Sie sind auf Seite 1von 13

&DSLWROXO,,

3ULQFLSDOHOHWLSXULGHPRGHOHHFRQRPHWULFHXWLOL]DWHvQ
HFRQRPLH



'HVFULHUHDHFRQRPHWULF

DGHSHQGHQ HORULLQWHUGHSHQGHQ HORUGLQWUH

IHQRPHQHOHHFRQRPLFH


7HRULD HFRQRPLF  VWXGLD]  IHQRPHQHOH L SURFHVHOH HFRQRPLFH SRUQLQG GH OD SUHPLVD F 
DFHVWHD QX VH GHVI RDU  OD vQWkPSODUH FL SH ED]D XQRU OHJL SURSULL UHODWLY VWDELOH L UHODWLY
UHSHWDELOHVSHFLILFHQDWXULLDFHVWRUIHQRPHQH
'HRDUHFH IHQRPHQHOH GLQ HFRQRPLH VXQW vQ JHQHUDO FXDQWLILFDELOH OHJLOH HFRQRPLFH SRW IL
GHVFULVH VXE IRUPD XQRU OHJ WXUL FDQWLWDWLYH D XQRU GHWHUPLQ UL QXPHULFH  vQWUH DFHVWH IHQRPHQH
$FHVWIDSWIDFHSRVLELO XWLOL]DUHDVWDWLVWLFLLLPDWHPDWLFLLGHF WUHWHRULDHFRQRPLF 
Q SOXV VXFFHVHOH GHRVHELWH RE LQXWH GH DVWURQRPLH SULQ XWLOL]DUHD PHWRGHORU VWDWLVWLFR
PDWHPDWLFHGHVFRSHULUHDSODQHWHL1HSWXQvQFDXUPDUHDFDOFXOHORUHIHFWXDWHGHDVWURQRPXO
IUDQFH] 8UEDLQ GH 9HUULHU   VDX D SODQHWHL 3OXWRQ vQ  vQ XUPD FDOFXOHORU HIHFWXDWH
vQ  GH DVWURQRPXO DPHULFDQ 3HUFLYDO /RZHOO   HWF  DX FRQYLQV HFRQRPLWLL GH
XWLOLWDWHDLQHFHVLWDWHDDGRSW ULLDFHVWRUPHWRGHDGRSWDUHMXVWLILFDW GHFHOSX LQGRX PRWLYH
  $WkWIHQRPHQHOHDVWURQRPLFHFkWLIHQRPHQHOHHFRQRPLFHQXSRWILGHFkWREVHUYDWHHOHQX
SRW IL QLFL L]RODWH GLQ PHGLXO UHDO L QLFL UHSURGXVH vQ ODERUDWRU SHQWUX D IL FHUFHWDWH vQ FXUVXO XQRU
H[SHULHQ HFRQWURODWH
  Q HFRQRPLH DF LRQHD]  DQXPLWH OHJL DVHP Q WRDUH SULQ IRUPXODUHD ORU FX OHJLOH FH VH
PDQLIHVW  vQ DOWH GRPHQLL DOH WLLQ HL  IL]LF  FKLPLH DVWURQRPLH HWF ,VWRULD GRFWULQHORU JkQGLULL 
HFRQRPLFHUHOHY XUP WRDUHOHH[HPSOHvQDFHVWVHQVFXPDUIL


OHJHDOXL0DOWKXVvQOXPHSURGXF LDDJULFRO FUHWHvQSURJUHVLHDULWPHWLF LDUSRSXOD LDvQ



OHJLOHOXL(QJHO DWXQFLFkQGYHQLWXOQD LRQDOFUHWHvQWUR DU GH]YROWDW 

SURJUHVLHJHRPHWULF 
D  FKHOWXLHOLOHDOLPHQWDUHFUHVFvQWURSURSRU LHPDLPLF 
E  FKHOWXLHOLOHSHQWUXvPEU F PLQWHFUHVFvQDFHHDLSURSRU LH
F  FKHOWXLHOLOH SHQWUX EXQXUL GH IRORVLQ

 vQGHOXQJDW  FUHVF vQWUR SURSRU LH PDL

PDUH


OHJHDOXL3DUHWRGHVFULHSRODUL]DUHDYHQLWXULORUUHVSHFWLYXQQXP UWRWPDLPDUHGHORFXLWRUL
DXYHQLWXULPLFLLDUXQQXP UWRWPDLPLFGHORFXLWRULDXYHQLWXULIRDUWHPDUL
\ =

XQGH
[

$
 
[

YHQLWXOIDPLOLLORU




/HJLOHOXL(QJHODXIRVWIRUPXODUL]DWHGH7|UQTXLVWSULQLQWHUPHGLXOXUP WRDUHORUPRGHOH

D 

\ = D

E 

\ = D

F 

\ = D[

[ +E
[ -F
[ +E

+ X 

+ X 

[ -F
[ +E

XQGH\
X

+ X 

FKHOWXLHOLOHIDPLOLLORU[
YDULDELODDOHDWRDUH

YHQLWXOIDPLOLLORUDEF

SDUDPHWULLPRGHOHORU

\

QXP UXO

[
$D

IDPLOLLORU

\ = 1

([

DO

) 

F URU

YHQLW

HVWH

PDL

PDUH

VDX

HJDO

FX

YHQLWXO

SDUDPHWULLIXQF LHL

)DSWXO F  R VHULH GLQ DFHVWH IRUPXO UL DX IRVW FULWLFDWH UHIRUPXODWH VDX GH]YROWDWH GH WHRULD
HFRQRPLF  LQWHUHVHD]  PDL SX LQ vQ FD]XO GH ID
GHVFULHUL ULJXURDVH OLSVLWH GH DPELJXLW

 7UHEXLH DSUHFLDW  LQWHQ LD DXWRULORU GH D RIHUL

L FX SRVLELOLW

L RSHUD LRQDOH SULYLQG H[SOLFDUHD UHJODUHD L

GLULMDUHDIXQF LRQ ULLPHFDQLVPHORUHFRQRPLFH


([LVWHQ D RELHFWLY  D DFHVWRU OHJ WXUL OHJL HFRQRPLFH UHODWLY VWDELOH L UHODWLY UHSHWDELOH 
GLQWUHIHQRPHQHOHLSURFHVHOHFHIRUPHD] XQVLVWHPHFRQRPLFUHSUH]LQW VXSRUWXOWHRUHWLFSHFDUH
HFRQRPHWULD vL IXQGDPHQWHD]  UHIOHFWDUHD IRUPDO  D DFHVWRUD $FHVWH OHJ WXUL SRW IL GHVFULVH FX
DMXWRUXOPHWRGHORUVWDWLVWLFRPDWHPDWLFH
Q GRPHQLXO HFRQRPLF GHL H[LVW  R PDUH GLYHUVLWDWH GH PRGHOHOH PRGHODUHD DFHVWRUD OD
RULFHQLYHOPLFURVDXPDFURHFRQRPLFVHSRDWHLQWHUSUHWDFXDMXWRUXOXUP WRDUHLVFKHPH

; ^

`<

) LJ X UD   

XQGH
<

 \  YROXPXOLHLULORUGLQVLVWHP L =  Q 

;

 [ IDFWRULLFDOLWDWLYLLFDQWLWDWLYLFDUHLQIOXHQ HD] LHLULOH\   M =  P 

6

VWUXFWXUDVLVWHPXOXLSULQLQWHUPHGLXOF UHLDIDFWRULL[ GHWHUPLQ LHLULOH\  

'DF QHUHIHULPODXQSURFHVGHSURGXF LHGHH[HPSOXDQDOL]DHFRQRPLF HIHFWXDW SHED]D


VFKHPHL GH PDL VXV HYLGHQ LD]  IDSWXO F  LQGLFDWRULL GH UH]XOWDWH \ 

4    YROXPXO SURGXF LHL

JOREDOHPDUI VDXQHWHGHSLQGDWkWGHYROXPXOLQDWXUDIDFWRULORUGHSURGXF LHUHVSHFWLYYROXPXO


L FDOLWDWHD RELHFWHORU PXQFLL 0  YROXPXO L QLYHOXO WHKQLF DO PLMORDFHORU GH PXQF  .  QXP UXO
H[SHULHQ DLQLYHOXOGHLQVWUXLUHDOIRU HLGHPXQF  / FkWLGHPRGXOORUGHLQWHUDF LXQHvQFDGUXO
VWUXFWXULLWHKQLFHRUJDQL]DWRULFHDSURFHVXOXLGHSURGXF LH
&XQRDWHUHD OHJLW

