基于线性矩阵不等式的贷款组合鲁棒优化模型.PDF

第28 卷第1期 东 北 大 学 学 报 ( 自 然 科 学 版 ) Vol28, No. 1 2 00 7 年 1 月 Journal of Northeastern U niversit ( Natural Science) Jan. 2 0 0 7 1 1 2 高 莹 , 黄小原 , 李意鸥 ( 1. , 110004; 2. , 310058) : , Markowitz - , , , , , , , : ; ; ; ; : F 830. 9; O 221. 4 : A : 1005-3026( 2007) 0 1-0 137-04 LMI-Based Robust Optimization Model of Loan Portfolio 1 1 2 GA O Ying , H UA N G X iao-y uan , L I Yi-ou ( 1. School of Business Administrat ion, Northeastern Universit , Shen ang 110004, China; 2. Chukechen College, Zhejiang Universit , Hangzhou 310058, China. Correspondent: GA O Y ing, associate professor, E-mail: gao @ mail. neu. edu. cn) Abstract: Linear matrix inequalit ( LM I) is used to stud the robust optimization for commercial banks loan portfolio. Based on M arkow itz theor of mean-variance, a robust optimization model is developed for loan portfolio, and the uncertaint of prospectful return on loans is described b several expected return vectors and covariance matrices, to give a LM I solution to the model. A numerical simulation proves the validit of the model. Because in the model the uncertaint of prospectful return on loans has been involved, the result is highl reliable and robust to reduce the credit risk. So, the model ma provide a reference for commercial banks to make decision on loans. Key words: robust optimization; loan portfolio; LMI; uncertaint ; return , , , ,