2007, Volume 9, Issue 11
Strategic Study of CAE >> 2007, Volume 9, Issue 11
The Model for Loan Portfolio With Safety-first Criterion
1. Institute of Systems Engineering, Tianjin University, Tianjin 300072, China ;
2. Department of Computer Science, Dezhou University, Dezhou, Shandong 253023, China
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Abstract
This paper proposes the model for loan portfolio under probability criterion, and designs the hybrid optimization algorithm based on random simulation to solve the model. The algorithm can solve the models with the return rates with any probability distributions, and is not subject to the assumption that the return rates have normal distributions. The feasibility of the algorithm is verified by two examples.
Keywords
loan portfolio ; safety-first criterion ; random simulation ; genetic algorithm(GA) ; simultaneousperturbation stochastic approximation(SPSA)
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References
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