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发表时间： 2009-01-01

发表刊物： 哈尔滨工业大学学报

所属单位： 经济管理学院

卷号： 41

期号： 8

页面范围： 221-225

ISSN号： 0367-6234

摘要： By taking the yield risk value quota and the expected yield of loan
   portfolio as restriction conditions,and the minimum risk of loans
   portfolio as the target function,an optimized model of bank loan
   portfolio based on the earning yield risk value is set up. This model
   confirms the selection range of loan yield with the linear complete
   transfer and solves the existing problem that the model cannot get the
   result caused by the unreasonable rate. According to the principle of
   affordable risk for bank,a model is established to control the loan
   portfolio risk with the risk value of loan portfolio as the restraint.
   According to the minimum risk of bank required rate,the efficiency
   frontier is set up in order that bank can agilely reallocate the
   portfolio to assure the minimum risk value of earning yield of loan
   portfolio.

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