Hits:

Indexed by:会议论文

Date of Publication:2011-01-01

Included Journals:CPCI-SSH

Page Number:49-53

Key Words:loan's portfolio; portfolio optimization; utility maximization; free assets

Abstract:This paper establishes an optimization model of commercial bank loan's portfolio, with the objective of commercial bank loan's portfolio utility maximization and the restriction of VaR(value at risk). This model has two main features: First, the objective function considers the yield of risk-free assets and credit risk assets, which is closer to the actual condition of commercial bank asset allocation and has more practical applications; Second, the objective function of utility maximization reflects the benefits, risks and coefficient of bank's risk preference, which makes up for the drawback of failing to achieve utility maximization of loans' portfolio, due to over avoiding default risk and emphasizing on return in traditional loan management.