基于三角模糊数的贷款组合优化模型比较分析  

Comparative Analysis on Loan Portfolio Model with Triangular Fuzzy Number

作　　者：张赟[1] 周圣[1] 史本山[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《经济问题》2014年第12期48-52,共5页On Economic Problems

基　　金：国家社科基金资助项目(12CGL020);教育部人文社科基金资助项目(12YJA790110)

摘　　要：随着中国利率市场化的进程,贷款利率呈现出更大的不确定性,商业银行间的竞争也越来越激烈,在新的行业特点和经营形势下,商业银行需要结合研究贷款资源的配置方式,为商业银行管理层的决策提供有力的支撑。引入三角模糊数来刻画商业银行的收益率,并利用其可能性均值来构建三类贷款组合优化模型进行分析,结果显示模型的有效边界都符合均值方差模型有效边界的变化趋势,且得到的贷款权重配置可以更好地体现贷款利用效率。The loan return of commercial bank becomes more uncertainty under the progress of market -based reform of interest rates.With the new industry characteristics and business situation , the commercial bank needs to study the loan allocations to face the increasing competition .And it can provide support for commercial bank man-agement to the make decision.Therefore, three optimization models of loan portfolio are established with triangular fuzzy number return .The result shows that these models are in line with the efficient frontier of mean -variance model, and can allocate the loan resource effectively .

关 键 词：三角模糊数 贷款组合 资本运用效率 

分 类 号：F830[经济管理—金融学]