Decision Making Model of Loan Optimization Based on Total Portfolio Income Maximum of Existing and Incremental Loans
Haowen Wu · Yunchou yu guanli · 2008
This paper makes use of 0-1 programming to build a loan decision-making optimal model on the objective of maximizing the total return of the existing portfolio and accumulative portfolio.The main characteristic of the model is firstly that it comprehensively reflects the direct influence of the existing portfolio's maximum return on the loan decision,so the consideration of the relationship between the existing portfolio and accumulative portfolio can really control the risk and the return of the total loans of the banks and changes the present research which only considers the existing loans,and it is a new thought for the financial assets optimization.Secondly,taking the constraint of VaR,it controls risk limitation with the maximum loss on yield rate of VaR,so the ability for risk tolerance of commercial bank is reflected by loans allocation directly.Thirdly,in the processes of loan selection,it makes use of upper and down bound control which may not only detract investment risk and control proper risk by commercial bank,but also may make the best use of loan's cash.