基于单位风险收益最大原则的贷款组合优化决策模型  

Decision-making Model of Loan′s Portfolio Optimization Based on Principle of Maximum Earnings Per Risk

作　　者：迟国泰[1] 秦学志[2] 朱战宇[1] 

机构地区：[1]大连理工大学管理学院,116024 [2]大连理工大学应用数学系

出　　处：《控制与决策》2000年第4期469-472,共4页Control and Decision

基　　金：国家自然科学基金项目!(79770 0 11);加拿大国际开发署中 -加大学与产业合作项目!(CCU IPP)

摘　　要：针对已有的不确定投资情况下风险与收益选择方法的特点与弊端 ,提出了在贷款组合配给中的单位风险收益最大原则 ,并依此建立了风险贷款组合的优化决策模型 ,解决了收益与风险各不相同时贷款组合的决策问题。实例分析和对比表明了该方法的科学性。To the characters and defects of the existed methods in solving the relationship between earnings and risks when the investment environment is unsure, the principle of maximum earnings per risk in loan′s portfolio distribution is presented. A decision making model of loan risk portfolio optimization according this principle is set up. The decision making problem when the earnings and risks are very different among every alternative of loan′s portfolio is solved. With the farther practical and comparative analysis, scientificity of the model is illuminated.

关 键 词：单位风险 贷款风险 贷款组合 优化方法 

分 类 号：F830.5[经济管理—金融学]