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| 1 | 基于VaR和集中度约束的贷款组合优化模型显示文摘资产负债管理是把资产与负债组合视为有机整体,协调流动性、安全性和赢利性.本文通过资产的集中度约束把银行资产合理分配在不同行业中,有效降低银行资产集中度风险,通过能反映银行风险承受能力的VaR约束控制了贷款组合风险.应用实例的结果表明,本模型能够谋求'三性'的最佳配置,有效降低银行经营过程中的集中度风险和流动性风险,并实现银行经营效益的最大化,这对银行的贷款管理具有重要的现实意义. | 杨中原 许文 | 2011 | 经济数学2011，28，2： | 2 |
| 2 | A BRANCH-AND-CUT APPROACH TO PORTFOLIO SELECTION WITH MARGINAL RISK CONTROL IN A LINEAR CONIC PROGRAMMING FRAMEWORK显示文摘Marginal risk represents the risk contribution of an individual asset to the risk of the entire portfolio. In this paper,we investigate the portfolio selection problem with direct marginal risk control in a linear conic programming framework.'The optimization model involved is a nonconvex quadratically constrained quadratic programming(QCQP) problem.We first transform the QCQP problem into a linear conic programming problem,and then approximate the problem by semidefinite programming(SDP) relaxation problems over some subrectangles.In order to improve the lower bounds obtained from the SDP relaxation problems,linear and quadratic polar cuts are introduced for designing a branch-and-cut algorithm,that may yield an e-optimal global solution(with respect to feasibility and optimality) in a finite number of iterations.By exploring the special structure of the SDP relaxation problems,an adaptive branch-and-cut rule is employed to speed up the computation.The proposed algorithm is tested and compared with a known method in the literature for portfolio selection problems with hundreds of assets and tens of marginal risk control constraints. | Zhibin DENG Yanqin BAI Shu-Cherng FANG Ye TIAN Wenxun XING | 2013 | Journal of Systems Science and Systems Engineering2013，22，4： | 0 |
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