Decision-making model of loan's portfolio optimization based on constraint of the yield of VAR

Taking the loan's yields as the profit of financial asset, taking the volatility of loan's yields as reflection of loan's risk, under the constraint of Value at Risk (VaR), Based on the solution of quadric programming, a decision-making model of loan-risk portfolio optimization is set up with the minimum risk within the feasible range of definite portfolio yield. There are three characteristics of the model: Using yield rate of maximum loss but yield amount reflects VaR, so it become convenient to the decision-making analysis. Taking risk correlation into account, controls risk limitation with the maximum loss on yield rate of VaR, so the ability for risk tolerance of commercial bank is reflected by loan's distribution or allocation. If gives the objective in the feasible range, and gives the yield ratio as decision-maker expected, the loan's portfolio to the minimum risk always can be found. The efficient boundary which was given by this model provides a scientific-method for the decision-making of the loan's portfolio.