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2007 1

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genetic algorithm(GA) 1

loan portfolio 1

random simulation 1

safety-first criterion 1

simultaneousperturbation stochastic approximation(SPSA) 1

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The Model for Loan Portfolio With Safety-first Criterion

Tang Wansheng,Yan Weizhen,Ning Yufu

Strategic Study of CAE 2007, Volume 9, Issue 11, Pages 137-141

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