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Ivorra, Benjamin and Mohammadi, Bijan and Ramos del Olmo, Ángel Manuel (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 |
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Uncontrolled Keywords: | Credit portfolio management; Risk measure; Global optimization; Genetic algorithm; Semi-deterministic algorithm |
Subjects: | Sciences > Mathematics > Operations research |
ID Code: | 14535 |
Deposited On: | 08 Feb 2012 11:15 |
Last Modified: | 12 Dec 2018 15:07 |
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