LL GH YDULD LH vQ WLPS VDX vQ VSD LX D XQXL LQGLFDWRU GH HIHFW HFRQRPLF vQ

IXQF LHGHYDULD LDIDFWRULORUFXDQWLILFDELOLVHSRDWHIDFHIRORVLQGGRX PRGHOHGHOXFUX


D  3ULPXOFHOPDLIUHFYHQWXWLOL]DWLvQSUH]HQWvOFRQVWLWXLHPRGHOXOGHWHUPLQLVWFDUHUHIOHFW 
OHJ WXUD IXQF LRQDO  GLQWUH HOHPHQWHOH GH LQWUDUH L GH LHLUH DOH VLVWHPXOXL  YDULDELOHOH H[RJHQH L
YDULDELOHOH HQGRJHQH 3H ED]D GHILQL LLORU IRUPXODWH GH WHRULD HFRQRPLF  FX SULYLUH OD HOHPHQWHOH
RELHFWXOXL UHVSHFWLY VWDWLVWLFD HFRQRPLF  XWLOL]kQG PHWRGH SURSULL H[SULP  SULQWUXQ VLVWHP GH
LQGLFDWRUL HOHPHQWHOH FXDQWLILFDELOH DOH VLVWHPXOXL HFRQRPLF 3H ED]D SDUDPHWULORU GH SHUIRUPDQ
DL VLVWHPXOXL VDX DL LQGLFDWRULORU GH HILFLHQ

 D IDFWRULORU GH SURGXF LH  VH FRQVWUXLHVF PRGHOH

HFRQRPHWULFH GHWHUPLQLVWH vQWUH HIHFWH L HIRUWXUL H[SOLFkQGXVH YDULD LD YDULDELOHORU IDFWRULDOH L D
LQGLFDWRULORUGHSHUIRUPDQ

VDXGHHILFLHQ

DOHDFHVWRUD

$VWIHOvQFD]XOXQXLSURFHVGHSURGXF LHVHGHILQHVF
4



FRQVXPXOVSHFLILF F =



SURGXFWLYLWDWHDPXQFLL Z =



HILFLHQ DIRQGXULORUIL[H H =

4
4
/

F0

4

4
.

4

Z/

H.

 

 

 

3H ED]D PRGHOHORU GHWHUPLQLVWH     L   GH H[HPSOX SULQ RSHUD LL VLPSOH
VHSRWRE LQHPRGHOHGHWHUPLQLVWHFHFRQ LQWUHLLSDWUXIDFWRUL
$VWIHOSHED]DUHOD LLORU  L  VHRE LQH

Z / =H . 

Z = H

Z = H I 

XQGH I


.
/

 

 

UHSUH]LQW vQ]HVWUDUHDWHKQLF DPXQFLL

5HOD LD  GHYLQH


4 =Z / = H I
 4

/ 

Q FD]XO XQXL DQVDPEOX GH L XQLW






=
 H

L VDX UDPXUL HFRQRPLFH UHOD LD   VH vQVXPHD] 

$FHDVW UHOD LHvQPXO LW FXWHUPHQXO /

 4

XQGH J

 H

= /


/


/

/



/


/

/ VHWUDQVIRUP vQ




 H I J

 

UHSUH]LQW VWUXFWXUDIRU HLGHPXQF 

0RGHOXO  UHIOHFW GHSHQGHQ DGHWHUPLQLVW GLQWUHHIHFWXOHFRQRPLF4LFHOHWUHLJUXSH


GHIDFWRULXWLOL]DWHGHDQDOL]DHFRQRPLF IDFWRULFDOLWDWLYLVWUXFWXUDOLLFDQWLWDWLYL
QJHQHUDOXQPRGHOGHWHUPLQLVWVHH[SULP SULQUHOD LD
\

I [ VDX\

I [ [
 

 

0RGHOHOH GHWHUPLQLVWH VH XWLOL]HD]  FXUHQW vQ SUDFWLFD HFRQRPLF  OD DQDOL]D SH IDFWRUL D
YDULD LHL vQ WLPS VDX VSD LX D PXOWRU IHQRPHQH HFRQRPLFH Q DFHVW VFRS PRGHOXO GHWHUPLQLVW
UHSUH]LQW VXSRUWXOWHRUHWLFDODSOLF ULLPHWRGHLLQGLFLORUWHULWRULDOLVDXGLQDPLFLPHWRG DOHF UHL
DYDQWDMHLOLPLWHVXQWELQHFXQRVFXWHHFRQRPLWLORU
E  $O GRLOHD PRGHO GH OXFUX HVWH UHSUH]HQWDW GH PRGHOXO HFRQRPHWULF  vQ VHQVXO GHILQLULL
UHVWULFWLYH D HFRQRPHWULHL  FDUH IXQGDPHQWkQGXVH SH PHWRGD UHJUHVLHL PHWRG
VWDWLVWLFLL  GHVFULH OHJ
LQIOXHQ

WXUD VWDWLVWLF

 VDX VWRFKDVWLF

 GLQWUH LQWU

 VSHFLILF

ULOH VLVWHPXOXL  IDFWRULL GH

;LLHLULOHDFHVWXLDYDULDELOHOHUH]XOWDWLYH<FXDMXWRUXOXQXLPRGHODOHDWRU
<

I ; 8

 

$FHVWSURFHGHXVHED]HD] SHSULQFLSLXOFXWLHLQHJUHSULQFLSLXFLEHUQHWLFFDUHvQHFRQRPLH
VH IRORVHWH DWXQFL FkQG GHVFULHUHD IRUPDO  D VWUXFWXULL VLVWHPXOXL HVWH LQDFFHVLELO  GLQ FDX]D
LPSRVLELOLW

LL RE LQHULL LQIRUPD LLORU QHFHVDUH VDX FkQG RE LQHUHD DFHVWRU LQIRUPD LL DU QHFHVLWD

FKHOWXLHOLH[FHVLYHFDUHQXVHMXVWLILF SULQDSRUWXOvQFXQRDWHUHSHFDUHvOUHDOL]HD] 
6SUH GHRVHELUH GH PRGHOXO GHWHUPLQLVW   DFFHSWDW I U  UH]HUYH GH WHRULD L SUDFWLFD
HFRQRPLF  PRGHOXO HFRQRPHWULF   LQWURGXFH vQ VFKHPD GH GHVFULHUH DOHJLW

LLGHPDQLIHVWDUH

DXQXLIHQRPHQVDXSURFHVHFRQRPLFLRYDULDELO DOHDWRDUHVDXvQWkPSO WRDUH 8 


$SDUHQW DFHDVW  PRGDOLWDWH GH IRUPDOL]DUH D OHJ WXULORU GLQWUH IHQRPHQHOH HFRQRPLFH DU
FRQWUD]LFH WHRULD HFRQRPLF   IHQRPHQHOH QX VH SURGXF OD vQWkPSODUH FL SH ED]D XQRU OHJL SURSULL
LQHUHQWH ORU  DD FXP VD DILUPDW OD vQFHSXWXO DFHVWXL FDSLWRO $FHDVW  LQWHUSUHWDUH HVWH LQH[DFW 
$FFHSWDUHDLQWURGXFHULLYDULDELOHLDOHDWRDUHvQYHGHUHDH[SOLF ULLOHJLW

LLGHYDULD LHDXQXLIHQRPHQ

HFRQRPLFFRQFUHWHVWHFHUXW GHXQXOGLQPRWLYHOHGHPDLMRV
 DSDUL LD L YDULD LD vQ WLPS VDX VSD LX D XQXL IHQRPHQ HFRQRPLF HVWH GHWHUPLQDW  GH XQ
VLVWHP QXPHURV GH IDFWRUL FDOLWDWLYL L FDQWLWDWLYL ,PSRVLELOLWDWHD FXDQWLILF ULL DQXPLWRU IDFWRUL
SUHFXP L GLILFXOW

