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

共 50 条

[31] The Recoverable Robust Two-Level Network Design Problem
Alvarez-Miranda, Eduardo
Ljubic, Ivana
Raghavan, S.
Toth, Paolo
INFORMS JOURNAL ON COMPUTING, 2015, 27 (01) : 1 - 19
[32] The two-level diameter constrained spanning tree problem
Luis Gouveia
Markus Leitner
Ivana Ljubić
Mathematical Programming, 2015, 150 : 49 - 78
[33] New classes of analytic solutions of the two-level problem
Ishkhanyan, AM
JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, 2000, 33 (31): : 5539 - 5546
[34] Toward a Two-Level PSO for FJS']JS Problem
Zarrouk, Rim
Bennour, Imed Eddine
Jemai, Abderrazak
2019 IEEE 17TH WORLD SYMPOSIUM ON APPLIED MACHINE INTELLIGENCE AND INFORMATICS (SAMI 2019), 2019, : 75 - 81
[35] On the problem of optimal stack control in two-level memory
Sokolov, AV
PROBABILISTIC METHODS IN DISCRETE MATHEMATICS, 1997, : 349 - 351
[36] Approximate optimization of a two-level distribution inventory system
Axsäter, S
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2003, 81-2 : 545 - 553
[37] A Two-Level Genetic Algorithm for Large Optimization Problems
Pereira, Fabio H.
Alves, Wonder A. L.
Koleff, Lucas
Nabeta, Silvio I.
IEEE TRANSACTIONS ON MAGNETICS, 2014, 50 (02) : 733 - 736
[38] A two-level distributed algorithm for nonconvex constrained optimization
Sun, Kaizhao
Sun, X. Andy
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS, 2023, 84 (02) : 609 - 649
[39] Optimization of PWM for the Overmodulation Region of Two-Level Inverters
Stumpf, Peter
Halasz, Sandor
IEEE TRANSACTIONS ON INDUSTRY APPLICATIONS, 2018, 54 (04) : 3393 - 3404
[40] Shortcuts to adiabaticity in two-level systems: control and optimization
Ruschhaupt, A.
Muga, J. G.
JOURNAL OF MODERN OPTICS, 2014, 61 (10) : 828 - 832

← 1 2 3 4 5 →