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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