Optimization Model of Loan Portfolio with Fuzzy Random Return Rates
The purpose of loan portfolio is to obtain the maximal return rate. In many situations, the return rates of loan portfolio are assumed as fuzzy random variables, in such a case, how to decide the proportion of loan is an important problem. In this paper, a dependent-chance programming model of loan portfolio optimization problems is proposed, where loan return rates are described as fuzzy random variables. The goal of the model is to obtain the maximal chance measure that the total return rate is no less than the preset value at a given confidence level. A hybrid intelligent algorithm is designed to solve the model. At last, a numerical example is given to illustrate the feasibility of the presented model.
loan portfolio fuzzy random chance measure dependent-chance programming model
Dongjing Pan
Department of Computer Science and Technology Dezhou University Dezhou Shandong 253023,China
国际会议
上海
英文
1243-1246
2009-11-20（万方平台首次上网日期，不代表论文的发表时间）