Multi-Objective Optimization to Management of Credit Risk Based on Genetic Algorithm
Credit risk management is of high importance to banks,financial companies and investors. Recently,many models are adopted to measure the credit risk. However,these models usually ignore the optimization of portfolio. A multi-objective model is developed,which captures not only the minimization of risk but the maximization of returns of portfolio in this paper. There are many ways to deal with multi- objective decision. But,Genetic algorithm (GA) is used as the approach to deal with these problems. Compared with the other method of Pareto optimal solution,the experimental example shows the efficiency of GA approach on multi-objective decisions,especially on two-objective decisions.
multi-objective decision genetic algorithm credit risk portfolio
Jing Han Jun Li
Management School,Wuyi University Jiangmen 529020,China
国际会议
The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)
上海
英文
543-547
2007-06-04（万方平台首次上网日期，不代表论文的发表时间）