LOH ULGLFDWH GH UH]ROYDUHD XQRU PRGHOH FX PXOWH YDULDELOH IDFWRULDOH FRQGXF OD R

VSHFLILFDUH IRUPDO  LQFRPSOHW  GLQ SXQFW GH YHGHUH HFRQRPLF D RELHFWXOXL LQYHVWLJDW $FHDVW 
VSHFLILFDUHIRUPDO LQFRPSOHW HVWHFRUHFWDW LYL]XDOL]DW FXDMXWRUXOYDULDELOHLDOHDWRDUH 8 
 OHJ WXUD FDX] HIHFW QX SRDWH IL FHUFHWDW  vQ PRG QHPLMORFLW vQ ODERUDWRU DD FXP
SURFHGHD]  WLLQ HOH WHKQLFH GHRDUHFH RELHFWXO HFRQRPLF LQYHVWLJDW QX SRDWH IL L]RODW H[WUDV GLQ
PHGLXO HFRQRPLF FL QXPDL REVHUYDW SULQ LQWHUPHGLXO GDWHORU VWDWLVWLFH 3H ED]D DFHVWRUD SULQ
LQWHUPHGLXO XQXL PRGHO VWDWLVWLFRPDWHPDWLF OHJ WXUD RELHFWLY  HVWH HVWLPDW  DSUR[LPDW  SULQ
PLMORFLUHDLQIRUPD LHLVWDWLVWLFH

 GH IRDUWH PXOWH RUL GDWHOH VWDWLVWLFH SURYLQ GLQ REVHUY UL VHOHFWLYH VHULLOH FURQRORJLFH
DYkQG

GH

DVHPHQHD

DFHDVW 

SDUWLFXODULWDWH 

GLQ

VRQGDMH

DOHDWRDUH

FDUH

LPSULP 

WXWXURU

LQGLFDWRULORUFHUFHWD LSHED]DORUDFHDVW SDUWLFXODULWDWHVWDWLVWLF 


3HQWUX D MXVWLILFD FRQFUHW QHFHVLWDWHD IRORVLULL YDULDELOHL DOHDWRDUH 8  vQ FDGUXO XQXL PRGHO
HFRQRPHWULF FkW L GDWRULW  XQRU LQDGYHUWHQ H FH VH vQWkOQHVF vQ SUDFWLF  GDWRULW  XWLOL] ULL XQRU
PRGHOH GH UHJUHVLH vQ ORFXO PRGHOHORU HFRQRPLFH GHWHUPLQLVWH YD IL DERUGDW  VXFFLQW DFHDVW 
SUREOHP 
'H IRDUWH PXOWH RUL VH VWXGLD]  OHJ WXUD GLQWUH XQ LQGLFDWRU DO SURGXF LHL 4  L
SURGXFWLYLWDWHD PXQFLL Z  VDX GLQWUH SURGXFWLYLWDWHD L vQ]HVWUDUHD WHKQLF  D PXQFLL I  FX DMXWRUXO
XQHLIXQF LLGHUHJXO GHIRUPD4

DEZVDXZ

DEI

7HRULD HFRQRPLF  D IRUPXODW GHSHQGHQ D GLQWUH YDULDELOHOH GH PDL VXV SULQ LQWHUPHGLXO
PRGHOHORUGHWHUPLQLVWH4
4

 D  EZ L Z

Z/LUHVSHFWLY:

HIQFRPSDUD LHFXDFHVWHDPRGHOHOH

 D  EI VXQW DIHFWDWH GH HURUL GH VSHFLILFDUH L GH LGHQWLILFDUH (URDUHD GH

VSHFLILFDUH HVWH UHSUH]HQWDW  DWkW GH QHJOLMDUHD IDFWRUXOXL /  IRU D GH PXQF  VDX D HILFLHQ HL
IRQGXULORUIL[HFkWLGHIDSWXOF SDUDPHWULLPRGHOHORUYRUILFDOFXOD LSULQHVWLPD LLVWDWLVWLFHFDV 
QX PDL DPLQWLP GH IDSWXO F  GH FHOH PDL PXOWH RUL GDWHOH VWDWLVWLFH SURYLQ GLQWUXQ VRQGDM
9L]XDOL]DUHD L LQWHUSUHWDUHD FRUHFW  D OHJ WXULL GLQWUH YDULDELOHOH UHVSHFWLYH LPSXQH VSHFLILFDUHD
YDULDELOHORUDOHDWRDUHvQFDGUXOPRGHOHORUHFRQRPHWULFH
5HIHULWRU OD HURDUHD GH LGHQWLILFDUH DFHDVWD FRQVW  vQ DOHJHUHD JUHLW  D IXQF LHL PDWHPDWLFH
)XQF LD 4

 D EZDUDW F GDF Z

DWXQFL4

DVWIHOGHVLWXD LLPRGHOXOYDWUHEXLV ILHGHIRUPD\

DFHHDFHUHSUH]LQW RDEHUD LHHFRQRPLF Q


E[X




3ULQFLSDOHOHWLSXULGHPRGHOHHFRQRPHWULFHXWLOL]DWHvQHFRQRPLH


Q PRPHQWXO DFWXDO WLSRORJLD PRGHOHORU HFRQRPHWULFH HVWH H[WUHP GH GLYHUVLILFDW  WRWXL vQ
IXQF LHGHDQXPLWHFULWHULLGHFODVLILFDUHHOHVHSRWvQFDGUDvQFkWHYDWLSXULVDXFODVHSULQFLSDOH

0RGHOHXQLIDFWRULDOHLPRGHOHPXOWLIDFWRULDOH
PS

U LUHD PRGHOHORU vQ DFHVWH GRX

IXQF LH GH QXP

 FODVH HVWH I

FXW

 DD FXP LQGLF

UXO YDULDELOHORU IDFWRULDOH IRORVLWH vQ YHGHUHD H[SOLF

 L GHQXPLUHD ORU vQ

ULL VLPXO

ULL VDX SURJQR]HL

YDULDELOHORUGHSHQGHQWH
0RGHOXO XQLIDFWRULDO \
HFRQRPLFH GDWRULW

 I [   X HVWH IRORVLW vQ PRG IUHFYHQW OD PRGHODUHD IHQRPHQHORU

 DYDQWDMHORU SH FDUH OH SUH]LQW

 VLPSOLWDWH RSHUDWLYLWDWH L FRVW UHGXV SHQWUX

RE LQHUHD OXL 8WLOL]DUHD XQXL DVWIHO GH PRGHO VH IXQGDPHQWHD]  SH LSRWH]D F  vQ UkQGXO IDFWRULORU
YDULDELOHL UH]XOWDWLYH \ H[LVW  XQ IDFWRU GHWHUPLQDQW [ FHLODO L IDFWRUL FX H[FHS LD DFHVWXLD ILH DX R
LQIOXHQ

 vQWkPSO WRDUH DFHWLD ILLQG VSHFLILFD L vQ PRGHO SULQ LQWHUPHGLXO YDULD LHL UH]LGXDOH X ILH

DXIRVWLQYDULDELOLvQSHULRDGDDQDOL]DW LFDDWDUHQXDUHVHQVVSHFLILFDUHDORUvQPRGHO
'DF  LSRWH]D GH PDL VXV QX SRDWH IL DFFHSWDW  FD] IUHFYHQW vQ GRPHQLXO HFRQRPLF VH
FRQVWUXLHWH XQ PRGHO PXOWLIDFWRULDO GH IRUPD \

 I [  [
 [   X M =  Q  XQGH N

 QXP UXO

YDULDELOHORUIDFWRULDOH
0RGHOXO

PXOWLIDFWRULDO

HOLPLQkQG

GHILFLHQ D

PRGHOXOXL

XQLIDFWRULDO

WUDQVIRUP 

vQV 

DYDQWDMHOH DFHVWXLD vQ GH]DYDQWDMH 'LQ DFHVW PRWLY VH UHFRPDQG  FD vQ SUDFWLF  V  QX VH
IRORVHDVF XQPRGHOFXPDLPXOWGHWUHLVDXSDWUXYDULDELOHIDFWRULDOH
7RDWH PRGHOHOH HFRQRPHWULFH IRORVLWH SkQ  vQ SUH]HQW SRW ILvQFDGUDWHvQWUXQDGLQWUHDFHVWH
FODVH'LQFDWHJRULDPRGHOHORUXQLIDFWRULDOHGHPQHGHPHQ LRQDWVXQW
 OHJHD FHUHULL  &

