Research on Decision-making Model of Commercial Bank Loans Portfolio Utility Maximization

摘要：

This paper establishes an optimization model of commercial bank loans portfolio, with the objective of commercial bank loans portfolio utility maximization and the restriction of VaR(value at risk). This model has two main features: First, the objective function considers the yield of risk-free assets and credit risk assets , which is closer to the actual condition of commercial bank asset allocation and has more practical applications; Second, the objective function of utility maximization reflects the benefits, risks and coefficient of banks risk preference, which makes up for the drawback of failing to achieve utility maximization of loans portfolio, due to over avoiding default risk and emphasizing on return in traditional loan management.

关键词： Keyword:loans portfolio portfolio optimization utility maximization free assets.

作者: ZHANG Na XIA Ting LIU Yanping

作者单位: Faculty of Management and Economics, Dalian University of Technology Dalian, China, 116024 Faculty of Management and Economics, Dalian University of Technology Dalian,China, 116024 Faculty of Management and Economics, Dalian University of Technology Dalian, China, 116024

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 49-53

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）