| 基于线性矩阵不等式的贷款组合鲁棒优化模型 |
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| 引用本文： | 高莹,黄小原,李意鸥.基于线性矩阵不等式的贷款组合鲁棒优化模型[J].东北大学学报(自然科学版),2007,28(1):137-140. |
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| 作者姓名： | 高莹 黄小原 李意鸥 |
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| 作者单位： | 1. 东北大学,工商管理学院,辽宁,沈阳,110004
2. 浙江大学,竺可桢学院,浙江,杭州,310058 |
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| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研项目 |
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| 摘 要： | 运用线性矩阵不等式方法,研究了商业银行贷款组合选择的鲁棒优化问题.在Markowitz均值-方差理论基础上,建立了贷款组合鲁棒优化模型,并用多个期望收益向量和协方差矩阵描述未来贷款收益的不确定性,给出了线性矩阵不等式的求解方法.用数值仿真验证了模型的有效性.由于模型考虑了未来贷款收益的不确定性,得到了可靠性较高的结果.研究结果表明,该模型具有鲁棒性,可以有效降低贷款风险,并可为商业银行提供贷款决策依据.
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| 关 键 词： | 鲁棒优化 贷款组合 线性矩阵不等式 不确定性 收益 |
| 文章编号： | 1005-3026（2007）01-0137-04 |
| 收稿时间： | 2006-01-12 |
| 修稿时间： | 2006-01-12 |
LMI-Based Robust Optimization Model of Loan Portfolio |
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| GAO Ying,HUANG Xiao-yuan,LI Yi-ou.LMI-Based Robust Optimization Model of Loan Portfolio[J].Journal of Northeastern University(Natural Science),2007,28(1):137-140. |
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| Authors: | GAO Ying HUANG Xiao-yuan LI Yi-ou |
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| Institution: | 1. School of Business Administration, Northeastern University, Shenyang 110004, China; 2. Chukechen College, Zhejiang University, Hangzhou 310058, China |
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| Abstract: | Linear matrix inequality(LMI) is used to study the robust optimization for commercial banks' loan portfolio.Based on Markowitz theory of mean-variance,a robust optimization model is developed for loan portfolio,and the uncertainty of prospectful return on loans is described by several expected return vectors and covariance matrices,to give a LMI solution to the model.A numerical simulation proves the validity of the model.Because in the model the uncertainty of prospectful return on loans has been involved,the result is highly reliable and robust to reduce the credit risk.So,the model may provide a reference for commercial banks to make decision on loans. |
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| Keywords: | robust optimization loan portfolio LMI uncertainty return |
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