The Research of a Double Objective Model of Loans Portfolio Optimization Based on PSO

Author

Sun Ying ; Gao Yuelin

Author_Institution

Inst. of Inf. & Syst. Sci., North Nat. Univ., Yin Chuan, China

fYear

2009

fDate

11-13 Dec. 2009

Firstpage

1

Lastpage

5

Abstract

The paper establishes a double objective decision-making model of the commercial bank´s loans portfolio optimization, its objective functions are income of loans portfolio and CVaR, meanwhile, considering the relationship between the accumulative and incremental loans. It full controls all risk for the commercial bank´s loans portfolio. In order to solve this model that is a doubleobjective 0-1 programming question, we present an adaptive particle swarm optimization (APSO) algorithm. It is shown with the numerical result that this algorithm is effective for solving commercial bank´s loans portfolio decision-making problem. The algorithm can solve the middle or large-scale question and the given model is reasonable.

Keywords

banking; decision making; particle swarm optimisation; accumulative loans; adaptive particle swarm optimization algorithm; commercial bank loans portfolio optimization; double objective decision-making model; doubleobjective 0-1 programming question; incremental loans; Computational modeling; Decision making; Investments; Large-scale systems; Loss measurement; Particle swarm optimization; Portfolios; Reactive power; Stability; Sun;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence and Software Engineering, 2009. CiSE 2009. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4507-3

Electronic_ISBN

978-1-4244-4507-3

Type

conf

DOI

10.1109/CISE.2009.5363690

Filename

5363690