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2013 | OriginalPaper | Buchkapitel

68. Optimization Model of Loan’s Portfolio Based on Geometric Spectral Measure

verfasst von : Chong Duan, Xiu-min Jia

Erschienen in: The 19th International Conference on Industrial Engineering and Engineering Management

Verlag: Springer Berlin Heidelberg

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Abstract

The loan’s portfolio is a hot issue in bank’s risk management. This paper puts forward an optimization model of loan’s portfolio by using geometric spectral measure of risk to control extreme losses of portfolio. These innovations are as follows: firstly, the greater weight is distributed to greater extreme losses by the risk aversion function, which controls the risk of extreme losses. The risk aversion function fits investors’ risk aversion characters. Secondly, an objective weight is given to extreme losses which avoids personal choices. Thirdly, the probability of disaster’s risk occurrence is reduced while taking the geometric spectral measure minimum as an object function.

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Titel: Optimization Model of Loan’s Portfolio Based on Geometric Spectral Measure
verfasst von: Chong Duan
Xiu-min Jia
Verlag: Springer Berlin Heidelberg
Buch: The 19th International Conference on Industrial Engineering and Engineering Management
Print ISBN: 978-3-642-37269-8

Electronic ISBN: 978-3-642-37270-4

Copyright-Jahr: 2013
DOI: https://doi.org/10.1007/978-3-642-37270-4_68