Optimization strategies in credit portfolio management

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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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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 > Operations research
ID Code:	14535
Deposited On:	08 Feb 2012 11:15
Last Modified:	12 Dec 2018 15:07

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