基于SQP算法的银行贷款组合优化  

Bank Loan Portfolio Optimization with a SQP Algorithm

作　　者：顾安琪 刘文鼎 刘培江 王浩华[1,4] Gu Anqi;Liu Wending;Liu Peijiang;Wang Haohua(School of Sciences,Hainan University,Haikou 570228,China;School of Computer Science and Cyberspace Security,Haikou 570228,China;School of Statistics and Mathematics,Guangdong University of Finance and Economics,Guangzhou 510320,Guangdong;Key Laboratory of Engineering Modeling and Statistical Computation of Hainan Province,Haikou 570228,China)

机构地区：[1]海南大学理学院数学系,海口570228 [2]海南大学计算机与网络空间安全学院,海口570228 [3]广东财经大学统计与数学学院,广州510320 [4]海南大学海南省工程建模与统计计算重点实验室,海口570228

出　　处：《数学理论与应用》2021年第4期118-125,共8页Mathematical Theory and Applications

基　　金：海南省自然科学基金(120RC451);国家自然科学基金(11761025,11961018,11901114);海南省研究生创新创业项目(Hys2020-108)资助。

摘　　要：现有的商业银行投资组合优化模型一般假设收益率分布为正态分布,但这并不符合实际收益率的特性,且大多数研究没有考虑存量贷款对收益率与风险的影响,使得组合风险评估不当.而在稳定分布下建立的存量贷款的组合优化模型,可以体现实际收益率的特性,正确评估贷款组合风险,且能将偏度控制在一定范围内,使贷款组合获得超额收益.考虑到风险分散的要求,本文引入风险集中度以此约束存量贷款的分配比重,避免某一贷款过多而带来额外风险,从而建立新的银行贷款组合优化模型.通过对模型特点、目标函数的形式及变量个数进行分析与优化,本文采用SQP算法求得最终的增量贷款分配比例.数据实证结果表明新模型具有简便性与可行性,可在银行贷款的选择中实际应用.In portfolio optimization models of commercial banks,the yield distribution is usually assumed to be a normal distribution.However,that is not always consistent with the characteristic of the real returns and can not effectively assess the risk due to ignoring the influence of existing loans.While a portfolio optimization model for the stock loan under a stable distribution would reflect the characteristic of real return,control the bias within a certain range,and moreover,make the loan attain some excess return.Considering the risk diversification,this paper constructs a bank loan portfolio optimization model with risk concentration to restrain the proportion of the existing loans and avoid the extra risk caused by excessive loans.By analyzing and optimizing the characteristics of the model,the form of the objective function and the number of variables,this paper employs the SQP algorithm to calculate the final incremental loan allocation ratio.Empirical results indicate that the new model is simple and feasible,and can be practically applied in choosing bank loans.

关 键 词：稳定分布 存量贷款 SQP算法 风险集中度 

分 类 号：F832.4[经济管理—金融学] F224