A TWO-LEVEL LOAN PORTFOLIO OPTIMIZATION PROBLEM

被引：0

作者：

Hu, JianQiang ^{[1
]}

Liu, Tie ^{[3
]}

Tong, Jun ^{[1
]}

Cao, Rongzeng ^{[3
]}

Yang, Bo ^{[2
]}

机构：

[1] Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China

[2] Ind Bank Co Ltd, Credit Review Dept, Shanghai, Peoples R China

[3] IBM Res Corp, Analyt & Opt Dept, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2010 WINTER SIMULATION CONFERENCE | 2010年

基金：

中国国家自然科学基金;

关键词：

D O I：

10.1109/WSC.2010.5678957

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper, we study a two-level loan portfolio optimization problem, a problem motivated by our work for some commercial banks in China. In this problem, there are two levels of decisions: at the higher level, the headquarter of the bank needs to decide how to allocate its overall capital among its branches based on its risk preference, and at the lower level, each branch of the bank needs to decide its loan portfolio based on its own risk preference and allocated capital budget. We formulate this problem as a two-level portfolio optimization problem and then propose a Monte Carlo based method to solve it. Numerical results are included to validate the method.

引用

页码：2614 / 2619

页数：6

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