基于贷款的风险规避投资组合优化利率决策方法

International Conference on Complex Information Systems Pub Date : 1900-01-01 DOI:10.5220/0009208400150024

K. Tagawa

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引用次数: 1

摘要

:将贷款投资组合优化表述为一个机会约束问题，其中贷款所得资金可以投资于风险资产。将机会约束问题证明为一个凸优化问题。贷款的低利率使借款人受益。另一方面，贷款的高利率对贷款人不利，因为这种贷款不经常使用。为了确定一个对借贷双方都有利的贷款利率，提出了一种新的方法。实验结果表明，如果采用该方法确定利率，则可以完全利用贷款来提高有效边界。

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An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

: Portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from loan can be invested in risk assets. The chance constrained problem is proven to a convex optimization problem. The low interest rate of loan beneﬁts borrowers. On the other hand, the high interest rate of loan doesn’t beneﬁts lenders because such a loan is not often used. For deciding a proper interest rate of loan that beneﬁts both borrowers and lenders, a new method is proposed. Experimental results show that the loan is used completely to improve the efﬁcient frontier if the interest rate is decided by the proposed method.

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International Conference on Complex Information Systems

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