 I S   X XQGH &

YROXPXOFHUHULLXQXLSURGXVLDUS

SURGXVXOXL
OHJHDRIHUWHL2

I S XXQGH2

YROXPXORIHUWHL

SUH XOXQLWDUDO

 PRGHOXO FRQVXPXOXL  & 

 I 9   X XQGH &  

 FRQVXPXO XQXL SURGXV L LDU 9

 YHQLWXO

XQHLIDPLOLL
 PRGHOXO FKHOWXLHOLORU GH SURGXF LH &K  vQ IXQF LH GH YROXPXO SURGXF LHL 4  &K

 I 4  

X
 PRGHOXO OHJLL LPSR]LWXOXL ,  SH YHQLW 9   ,

 I 9   X YDULDELOD DOHDWRDUH X VHPQLILFkQG

DEDWHUHD GH OD GHSHQGHQ D IXQF LRQDO  D LPSR]LWXOXL SH YHQLWXO VDODULD LORU FDXUPDUHDXQRUP VXUL
GHSROLWLF VRFLDO 
6WUXFWXUDO PRGHOHOH PXOWLIDFWRULDOH VXQW GH R PDUH GLYHUVLWDWH &D UHJXO  JHQHUDO  HOH VH
FRQVWUXLHVF SULQ GH]YROWDUHD PRGHOXOXL XQLIDFWRULDO DO YDULDELOHL H[SOLFDWH \ 3H OkQJ  YDULDELOD
IDFWRULDO  LQL LDO  [  VH LQWURGXF ILH DOWH YDULDELOH H[RJHQH [
 [  [  ILH YDORUL GHFDODWH DOH
DFHVWRUD[  [   [    

0RGHOHOLQLDUHLPRGHOHQHOLQLDUH
&ODVDDFHVWRUPRGHOHHVWHGHILQLW GHIRUPDOHJ WXULLGLQWUHYDULDELODUH]XOWDWLY LYDULDELOHOH
IDFWRULDOH 6XE IRUP  JHQHUDO  XQ PRGHO OLQLDU PXOWLIDFWRULDO VH SUH]LQW DVWIHO\

E 

E [

E
[

 X 0RGHOHOH QHOLQLDUH VH LGHQWLILF  FX DMXWRUXO IXQF LLORU QHOLQLDUH FXP DU IL  IXQF LD
H[SRQHQ LDO KLSHUERO IXQF LDORJLVWLF SDUDERO HWF
'HRDUHFHFHOHGRX JUXSHGHPRGHOHSRVHG SDUWLFXODULW

LVSHFLILFHQHYRPUHIHULODFkWHYD

GLQWUHHOHSRUQLQGGHODXQFD]FRQFUHWFDUHGHDOWIHODLJHQHUDWUHOHYDUHDDFHVWRUD
$VWIHO DQDOL]D OHJ WXULL GLQWUH FRQVXPXO XQXL DQXPLW SURGXV L YHQLWXO XQHL IDPLOLL VH SRDWH
IDFHFXDMXWRUXOXQRUPRGHOHGHIRUPD
&


&

DE9XPRGHOOLQLDU


D9

XPRGHOQHOLQLDU

 

 

$FHVW PRGHO SRDWH IL WUDQVIRUPDW SULQORJDULWPDUHvQWUXQPRGHOOLQLDUvQWUHORJDULWPLLFHORU


GRX YDULDELOHH[LVWkQGUHOD LD
ORJ&


ORJDEORJ9ORJX

 

XQGH
&

FKHOWXLHOLOHPHGLLGHFRQVXPSHRIDPLOLH

9

YHQLWXOPHGLXSHRIDPLOLH

6D FRQVWDWDW vQV  F  PRGHOXO OLQLDU   SUH]LQW  FkWHYD QHDMXQVXUL 3ULPXO VH UHIHU  OD
IDSWXOF DQXPLWHHOHPHQWHGHFRQVXPQXVHPRGLILF vQPRGOLQLDUFXHYROX LDYHQLWXULORUIDPLOLHL
XQHOHSUH]LQW XQDQXPLWQLYHOGHVDWXUD LHSURGXVHOHDOLPHQWDUHvQVSHFLDOLDUDOWHOHDXRH[LVWHQ

SDVDJHU  $O GRLOHD QHDMXQV vO FRQVWLWXLH FRHILFLHQWXO GH HODVWLFLWDWH FDUH HVWH YDULDELO L GLIHULW GH
FRHILFLHQWXOGHUHJUHVLH
6H WLH F  vQ FD]XO XQXL PRGHO OLQLDU FRHILFLHQWXO GH UHJUHVLH HVWH UHSUH]HQWDW GH SDUDPHWULL
YDULDELOHORUIDFWRULDOH6HPQXOFRHILFLHQWXOXLLQGLF VHQVXOOHJ WXULLE!OHJ WXU GLUHFW E
OHJ WXU  LQYHUV  LDU P ULPHD OXL HVWH P VXUD YDULD LHL OXL \ OD R PRGLILFDUH FXRXQLWDWHDYDULDELOHL
IDFWRULDOH&RHILFLHQWXOGHHODVWLFLWDWHVHGHILQHWHDVWIHO
F

G&
&

G9
9

=-

D
D + E9

 

 

$FHVWD GLIHU  L HO vQ UDSRUW FX SDUDPHWUXO E 3HQWUX XQ QLYHO DO OXL & GDW F  GHSLQGH GH
P ULPHDYHQLWXOXL'DF D!LE!DWXQFLF 
'HRDUHFHvQSUDFWLF HUDGHGRULWV VHGLVSXQ GHRHODVWLFLWDWHFRQVWDQW DFRQVXPXOXLVDX
DFHUHULLvQUDSRUWFXYHQLWXOIDPLOLHLVDXFXSUH XOSURGXVXOXLVDUHFXUVODPRGHOXO  
QDFHVWFD]FHLGRLFRHILFLHQ LVXQWHJDOLE

FHLFRQVWDQ LSHQWUXXQDQXPLWHOHPHQWGH

FRQVXP VHPQXO L P ULPHD ORU RIHULQG LQIRUPD LL QHFHVDUH DQDOL]HL HFRQRPLFH D UDSRUWXOXL FHUHUH
RIHUW vQVHQVXOXUP WRU
 GDF  E  FHUHUHD VDX FRQVXPXO SURGXVXOXL UHVSHFWLY WLQGH V  GLVSDU  GH SH SLD

 VDX GLQ

FRQVXPXOSRSXOD LHL
GDF EFHUHUHDVDXFRQVXPXOSURGXVXOXLWLQGHVSUHXQDQXPLWSUDJGHVDWXUD LH
 GDF  E!  FHUHUHD VDX FRQVXPXO SURGXVXOXL QX VXQW VDWLVI FXWH VDX QX DGPLW XQ QLYHO GH
VDWXUD LH


0RGHOHSDU LDOHLPRGHOHJOREDOH DJUHJDWH 
$FHVWH PRGHOH UH]XOW  vQ XUPD FODVLILF ULL PRGHOHORU HFRQRPHWULFH vQ UDSRUW GH VIHUD ORU GH
FXSULQGHUH ,QFOXGHUHD XQXL DQXPLW PRGHO vQ FODVD PRGHOHORU SDU LDOH VDX JOREDOH HVWH UHODWLY 
5HIHULQGXQH FRQFUHW OD PRGHODUHD FRQVXPXOXL SRSXOD LHL PRGHOXO FRQVXPXOXL DOLPHQWDU DO
SRSXOD LHL HVWH XQ PRGHO SDU LDO vQ UDSRUW FX PRGHOXO JOREDO DO FRQVXPXOXL WRWDO DO SRSXOD LHL 
DFHVWDUH]XOWkQGGLQDJUHJDUHDFRQVXPXULORUDOLPHQWDUQHDOLPHQWDULGHVHUYLFLLQDFHODLWLPS
FRQVXPXO DOLPHQWDU DO SRSXOD LHL DSDUH FD XQ PRGHO JOREDO
DJUHJDW  vQ UDSRUW FX PRGHOHOH SDU LDOH

