Optimization model of loan portfolio with fuzzy random return rates

Author

Pan, Dongjing

Author_Institution

Dept. of Comput. Sci. & Technol., Dezhou Univ., Dezhou, China

Volume

2

fYear

2009

fDate

20-22 Nov. 2009

Firstpage

340

Lastpage

343

Abstract

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.

Keywords

finance; fuzzy set theory; optimisation; dependent-chance programming model; fuzzy random return rates; fuzzy random variables; hybrid intelligent algorithm; loan portfolio optimization problems; Algorithm design and analysis; Asset management; Computer science; Electronic mail; Extraterrestrial measurements; Mathematical model; Mathematical programming; Portfolios; Random variables; Reactive power; chance measure; dependent-chance programming model; fuzzy random; loan portfolio;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Computing and Intelligent Systems, 2009. ICIS 2009. IEEE International Conference on

Conference_Location

Shanghai

Print_ISBN

978-1-4244-4754-1

Electronic_ISBN

978-1-4244-4738-1

Type

conf

DOI

10.1109/ICICISYS.2009.5358376

Filename

5358376