Optimization model of incremental loan portfolio based on risks accumulation between new and old portfolio

被引：0
|
作者：
Chi, Guo-Tai [1 ]
Chi, Feng [2 ]
Zhao, Guang-Jun [1 ]
机构：
[1] School of Manage, Dalian University of Technology, Dalian 116024, China
[2] Joseph L. Rotman School of Management, University of Toronto, Toronto, Ontario, M5S 3E6, Canada
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2009年 / 29卷 / 04期
关键词：
Decision making;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：1 / 18
相关论文
共 50 条
  • [31] Simultaneous Optimization of Interest Rate and Portfolio for Diversified Investment using Loan
    Tagawa K.
    Orito Y.
    IEEJ Transactions on Electronics, Information and Systems, 2020, 140 (11) : 1257 - 1263
  • [32] Optimized loan's portfolio model of multi-objectives based on the VaR restraint
    Hong, Zhong-Chen
    Chi, Guo-Tai
    Wang, Ji-Ke
    Harbin Gongye Daxue Xuebao/Journal of Harbin Institute of Technology, 2008, 40 (10): : 1661 - 1665
  • [33] Portfolio Optimization Model and Solution Method
    Yong, Longquan
    2011 3RD WORLD CONGRESS IN APPLIED COMPUTING, COMPUTER SCIENCE, AND COMPUTER ENGINEERING (ACC 2011), VOL 1, 2011, 1 : 362 - 368
  • [34] Grey Model of the Investment Portfolio Optimization
    LI QunDept. of Applied Math.
    JournalofSystemsScienceandSystemsEngineering, 2002, (02) : 143 - 149
  • [35] Portfolio optimization model with transaction costs
    Chen S.-P.
    Li C.
    Li S.-H.
    Wu X.-W.
    Acta Mathematicae Applicatae Sinica, 2002, 18 (2) : 231 - 248
  • [36] Fitness Landscape Analysis of Prospect Theory-Based Portfolio Optimization Problem Using Loan
    Tagawa, Kiyoharu
    Orito, Yukiko
    2023 62ND ANNUAL CONFERENCE OF THE SOCIETY OF INSTRUMENT AND CONTROL ENGINEERS, SICE, 2023, : 878 - 883
  • [37] Prospect theory-based formulation of chance constrained portfolio optimization problem using loan
    Tagawa, Kiyoharu
    Orito, Yukiko
    SICE JOURNAL OF CONTROL MEASUREMENT AND SYSTEM INTEGRATION, 2024, 17 (01) : 176 - 193
  • [38] A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
    Mittal, Garima
    Mehlawat, Mukesh Kumar
    OPTIMIZATION, 2014, 63 (10) : 1595 - 1613
  • [39] Portfolio optimization model with uncertain returns based on prospect theory
    Yufeng Li
    Bing Zhou
    Yingxue Tan
    Complex & Intelligent Systems, 2022, 8 : 4529 - 4542
  • [40] A Novel Portfolio Optimization Model Based on Pattern Recognition Algorithms
    Tan, Gongbo
    Wang, Yan
    Xiong, Jun
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON INNOVATIONS IN ECONOMIC MANAGEMENT AND SOCIAL SCIENCE (IEMSS 2017), 2017, 29 : 711 - 717
12345