DOHFRQVXPXOXLSHJUXSHRPRJHQHGHFRQVXPDWRULHWF 

([SOLFD LLOH GH PDL VXV DX XUP ULW V  MXVWLILFH LGHHD F  RULFH GHVFULHUH HFRQRPHWULF  WUHEXLH
V  VH IXQGDPHQWH]H SH R FRQFHS LH HFRQRPLF  H[SOLFLW  VDX LPSOLFLW  D IHQRPHQXOXL VWXGLDW 8Q
PRGHOHFRQRPHWULFFDUHQXUHVSHFW DFHDVW FRQGL LHUHSUH]LQW RVLPSO VSHFXOD LHPDWHPDWLF I U 
YDORDUHWHRUHWLF VDXSUDFWLF SHQWUXWLLQ DHFRQRPLF 
&ODVLILFDUHD PRGHOHORU HFRQRPHWULFH vQ FHOH GRX  WLSXUL SHUPLWH vQV  GLVFX LD SUREOHPHL
SULYLQG DJUHJDUHD PRGHOHORU SDU LDOH VDX LQYHUV GHVSUH VHPQLILFD LD PRGHOXOXL JOREDO vQ UDSRUW FX
PRGHOHOHSDU LDOH
$FHDVW  SUREOHPD YD IL DERUGDW  vQ PRG FRQFUHW vQ FD]XO PRGHO ULL FRQVXPXOXL SRSXOD LHL
GHRDUHFHVHYRUSXWHDIRUPXODREVHUYD LLSHUWLQHQWHFDUHU PkQYDODELOHSHQWUXRULFHDOW VLWXD LH
)LHPRGHOXO
D  E  [   X    L =  P 

\  

W =  Q 

 

XQGH


\

FRQVXPXO



[

YHQLWXOJUXSHLLvQDQXOW

$FHVWPRGHOUHSUH]LQW PRGHOXOSDU LDODOJUXSHLRPRJHQHLGHFRQVXPDWRULvQSHULRDGDGHQ


DQLQVXPkQGFHOHLPRGHOHSDU LDOH  VHRE LQHPRGHOXODJUHJDWDODFHVWRUD

\
L

LW

= D
L
L

+ E [
L
L

+ X

LW

LW

 

 

'DF VHLQWURGXFQRWD LLOH

LW

LW

DL
L

=<
= ;

FRQVXPXOWRWDODOSRSXOD LHLvQPRPHQWXOW

YHQLWXULOHSRSXOD LHLvQPRPHQWXOW

= D L X
= X 
LW
W
L

0RGHOXODJUHJDWGHYLQH
<

= D + E [  + X  


0RGHOXO JOREDO DO FRQVXPXOXL SRSXOD LHL FRQVWUXLW vQ DFHHDL SHULRDG  GH WLPS W  vQ IXQF LH
GHYHQLWXULOHSRSXOD LHLHVWHGHIRUPD
<

= D + E; 

'DF WHUPHQXO E [
L
L

<

LW

+ X 

GLQUHOD LD  VHvQPXO HWHFX

= D +

E [
[

[

+ X

= D +

E [
[

 
[

 
[


;  + X 

 

PRGHOXODJUHJDWGHYLQH

 

&RPSDUkQG PRGHOXO DJUHJDW   UH]XOWDW SULQ vQVXPDUHD PRGHOHORU SDU LDOH FX PRGHOXO
JOREDO  VHGHGXFHF 


1H UHIHULP OD JUXSH RPRJHQH GH FRQVXPDWRUL GXS  P ULPHD YHQLWXULORU SH FDWHJRULL VRFLRSURIHVLRQDOH SH PHGLL GH
SURYHQLHQ

HWF

E =

E
!

! [ ! "

! "
[
!

 

DGLF  SDUDPHWUXO E GLQ PRGHOXO JOREDO  FRHILFLHQWXO GH UHJUHVLH DO FRQVXPXOXL WRWDO vQ UDSRUW FX
YHQLWXULOHSRSXOD LHLUH]XOW FDRPHGLHDULWPHWLF DFRHILFLHQ LORUSDU LDOLGHUHJUHVLHSRQGHUD LFX
YHQLWXULOHFRQVXPDWRULORUGLQJUXSDL[ # $ 


2 DOW  UHOD LH FH VHSRDWHGHGXFHvQWUHFRHILFLHQWXOJOREDODOUHJUHVLHLELFHLSDU LDOLE  VH

UHIHU ODHVWLPDWRUXODFHVWXLD E 


'LQPRGHOXO  SULQDSOLFDUHD0&003HVWLPDWRUXOOXLEHVWHHJDOFX

E =

)(;

-<

%
<
%

- ;
%

)
&

- ;

%
;
%

 

XQGH


< =


;

'
' < QLYHOXOPHGLXDQXDODOFRQVXPXOXLSRSXOD LHLvQSHULRDGD W =  Q 

QLYHOXOPHGLXDQXDODOYHQLWXOXLSRSXOD LHL

6HFDOFXOHD] PHGLDOXL<SHED]DPRGHOXOXL  VHvQVXPHD] GXS WLVHvPSDUWHODQ


)


(
(
+-, [( * = D + E( [ 
< = D + E

(
(
*
Q

 

XQGH
[
1

Q 0

/
. 2 [ 1 0

UHSUH]LQW PHGLDYHQLWXULORUJUXSHLLGHFRQVXPDWRULvQSHULRDGDW

6F ]kQGGLQPRGHOXO  PRGHOXO  VHRE LQHUHOD LD


3
<4 - < = E3 [3 4 - E3 [
3
3

= E3
3

([3 4

- [
3

)

FDUH VH LQWURGXFH vQ UHOD LD   RE LQkQGXVH XUP WRDUHD UHOD LH D FRHILFLHQWXOXL JOREDO GH
UHJUHVLH

E =

E
6

- [

65
[
5

7HUPHQXO

- [

)(;

- ;

9
:

- ;

9
;
9

- ;

5
;
5
89
[

)(;
6

- ;

 

8 QXUHSUH]LQW DOWFHYDGHFkWHVWLPDWRUXOFRHILFLHQWXOXLGH
=T

UHJUHVLH D YHQLWXULORU FRQVXPDWRULORU GLQ JUXSD L vQ IXQF LH GH YHQLWXULOH SRSXOD LHL HVWLPDW SH ED]D
IXQF LHLGHUHJUHVLH
[
WLLQGF  [
L

LW

LW

= S

= ;

;
+T
L

UH]XOW F  S
L
L

=  L T
L

=  

5HYHQLQGODUHOD LD  VHGHGXFHF 

E = E;
;

; 
T

 

DGLF  FRHILFLHQWXO JOREDO GH UHJUHVLH HVWH HJDO FX VXPD SURGXVHORU GLQWUH FRHILFLHQ LL SDU LDOL GH
UHJUHVLH DL FRQVXPXOXL vQ IXQF LH GH YHQLW SH JUXSH RPRJHQH GH FRQVXPDWRUL L FRHILFLHQ LL GH
UHJUHVLHDLDFHVWRUYHQLWXULvQIXQF LHGHYHQLWXULOHSRSXOD LHL

5H]XOWDWHOHRE LQXWHPDLVXVVHSRWJHQHUDOL]DXRUHOHU PkQkQGYDODELOHvQRULFHVLWXD LHvQ


FDUH VH GLVFXW  UDSRUWXO GLQWUH XQ PRGHO SDU LDO L PRGHOXO JOREDO DO XQHL YDULDELOH UH]XOWDWLYH \ vQ
IXQF LH GH XQD VDX PDL PXOWH YDULDELOH IDFWRULDOH [ vQWUH FDUH H[LVW  R UHOD LH GH GHSHQGHQ

 OLQLDU 

Q FD]XO GHSHQGHQ HORU QHOLQLDUH GXS  OLQLDUL]DUHD DFHVWRUD IRUPXOHOH GH PDL VXV YRU F S WD
SDUWLFXODULW

LVSHFLILFH

QILQDOGLVFX LDUDSRUWXOXLPRGHOHSDU LDOHPRGHOHJOREDOHSHUPLWHIRUPXODUHDXUP WRDUHORU


FRQFOX]LL
 DJUHJDUHD PRGHOHORU SDU LDOH QX FRQGXFH OD RE LQHUHD PRGHOXOXL JOREDO DO YDULDELOHL
UHVSHFWLYH
PRGHOXOJOREDOUH]XOW FDRPHGLHDPRGHOHORUSDU LDOH
 vQ SODQ WUDQVYHUVDO UHVSHFWLY vQ SURILO WHULWRULDO GH H[HPSOX VDX FD H[SOLFD LH LVWRULF  D
GHSHQGHQ HL GLQWUH GRX  VDX PDL PXOWH IHQRPHQH HFRQRPLFH PRGHOXO JOREDO VH SRDWH HVWLPD SH
ED]DPRGHOHORUSDU < LDOHGDF VHDFFHSW FDVHPQLILFDWLY YDORDUHDFRHILFLHQWXOXLJOREDOGHUHJUHVLH

