A decision-making model of loans portfolio optimization based on composite risk weight

摘要：

The paper establishes a decision-making model of the commercial banks loans portfolio optimization based on complex risk weight in view of the loan enterprises credit graduation situation and so on. This model is a non-linear 0-1 fractional integer programming question. It is more similar with the actual operation. In order to solve this model,we present a kind of hybrid genetic algorithm which is combined with greedy transformation. It is shown with the numerical result that this algorithm is effective and can solve the middle or large-scale question. Thus the algorithm can effectively solve commercial banks loans portfolio decision-making problem too.

关键词： Loans portfolio optimisation Risk weight Genetic algorithm Greedy algorithm

作者: Gao Yuelin Sun Ying

作者单位: Research Institute of Information and System Science,North National University,YinChuan,750021,China Research Institute of Information and System Science,North National University,YinChuan,750021,China

会议类型: 国际会议

会议名称: The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)

会议地点: 上海

会议语种:英文

页码: 514-518

在线出版日期: 2007-06-04（万方平台首次上网日期，不代表论文的发表时间）