Optimization strategies in credit portfolio management

Optimization strategies in credit portfolio management

This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a...

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Veröffentlicht in:Journal of global optimization 2009-03, Vol.43 (2-3), p.415-427
Hauptverfasser: Ivorra, Benjamin, Mohammadi, Bijan, Ramos, Angel Manuel
Format: Artikel
Sprache:eng
Schlagworte:
Asset allocation
Collateralized loan obligations
Computer Science
Credit risk
Genetic algorithms
Hybridization
Investors
Mathematics
Mathematics and Statistics
Modeling and Simulation
Operations Research/Decision Theory
Optimization
Optimization algorithms
Optimization and Control
Optimization techniques
Portfolio management
Quantitative Finance
Random variables
Real Functions
Risk Management
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Beschreibung
Zusammenfassung:This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance.
ISSN:0925-5001
1573-2916
DOI:10.1007/s10898-007-9221-6