YH]LUHOD LD  

 vQ VFRSXUL GH SURJQR]  PRGHOXO JOREDO QX FRQGXFH OD UH]XOWDWH VHPQLILFDWLYH GHFkW GDF 
FRHILFLHQWXOJOREDOGHUHJUHVLHU PkQHVWDELO
'LQUHOD LD  VHGHGXFHF DFHDVW FRQGL LHVHUHDOL]HD] vQXUP WRDUHOHVLWXD LL


E= 

 E

(" )L

=  P  FRHILFLHQ LL SDU LDOL GH UHJUHVLH VXQW FRQVWDQ L L HJDOL FX FRHILFLHQWXO JOREDO

GHUHJHUHVLH


= FRQVWDQWvQRUL]RQWXOGHSURJQR] FHHDFHSUHVXSXQHRFUHWHUHSURSRU LRQDO vQWUHQLYHOXO

YDULDELOHL IDFWRULDOH SH DQVDPEOXO XQLW


JUXSHOHFROHFWLYLW

LORU VWDWLVWLFH L QLYHOXO DFHVWHL YDULDELOH FHQWUDOL]DWH SH

LL


0RGHOHVWDWLFHLPRGHOHGLQDPLFH
8QPRGHOHFRQRPHWULFVWDWLFHVWHDFHODvQFDUHGHSHQGHQ DYDULDELOHORUHQGRJHQH\ID

GH

YDORULOHYDULDELOHORUH[RJHQH[> VHUHDOL]HD] vQDFHHDLSHULRDG GHWLPS


\

I [ ?A@ [>A@ [BC@ X @  W =  Q  M =  N 

 

6SUH GHRVHELUH GH DFHVWHD PRGHOHOH HFRQRPHWULFH GLQDPLFH VH GHILQHVF SULQ XUP WRDUHOH
WLSXUL
D ,QWURGXFHUHDvQSDFKHWXOGHYDULDELOHH[SOLFDWLYH[> vQPRGH[SOLFLWDYDULDELOHLWLPS
\@ 

I [ ?A@ [D-@ W X @ 

 

8QDVWIHOGHPRGHOVHMXVWLILF DWXQFLFkQG
 SULQWUH IDFWRULL LPSRUWDQ L GH LQIOXHQ
F URU LQIOXHQ

 DL YDULDELOHL \ VH DIO  L IDFWRUL GH QDWXU  FDOLWDWLY  D

 QX SRDWH IL UHIOHFWDW  GH PRGHOXO HFRQRPHWULF GDWRULW  OLSVHL XQHL P VXUL VWDWLFH

DGHFYDWH GH H[HPSOX LQIOXHQ D SUHIHULQ HORU VDX JXVWXULORU SRSXOD LHL DVXSUD FRQVXPXOXL VDX
LQIOXHQ DSURJUHVXOXLWHKQLFvQIXQF LLOHGHSURGXF LH
 SRDWH IL DFFHSWDW  LSRWH]D XQXL HIHFW LQHU LDO vQ HYROX LD IHQRPHQXOXL \ LSRWH]  FDUH vQ
GRPHQLXO IHQRPHQHORU HFRQRPLFH SRDWH IL DFFHSWDW  GDWRULW  PDVHL VRFLDOH FDUH OH JHQHUHD]  L GH
FDUHEHQHILFLD] 
E  PRGHOH DXWRUHJUHVLYH  FkQG vQ SDFKHWXO GH YDULDELOH H[SOLFDWLYH [>  VH LQWURGXFH L
YDULDELODH[SOLFDW \GDUFXYDORULGHFDODWH\ @ E? \ @ E D \ @ E B UHSUH]HQWkQGXQPRGHODXWRUHJUHVLYGH
RUGLQXON
\@ 

I [ @ \ @ E B X @ 

 

F  PRGHO FX GHFDODM vQ FDUH YDULDELOD IDFWRULDO  [ vL H[HUFLW  LQIOXHQ D DVXSUD YDULD LHL
YDULDELOHL\SHPDLPXOWHSHULRDGHGHWLPS
\


XQGHN

I [ @ [ @ E? [ @ E F X @ 

W =  Q  M =  N  N < W 

 

OXQJLPHDSHULRDGHLGHGHFDODM ODJ 

([HPSOH

G

 &RHILFLHQWXO JOREDO GH UHJUHVLH ILLQG PHGLD DULWPHWLF  SRQGHUDW  D FRHILFLHQ LORU SDU LDOL E H  UHOD LD  VHSXQH

SUREOHPDUHSUH]HQWDWLYLW

LLDFHVWXLD

.@ 

I , @ , @ E? , @ E B X @ 

 

XQGH
.@ 
,@ 

IRQGXULOHIL[HSXVHvQIXQF LXQHvQSHULRDGDW
LQYHVWL LLOHHIHFWXDWHvQSHULRDGDWNW

4I 

I , @ , @ E? , @ E B X @

 

XQGH
4@ 
,@ 

SURGXF LDPHGLHODKD
FDQWLWDWHDGHvQJU PLQWHODKD

$FHVWH WLSXUL GH PRGHOH D  E  F  VH XWLOL]HD]  vQ VSHFLDO OD SURJQR]D IHQRPHQHORU
HFRQRPLFH'DF SULPHOHPRGHOHWLSXO DE QXULGLF GLILFXOW

LSULYLQGLGHQWLILFDUHDHVWLPDUHD

L YHULILFDUHD DFHVWRUD HOH ILLQG GH JHQXO PRGHOHORU HFRQRPHWULFH PXOWLIDFWRULDOH PRGHOHOH
GLQDPLFHFXGHFDODMSUH]LQW FkWHYDGLILFXOW

L

3ULPDVHUHIHU ODP ULPHDGHFDODMXOXLNFXFkWDFHVWDHVWHPDLPDUHFXDWkWVHSLHUGPDL


PXOWH YDORUL DOH YDULDELOHORU QHDMXQV FH LPSXQH FRQVWUXLUHD XQHL VHULL OXQJL GH GDWH D IHQRPHQHORU
DQDOL]DWHSHFkQGvQHFRQRPLHVHOXFUHD] GHRELFHLFXHDQWLRDQHGHYROXPPLF
$ GRXD GLILFXOWDWH R UHSUH]LQW  H[LVWHQ D IHQRPHQXOXL GH PXOWLFROLQHDULWDWH vQWUH YDORULOH
GHFDODWH DOH YDULDELOHL H[RJHQH 

FRY ([

[

W -N

FRQGXFHODRE LQHUHDGHHVWLPDWRULQHVHPQLILFDWLYL

 " W =  Q  N < W  PXOWLFROLQHDULWDWH FDUH

EL

<  

K
V J


0RGHOHFXRVLQJXU

HFXD LHLPRGHOHFXHFXD LLPXOWLSOH

$O WXUL GH DFHVWH WLSXUL GH PRGHOH HFRQRPHWULFH VH PDL SRW FRQVWUXL L PRGHOH FX R VLQJXU

HFXD LHLPRGHOHFXHFXD LLPXOWLSOH


'LQFDWHJRULDPRGHOHORUFXVLQJXU

HFXD LHIDFSDUWHWRDWHPRGHOHOHSUH]HQWDWHPDLVXV

0RGHOHOH HFRQRPHWULFH FX HFXD LL PXOWLSOH VXQW IRUPDWH GLQWUXQ VLVWHP GH HFXD LL $FHVWHD
VHSRWSUH]HQWDVXEGRX IRUPHVXEIRUP
8Q PRGHO HFRQRPHWULF VXE IRUP

VWUXFWXUDO
 VWUXFWXUDO

LVXEIRUP

UHGXV

VDXFDQRQLF



 UHSUH]LQW  WUDQVSXQHUHD IRUPDO   SULQWUXQ

VLVWHPGHHFXD LLDSURFHVXOXLHFRQRPLF)RUPDJHQHUDO DDFHVWXLPRGHOHVWHXUP WRDUHD


< ? E ?MD <D
EDP? < ? <D

E ?MN <N


EDN <N

F ?? ; ? F ?MD ;D


FDP? ; ? FDD ;D

F ?MO ;O 
FDO ;O 

8 ? 
8D 

 


