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Indexed by:期刊论文

Date of Publication:2012-01-01

Journal:ICIC Express Letters, Part B: Applications

Included Journals:EI、Scopus

Volume:3

Issue:5

Page Number:1117-1124

ISSN No.:21852766

Abstract:We build a mean-variance-skewness-kurtosis model which uses VaR as risk control of the loans portfolio, skewness constraint to avoid the distribution of loan portfolio yield toward left of mean to reduce left side risk of general risk, using kurtosis constraint as the control of the distribution's fat tail on both sides to reduce the extreme loss. Thus, the optimal model of loan portfolio which targets the maximum rate of return on bank loans portfolio based on the higher central-moment constraints is set up. The model we built controls the portfolio's risk from multi-angle and extends the classic mean-variance optimal theory. ? 2012 ICIC International.