%0 Journal Article
%T Variance minimization model for optimization decision-making of loan portfolio under chance constraints<br>机会约束下贷款组合优化决策的方差最小化模型
%A NING Yu-fu
%A TANG Wan-sheng
%A YAN Wei-zhen
%A <br>宁玉富
%A 唐万生
%A 严维真
%J 计算机应用
%D 2008
%I 
%X Variance minimization model for optimization decision-making of loan portfolio under chance constraints was proposed by characterizing loan return rates as fuzzy variables. For the case where the loan return rates were special triangular fuzzy variables, the crisp equivalents of the models were given and could be solved with the traditional methods. The hybrid optimization algorithm was employed to solve the models where the membership functions of loan return rates were complex. The algorithm integrated fuzzy simulation, neural network, genetic algorithm and simultaneous perturbation stochastic approximation algorithm. Numerical examples illustrate the effectiveness of the models and the algorithm.
%K loan portfolio
%K chance constraints
%K variance minimization model
%K fuzzy variable
%K fuzzy simulation
%K Genetic Algorithm (GA)<br>贷款组合
%K 机会约束
%K 方差最小化模型
%K 模糊变量
%K 模糊模拟
%K 遗传算法
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=831E194C147C78FAAFCC50BC7ADD1732&aid=A87671D0C0256A30DB2B48A9446CAA3D&yid=67289AFF6305E306&vid=D3E34374A0D77D7F&iid=94C357A881DFC066&sid=E84660E787B699A9&eid=D103793C8B25974D&journal_id=1001-9081&journal_name=计算机应用&referenced_num=0&reference_num=13