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
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.
|Uncontrolled Keywords:||Credit portfolio management; Risk measure; Global optimization; Genetic algorithm; Semi-deterministic algorithm|
|Subjects:||Sciences > Mathematics > Operations research|
|Deposited On:||08 Feb 2012 11:15|
|Last Modified:||12 Jun 2015 07:38|
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