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

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Chong Duan

    (Inner Mongolia University of Science and Technology)

  • Xiu-min Jia

    (Inner Mongolia University of Science and Technology)

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.

Suggested Citation

  • Chong Duan & Xiu-min Jia, 2013. "Optimization Model of Loan’s Portfolio Based on Geometric Spectral Measure," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 725-740, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-37270-4_68
    DOI: 10.1007/978-3-642-37270-4_68
    as

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