摘要
带有存量的贷款组合优化决策模型是在模型中考虑存量贷款和增量贷款的关系,控制了银行全部贷款的组合风险。鉴于提出的模型是一个非线性的0-1分式整数规划问题,给出了一种混合改进贪婪变换的遗传算法,数值结果表明该算是有效的,可以求解中大规模问题,同时也说明所提出的模型是合理的。
A decision portfolio optimization model with accumulate loan is to consider the relationship between the accumulate loans and incremental loans, which controls all risk for the commercial bank＇s loans portfolio. Since this model that is a non-linear 0 - 1 fractional integer programming question, a hybrid genetic algorithm combined with adaptive greedy transformation is presented for solving commercial bank＇s loans portfolio decision-making prob- lem. It is shown with the numerical result that this algorithm is effective. The algorithm can solve the middle or large-scale question and the given model is reasonable.
出处
《黑龙江大学自然科学学报》
CAS
北大核心
2009年第5期637-642,共6页
Journal of Natural Science of Heilongjiang University
基金
国家社会科学基金资助项目(07XJY038)
国家教育部社科规划资助项目(06JA630056)
宁夏自然科学基金资助项目(2008.1-2009.12)
北方民族大学科研资助项目(2008.9-2010.9)
关键词
贷款组合优化
存量贷款
非线性0-1分式整数规划
智能算法
混合遗传算法
改进的贪婪变换
loans portfolio optimization
accumulate loan
non-linear 0 - 1 fractional integer programming
intelligent algorithm
hybrid genetic algorithm
adaptive greedy transformation
