u00f4m nay x e^(\u0110\u1ed9 l\u1ec7ch + Gi\u00e1 tr\u1ecb ng\u1eabu nhi\u00ean)<\/i><\/b><\/p>\n

\u0110\u1ec3 e c\u00f3 s\u1ed1 m\u0169 x cho tr\u01b0\u1edbc trong Excel, h\u00e3y s\u1eed d\u1ee5ng h\u00e0m EXP v\u1edbi c\u00fa ph\u00e1p EXP(x). L\u1eb7p l\u1ea1i t\u00ednh to\u00e1n n\u00e0y v\u1edbi s\u1ed1 l\u1ea7n mong mu\u1ed1n (m\u1ed7i l\u1ea7n l\u1eb7p l\u1ea1i \u0111\u1ea1i di\u1ec7n cho m\u1ed9t ng\u00e0y) \u0111\u1ec3 c\u00f3 \u0111\u01b0\u1ee3c m\u00f4 ph\u1ecfng chuy\u1ec3n \u0111\u1ed9ng gi\u00e1 trong t\u01b0\u01a1ng lai. B\u1eb1ng c\u00e1ch t\u1ea1o s\u1ed1 l\u01b0\u1ee3ng m\u00f4 ph\u1ecfng t\u00f9y \u00fd, b\u1ea1n c\u00f3 th\u1ec3 \u0111\u00e1nh gi\u00e1 x\u00e1c su\u1ea5t gi\u00e1 ch\u1ee9ng kho\u00e1n s\u1ebd \u0111i theo qu\u0129 \u0111\u1ea1o nh\u1ea5t \u0111\u1ecbnh. D\u01b0\u1edbi \u0111\u00e2y l\u00e0 m\u1ed9t v\u00ed d\u1ee5, hi\u1ec3n th\u1ecb kho\u1ea3ng 30 d\u1ef1 \u0111o\u00e1n cho c\u1ed5 phi\u1ebfu c\u1ee7a Time Warner Inc (TWX) cho ph\u1ea7n c\u00f2n l\u1ea1i c\u1ee7a th\u00e1ng 11 n\u0103m 2015:<\/p>\n

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T\u1ea7n s\u1ed1 c\u1ee7a c\u00e1c k\u1ebft qu\u1ea3 kh\u00e1c nhau \u0111\u01b0\u1ee3c t\u1ea1o ra b\u1edfi m\u00f4 ph\u1ecfng n\u00e0y s\u1ebd theo m\u1ed9t ph\u00e2n ph\u1ed1i chu\u1ea9n. L\u1ee3i nhu\u1eadn c\u00f3 kh\u1ea3 n\u0103ng x\u1ea3y ra cao nh\u1ea5t \u1edf gi\u1eefa \u0111\u01b0\u1eddng cong, c\u00f3 ngh\u0129a l\u00e0 c\u00f3 kh\u1ea3 n\u0103ng l\u00e0 l\u1ee3i nhu\u1eadn th\u1ef1c t\u1ebf s\u1ebd cao h\u01a1n ho\u1eb7c th\u1ea5p h\u01a1n gi\u00e1 tr\u1ecb \u0111\u00f3.\u00a0<\/p>\n

X\u00e1c su\u1ea5t l\u1ee3i nhu\u1eadn th\u1ef1c t\u1ebf s\u1ebd n\u1eb1m trong m\u1ed9t \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a l\u1ee3i nhu\u1eadn c\u00f3 kh\u1ea3 n\u0103ng x\u1ea3y ra nh\u1ea5t (hay “d\u1ef1 ki\u1ebfn”) l\u00e0 68%;n\u1ebfu n\u1eb1m trong hai \u0111\u1ed9 l\u1ec7ch chu\u1ea9n l\u00e0 \u0111\u1ed9 tin c\u1eady s\u1ebd l\u00e0 95%; n\u1ebfu n\u1eb1m trong ba \u0111\u1ed9 l\u1ec7ch chu\u1ea9n \u0111\u1ed9 tin c\u1eady l\u00e0 99,7%. Tuy nhi\u00ean, kh\u00f4ng c\u00f3 g\u00ec \u0111\u1ea3m b\u1ea3o r\u1eb1ng k\u1ebft qu\u1ea3 \u0111\u01b0\u1ee3c mong \u0111\u1ee3i nh\u1ea5t s\u1ebd x\u1ea3y ra, ho\u1eb7c trong th\u1ef1c t\u1ebf s\u1ebd kh\u00f4ng v\u01b0\u1ee3t qu\u00e1 c\u00e1c d\u1ef1 \u0111o\u00e1n.<\/p>\n

\u0110i\u1ec3m quan tr\u1ecdng c\u1ee7a ph\u01b0\u01a1ng ph\u00e1p Monte Carlo <\/b>l\u00e0 n\u00f3 b\u1ecf qua m\u1ecdi th\u1ee9 kh\u00f4ng \u0111\u01b0\u1ee3c bao g\u1ed3m trong x\u00e2y d\u1ef1ng chuy\u1ec3n \u0111\u1ed9ng gi\u00e1 (xu h\u01b0\u1edbng v\u0129 m\u00f4, l\u00e3nh \u0111\u1ea1o c\u00f4ng ty, s\u1ef1 c\u01b0\u1eddng \u0111i\u1ec7u h\u00f3a, c\u00e1c y\u1ebfu t\u1ed1 chu k\u00ec); n\u00f3i c\u00e1ch kh\u00e1c, n\u00f3 gi\u1ea3 \u0111\u1ecbnh th\u1ecb tr\u01b0\u1eddng ho\u00e0n to\u00e0n hi\u1ec7u qu\u1ea3.\u00a0<\/p>\n

(Theo Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Ph\u01b0\u01a1ng ph\u00e1p Monte Carlo (ti\u00ea\u0301ng Anh: Monte Carlo Simulation) \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 x\u00e2y d\u1ef1ng m\u00f4 h\u00ecnh x\u00e1c su\u1ea5t c\u00e1c k\u1ebft qu\u1ea3 kh\u00e1c nhau cho m\u1ed9t qu\u00e1 tr\u00ecnh kh\u00f4ng th\u1ec3 d\u1ec5 d\u00e0ng d\u1ef1 \u0111o\u00e1n do c\u00f3 s\u1ef1 can thi\u1ec7p c\u1ee7a c\u00e1c bi\u1ebfn ng\u1eabu nhi\u00ean.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31454"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=31454"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31454\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31454"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31454"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31454"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}