| 带有存量的贷款组合优化决策模型及智能算法研究 |
| |
| 引用本文： | 孙滢,高岳林.带有存量的贷款组合优化决策模型及智能算法研究[J].黑龙江大学自然科学学报,2009,26(5). |
| |
| 作者姓名： | 孙滢 高岳林 |
| |
| 作者单位： | 北方民族大学信息与系统科学研究所,银川,750021 |
| |
| 基金项目： | 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) |
| |
| 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。
|
| 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 |
A decision portfolio optimization model with accumulate loan and intelligent algorithm research |
| |
| SUN Ying,GAO Yue-lin.A decision portfolio optimization model with accumulate loan and intelligent algorithm research[J].Journal of Natural Science of Heilongjiang University,2009,26(5). |
| |
| Authors: | SUN Ying GAO Yue-lin |
| |
| Institution: | Institute of Information and System Science;Northern National University;Yinchuan 750021;China |
| |
| Abstract: | 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 problem.It is shown with the numerical result that this algorithm is effe... |
| |
| Keywords: | loans portfolio optimization accumulate loan non-linear 0-1 fractional integer programming intelligent algorithm hybrid genetic algorithm adaptive greedy transformation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
