Optimization strategies in credit portfolio management |
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| Authors: | Benjamin Ivorra Bijan Mohammadi Angel Manuel Ramos |
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| Institution: | 1. Departamento de Matemática Aplicada, Universidad Complutense de Madrid, Plaza de Ciencias no 3, Madrid, 28040, Spain
2. Mathematics and Modelling Institute, Montpellier University, Montpellier, 34095, France
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| Abstract: | This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance. |
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