| 信用资产组合优化的"条件在险值-补偿"型随机规划模型 |
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| 引用本文： | 范臻.信用资产组合优化的"条件在险值-补偿"型随机规划模型[J].应用数学与计算数学学报,2006,20(1):56-62. |
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| 作者姓名： | 范臻 |
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| 作者单位： | 中国建设银行上海分行电子银行部,上海,200120 |
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| 摘 要： | 本文对于信用资产组合的优化问题给出了一个稳健的模型，所建模型涉及了条件在险值（CVaR）风险度量以及具有补偿限制的随机线性规划框架，其思想是在CVaR与信用资产组合的重构费用之间进行权衡，并降低解对于随机参数的实现的敏感性．为求解相应的非线性规划，本文将基本模型转化为一系列的线性规划的求解问题．
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| 关 键 词： | 信用资产组合 优化 条件在险值 随机规划 稳健模型 |
| 收稿时间： | 2005-04-29 |
| 修稿时间： | 2005年4月29日 |
Stochastic Programming Model with CVaR-Recourse Criterion For Credit Portfolio Optimization |
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| Fan Zhen.Stochastic Programming Model with CVaR-Recourse Criterion For Credit Portfolio Optimization[J].Communication on Applied Mathematics and Computation,2006,20(1):56-62. |
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| Authors: | Fan Zhen |
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| Abstract: | This paper proposes a robust model for credit portfolio optimization.The model is based on the Conditional Value-at-Risk(CVaR)risk measure and Stochastic Linear Programming with restricted recourse.The idea is to consider the trade-off between CVaR and the restructure cost of the credit portfolio,and reduce the sensitivity of the solution to the realization of the random parameters.In order to find a satisfactory solution to the nonlinear programming,this paper transform the foundation model into the solution problem of the sequential linear programming. |
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| Keywords: | credit portfolio optimization CVaR stochastic programming Robust model |
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