Optimization strategies in credit portfolio management
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...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2009 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/49798 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/49798 |
| Access Level: | acceso abierto |
| Palabra clave: | 519.853 Credit portfolio management Risk measure Global optimization Genetic algorithm Semi-deterministic algorithm Investigación operativa (Matemáticas) 1207 Investigación Operativa |
| Sumario: | 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. |
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