Variance minimization model for optimization decision-making of loan portfolio under chance constraints
机会约束下贷款组合优化决策的方差最小化模型

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.