Ivorra, Benjamin and Mohammadi , Bijan and Ramos del Olmo, Ángel (2009) Optimization strategies in credit portfolio management. Journal of Global Optimization., 43 (2-3). pp. 415-427. ISSN 0925-5001
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Official URL: http://www.springerlink.com/openurl.asp?genre=journal&issn=0925-5001
Abstract
This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Credit portfolio management; Risk measure; Global optimization; Genetic algorithm; Semi-deterministic algorithm |
| Subjects: | Sciences > Mathematics > Algebra |
| ID Code: | 14535 |
| Deposited On: | 08 Feb 2012 12:15 |
| Last Modified: | 08 Feb 2012 12:15 |
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