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发表时间： 2009-01-01

发表刊物： 系统工程理论与实践

所属单位： 经济管理学院

期号： 4

页面范围： 1-18

ISSN号： 1000-6788

摘要： This paper offers the theory of non-linear addition of total loan portfolio and establishes non-linear function relationship of risk accumulation with incremental portfolio and old portfolio. Using portfolio profits maximum of bank's assets as objective function and whole risk after accumulating old portfolio risk with incremental portfolio risk as constraint, decision-making model for incremental loan portfolio based on total loan portfolio optimization is built. The contribution characteristics lie on three aspects. The first contribution is to put forward the scientific problem of controlling total portfolio risk based on risk addition of incremental portfolio and old portfolio while putting out a set of new portfolio. Because in practice bankers truly pay attention to the risk of total portfolio and don't concern risk control of a incremental portfolio, we should be established in whole control of incremental and old portfolio. This not only exploits new idea about optimal allocation and control of financial assets but also alters traditional idea only considering the risk of incremental portfolio. The second contribution is to establish function relation about non-linear addition of incremental and old portfolio. Putting forward the theory of non-linear addition of total portfolio, we build function expression connecting total portfolio with incremental and old portfolio which provides simple and efficient method for controlling total portfolio's risk and overcomes the shortcoming of which traditional methods don't optimize total portfolio risk. The third contribution is to control whole risk after accumulating old portfolio risk with incremental portfolio risk. The building of whole risk constraint of total portfolio solves the problem that how to control and optimize total portfolio's risk while allocating a new portfolio.

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