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| Portfolio optimization model and its intelligent algorithm in credit risk |
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MA Xiao-xian1,2,ZHAO Qing-zhen1,LIU Fang-ai3
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(1. School of Management and Ecofwmics f Shandong Nonttdl University, Jinan 250014, China;2. Sckaol of Finance and Banking, Shandong University of Finance y Jinan 250014, China;3. Department o/ Computer Science，Shandong Normal University, Jinan 250014, China)
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| Abstract: |
| A mcdeJ for credit risk measurement and portfolio optimization prfiblems under fuzzy uncertainly was established and simulated. Based an ^elf-duality credibility meaaure, fuzzy conditional value at risk ( FCVaR) was proposed bs a credit ，-risk measure, A model which can minimize FCVaR subject to trading and return constraints was developed. In this approach， the credit risk poasibility distribtitions of credit assets in considered market arc described by exponential fuzzy vBriablea and then the optimisation problem is solved effectively with a hybrid intelligent algorithm based on fuzzy simiJation method. The simulated results show tJiat the credit risk of optimal portfolio is better than the original portfolio's. |
| Key words: credit risk nsk measuref intelligent algorithm |
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