ENP? < ? END <D
XQGH


<N

FNP? ; ? FND ;D FNO ;O 

8N 

< = L

Q YDULDELOHH[SOLFDWHVDXHQGRJHQH

;> M

P YDULDELOHH[SOLFDWLYHVDXH[RJHQH

5H]ROYDUHD XQXL PRGHO HFRQRPHWULF SUHVXSXQH HVWLPDUHD SDUDPHWULORU E = >  L F = >  FX DMXWRUXO
XQHLDQXPLWHPHWRGHVWRFKDVWLFHGHHVWLPDUHDDFHVWRUD
'LQWUHPHWRGHOHIRORVLWHODHVWLPDUHDSDUDPHWULORUXQXLPRGHOHFRQRPHWULFPHQ LRQ P
PHWRGDFHORUPDLPLFLS WUDWH 0&003 vQWURVLQJXU WUHDSW  0:DOG 
0&003vQGRX WUHSWH +7KHLO 
0&003vQWUHLWUHSWH $=HOOQHU 
PHWRGDYHURVLPLOLW

LLPD[LPHFXLQIRUPD LHOLPLWDW  $QGHUVRQ5XELQ 

'HRDUHFHDSOLFDUHDXQHLPHWRGHGHHVWLPDUHDSDUDPHWULORUXQXLPRGHOVXEIRUP VWUXFWXUDO 
FRQGXFH OD RE LQHUHD GH HVWLPD LL GHSODVDWH DOH SDUDPHWULORU E = >  L F = >  PRGHOXO HFRQRPHWULF VXE
DFHDVW IRUP WUHEXLHWUDQVIRUPDWVXEIRUP UHGXV VDXFDQRQLF 
8Q PRGHO HFRQRPHWULF HVWH VXE IRUP  UHGXV  VDX FDQRQLF  GDF  ILHFDUH YDULDELO  HQGRJHQ 
HVWHH[SULPDW QXPDLvQIXQF LHGHYDULDELOHOHH[RJHQH




0RGHOHHXULVWLFHVDXUD LRQDOHLPRGHOHGHFL]LRQDOHVDXRSHUD LRQDOH


7LSRORJLD PRGHOHORU HFRQRPHWULFH HVWH IRDUWH YDVW  WRWXL DFHVWHD SRW IL vPS U LWH vQ GRX 
PDULJUXSHPRGHOHHXULVWLFHVDXUD LRQDOHLPRGHOHGHFL]LRQDOHVDXRSHUD LRQDOH
0RGHOHOHHXULVWLFHVDXUD LRQDOHVXQWIRORVLWHvQVSHFLDOGHWHRULDHFRQRPLF SHQWUXDH[SOLFD
SH R FDOH PDL VLPSO  XQ VLVWHP FRPSOH[ GH GHSHQGHQ H L LQWHUGHSHQGHQ H FH VH PDQLIHVW  vQ
GRPHQLXO HFRQRPLF 0RGHOXO WHRUHWLF UHSUH]LQW  GH IDSW R IRUP  VLPSOLILFDW  D PRGHOXOXL UHDO
GHRDUHFHvQFDGUXODFHVWXLDQXSRWILLQFOXLWR LIDFWRULL
0RGHOHOH GHFL]LRQDOH VDX RSHUD LRQDOH VH XWLOL]HD]  vQ VSHFLDO vQ SUDFWLFD HFRQRPLF  HOH
ILLQG IRORVLWH OD IXQGDPHQWDUHD XQRU GHFL]LL GH SROLWLF  HFRQRPLF  VLPXODUH  L OD SURJQR]D
IHQRPHQHORUHFRQRPLFH
(YLGHQWF GLIHUHQ DGLQWUHDFHVWHGRX PRGHOHQXHVWHDEVROXW DGLF XQPRGHOUD LRQDOVDX
WHRUHWLFSRDWHILXWLOL]DWFDXQPRGHORSHUD LRQDOGDF SRWILDFFHSWDWHDQXPLWHLSRWH]H
8Q H[HPSOX GH PRGHO HFRQRPHWULF FH SRDWH IL IRORVLW DWkW vQ VFRSXUL HXULVWLFH FkW L vQ
VFRSXULRSHUD LRQDOHvOUHSUH]LQW PRGHOXOHFRQRPHWULFXWLOL]DWODGHVFULHUHDSUH XOXLGHHFKLOLEUX
3HED]DWHRULHLHFRQRPLFHDGHILQLULLXQHLSLH HOLEHUHLDFRQFHSWXOXLGHKRPRHFRQRPLFXV
ILLQ

 UD LRQDO  FRPSRUWDPHQWH ORJLFH  PRGHOXO XWLOL]DW OD GHVFULHUHD IRUP ULL SUH XOXL GH HFKLOLEUX

HVWH
3

I & X

 

3

I 2 ]

 

2

 

QVLWXD LDSUH XOXLGHHFKLOLEUX&

3HFDOHORJLF VHGHGXFHF UHOD LDGLQWUHSUH LFHUHUHHVWHGHIRUP LQYHUV LF RDVWIHOGH


UHOD LHSRDWHILGHVFULV FXDMXWRUXOXQHLIXQF LLPRQRWRQGHVFUHVF WRDUHOLQLDU VDXSXWHUH
)XQF LHOLQLDU 3
)XQF LHSXWHUH3

DE&E
Q

D&

OQDEOQ&

 OQ3

 

 

QPRGDQDORJVHSRDWHGHGXFHF OHJHDRIHUWHLSRDWHILGHVFULV FXDMXWRUXODFHORUDLIXQF LL


)XQF LHOLQLDU 3
)XQF LHSXWHUH3

ab2 
R

a2

!OQ2

 

OQabOQ2 

 

$FHDVWDvQVHDPQ F OHJHDRIHUWHLLDFHUHULLSRDWHILGHVFULV ILHFXDMXWRUXOXQHLGUHSWHILH


SHED]DXQHLVF ULORJDULWPLFH



3

OQ3










&2



OQ&OQ2



)LJXUD'UHDSW )LJXUD6FDU ORJDULWPLF 


(VWH FXQRVFXW IDSWXO F  H[SOLFDUHD IRUP ULL SUH XOXL GH HFKLOLEUX VH IDFH SH ED]D XQXL JUDILF
GHIRUPD



&U

3








2S

&S
(U

3U

2U

(S
T

3S T
3V






2S

&S

2U

)LJXUD

&U

2V

&V

T
&2

,QWHUSUHWkQG PRGLILFDUHD SUH XOXL GH HFKLOLEUX GHVFULV FX DMXWRUXO XQHL IXQF LL OLQLDUH SXWHP
FRQVWDWD F  vQ FD]XO vQ FDUH FHUHUHD VH PRGLILF  FUHWH  LDU RIHUWD U PkQH FRQVWDQW  DFHDVW 
PRGLILFDUH SUHVXSXQH ILH R GHSODVDUH SDUDOHO  FX SULPD GUHDSW  ILH GUHDSWD SLYRWHD]  GLQ SXQFWXO
GHLQWHUVHF LHFXD[D2\
QSULPXOFD]3
GUHSWHLGLVWDQ DID

DE&3

D ?

