贷款组合的“均值-方差-偏度”三因素优化模型  

The Three Factors Optimization Model of Mean-deviation-skewness on Loans Portfolio

作　　者：迟国泰[1] 迟枫[2] 闫达文[1,3] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024 [2]加拿大多伦多大学Joseph L.Rotman管理学院Toronto,Ontario,Canada [3]大连理工大学应用数学系,辽宁大连116024

出　　处：《运筹与管理》2009年第4期98-111,共14页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(70471055);高等学校博士学科点专项科研基金资助项目(20040141026)

摘　　要：以银行各项资产组合收益率最大化为目标函数,以收益率偏度大于零控制银行重大损失发生的概率,以组合风险价值VaR风险限额为约束条件控制资产组合风险的大小,建立了贷款组合的"均值-方差-偏度"三因素优化模型。本模型的创新与特色一是通过偏度约束减少了组合收益率小于其均值的可能性,并增加了组合收益率大于其均值的概率。这在均值-方差模型的基础上,增加了偏度参数,建立了收益率均值-方差-偏度模型,开拓了资产组合优化的新思路。二是以组合风险价值VaR建立了约束条件,通过在一定置信水平下的最大损失限额来制约贷款组合的违约风险,使贷款配给的风险限定在银行的承受能力和贷款准备金的范围之内,解决了整体风险的控制问题。Using portfolio profits maximum of bank＇ s assets as objective function, positive yield skenewss as constraint to reduce the portfolio yield probability of smaller than its mean, value at risk as constraint of assets＇ risk, the three factor optimization model of mean-deviation-skewness on loans portfolio is set up. The contribution lies in two aspects. Firstly, through the constraint of skewness, the portfolio yield probability of smaller than its mean decreases and the portfolio yield probability of larger than its mean increases. On the basis of mean-deviation model, adding skewness parameter, mean-deviation-skewness model is set up. A new idea about the optimal study of asset portfolio is given. Secondly, constraint on VaR is provided. So default risk of loan＇ s portfolio is controlled by the arrangement on using VaR constrain and maximum limitation of loss under certain confidence. The problem about controlling bank＇ s risk is solved.

关 键 词：贷款组合 组合优化 偏度控制 期望-方差-偏度模型 三因素优化模型 

分 类 号：F830.33[经济管理—金融学] O224[理学—运筹学与控制论]