E&  LDUvQDOGRLOHDFD]VHPRGLILF SDQWD

GHRULJLQHU PkQkQGFRQVWDQW 3

DE ? &  

Q SUDFWLF  FHOH GRX  VLWXD LL DSDU FkQG DX ORF FRPSHQV UL  SULPXO FD]  UHVSHFWLY FkQG DX
ORFLQGH[ ULDOGRLOHDFD]
Q PRG DQDORJ VH SURFHGHD]  L vQ FD]XO PRGLILF ULL RIHUWHL VDX D PRGLILF ULL VLPXOWDQH D
FHUHULLLRIHUWHL
Q SOXV GHVFULHUHD OHJLL FHUHULL FX DMXWRUXO XQHL IXQF LL PDWHPDWLFH SHUPLWH GHILQLUHD
ULJXURDV DXQRUFRQFHSWHHFRQRPLFHFXPDUILFRHILFLHQWXOPDUJLQDOLFRHILFLHQWXOGHHODVWLFLWDWH
$VWIHOvQFD]XOXQHLGUHSWHFRHILFLHQWXOPDUJLQDOHVWHGHIRUPD

FP =

3
&

= E FP = F W 

 

LDUFRHILFLHQWXOGHHODVWLFLWDWHHVWHGHIRUPD
FH =

3
3

&
&

E&
D +E &

3 - D

= -

D+E&

D
D+E&

FH

[ ]

 

vQDFHVWFD]H[LVWkQGRHODVWLFLWDWHULJLG 
Q JHQHUDO WHRULD HFRQRPLF  XWLOL]HD]  FX SUHGLOHF LH IXQF LD SXWHUH SHQWUX D H[SOLFD
IRUPDUHDSUH XOXLGHHFKLOLEUXUHIHULWRUODOHJHDFHUHULL
Q
3

D&

OQ3

OQDEOQ&

$FHDVW  IXQF LH SUH]LQW  SURSULHWDWHD F  SDQWD GUHSWHL UHVSHFWLY FRHILFLHQWXO PDUJLQDO HVWH
HJDO FX FRHILFLHQWXO GH HODVWLFLWDWH F P = F H =

OQ

OQ

3
&

= E    UH]XOWkQG FRHILFLHQWXO GH

HODVWLFLWDWH D SUH XOXL vQ IXQF LH GH FHUHUH DWXQFL


FkQG OHJHD FHUHULL SRDWH IL GHVFULV  FX DMXWRUXO
X QZY
N\[
  
IXQF LHLSXWHUHVDXDFHOHLH[SRQHQ LDOH3 HW
$FHVW PRGHO UD LRQDO VDX HXULVWLF SRDWH IL XWLOL]DW FD PRGHO RSHUD LRQDO UHVSHFWLY vQ YHGHUHD
FDOFXO ULLSUH XOXLGHHFKLOLEUXGDF SRWILDFFHSWDWHFkWHYDLSRWH]HFXPDUIL
VHFXQRDWHQXP UXOFXPS U WRULORULFHODOYkQ] WRULORU
  VH FXQRVF RS LXQLOH IHUPH DOH DFHVWRUD SULYLQG FDQWLWDWHD FHUXW  VDX RIHULW  VSUH YkQ]DUH
SUHFXPLSUH XOGHFXPS UDUHLGHYkQ]DUHUHVSHFWLYSUHIHULQ HOHFXPS U WRULORULYkQ] WRULORUDX
XQFDUDFWHUFHUWLQXDOHDWRU
$FHVWH LSRWH]H VH YHULILF  vQ JHQHUDO SH SLD D EXUVLHU  XQGH GH UHJXO  SUH XO GH HFKLOLEUX DO
XQHLDF LXQLVDXSURGXV PDUI VHFDOFXOHD] FXDMXWRUXOPRGHOXOXLHFRQRPHWULFXUP WRU
V DGPLWHPF SHQWUX]LXD+VHFXQRVFXUP WRDUHOHGDWHUHIHULWRDUHODSUH XOGHFXPS UDUHL
YROXPXOFHUHULLGHDF LXQLSUHFXPLSUH XOGHYkQ]DUHLYROXPXORIHUWHLDFHVWRUD



7DEHO
2IHUWD



























EXF 
3UH 
OHLEXF 

7DEHO
&HUHUH

























EXF 
3UH 
OHLEXF 




'HVFULHUHDHFRQRPHWULF DIRUP ULLSUH XOXLGHHFKLOLEUXVHUHDOL]HD] FXDMXWRUXOPRGHOXOXL


3

I & X

3

I 2 ]

&

2

3HQWUX LGHQWLILFDUHD OHJLL FHUHULL L D RIHUWHL YRU WUHEXL FRQVWUXLWH VHULLOH VWDWLVWLFH L VH YD
HIHFWXDUHSUH]HQWDUHDJUDILF DDFHVWRUD
&RQVWUXLUHDVHULLORUVWDWLVWLFHVHIDFHSHED]DXUP WRUXOXLUD LRQDPHQW
GDF XQFXPS U WRUDFKL]L LRQHD] RFDQWLWDWHGHDF LXQLODXQDQXPLWSUH HOYDFXPS UDFX
DWkWPDLPXOWFXFkWSUH XOYDILPDLPLF
 GDF  XQ RIHUWDQW vL YLQGH DF LXQLOH OD XQ DQXPLW SUH  HO OH YD YLQGH FX DWkW PDL PXOW FX FkW
SUH XOYDILPDLPDUH
5H]XOW  DVWIHO XUP WRDUHOH VHULL VWDWLVWLFH FRQVWUXLWH vQ XUPD RUGRQ ULL SUH XULORU DQXQ DWH GH
FXPS U WRULLRIHUWDQ L

7DEHO

&

2IHUWD

3UH XO

&HUHUHD

EXF 

OHLEXF 

EXF 























































2





]_^Z` a bdc



]_^Z` a efc



gAh iCjkPl-a ]m^


` a efc c



gAh iCjkPl-a ]m^


` a bnc c








)LJXUD)RUPDUHDSUH XOXLGHHFKLOLEUX
Q XUPD UHSUH]HQW ULL JUDILFH VH REVHUY  F  OHJLOH FHUHULL L DOH RIHUWHL SRW IL DSUR[LPDWH FX
GRX IXQF LLOLQLDUHGHIRUPD
/HJHDFHUHULL3

DE&]

 

/HJHDRIHUWHL3

ab2X

 

Q YHGHUHD HVWLP ULL SDUDPHWULORU D E a b  VHDSOLF PHWRGDFHORUPDLPLFLS WUDWHILHF UXL

b 
 E a
PRGHOvQSDUWHUH]XOWkQGDVWIHOHVWLPDWRULLSDUDPHWULORU D

9ROXPXOGHHFKLOLEUXVHFDOFXOHD] DVWIHO

2 = & D + E & = a + b 2 2 = & =

a-D
E -b

 

LDUSUH XOGHHFKLOLEUXYDIL

3 =

D + E

a -D
E -b

a E - D b
E -b



 

8Q DVWIHO GHPRGHORSHUD LRQDOVHIRORVHWHODHVWLPDUHDFXUVXOXLYDOXWDU IL[LQJXOEDQFDU L

ODHVWLPDUHDSUH XULORUDF LXQLORUSHSLH HOHGHFDSLWDO




'H DVHPHQHD DFHVWD SRDWH IL DGDSWDW L OD DQDOL]D FHUHULL L RIHUWHL RULF UXL EXQ VDX VHUYLFLX

GHFRQVXPGDF LSRWH]HOHPHQ LRQDWHPDLVXVSRWILDFFHSWDWH





%,%/,2*5$),(


%DURQ7%LML(LFROHFWLY6WDWLVWLF

WHRUHWLF

LHFRQRPLF

(GLWXUD'LGDFWLF L3HGDJRJLF 

%XFXUHWL
%DOWDJL%(FRQRPHWULFV6SULQJHU%HUOLQ
*LUDXG5&KDL[1eFRQRPpWULH38)3DULV
*UHHQH+:(FRQRPHWULF$QDO\VLV0DFPLOODQ3XEOLVKLQJ&RPSDQ\1HZ<RUN
p

*XMDUDWL51%DVLF(FRQRPHWULFV
p o
-RKQVWRQ-(FRQRPHWULF0HWKRGVo

HG0F*UDZ+LOO1HZ<RUN

HG0F*UDZ+LOO1HZ<RUN

/DEURXVVH&,QWURGXFWLRQDOpFRQRPpWULH'XQRG3DULV
p
0DGGDOD*6,QWURGXFWLRQWR(FRQRPHWULFVo

HG0F0LOODQ&R1HZ<RUN

3HFLFDQ(7 Q VRLX2(FRQRPHWULHOLWR$6(%XFXUHWL
 3LQG\FN 5 6 5XELQIHOG ' 6  (FRQRPHWULF 0RGHOV DQG (FRQRPLF )RUHFDVWV q

 HG 0F

*UDZ+LOO1HZ<RUN
 7 Q VRLX 2  'HVFULHUHD VWDWLVWLF

 D IRUP

ULL SUH XOXL GH HFKLOLEUX vQ HFRQRPLD GH SLD

5HYLVWD5RPkQ GH6WDWLVWLF QUSDJ



Das könnte Ihnen auch gefallen