Optimization strategies in credit portfolio management
نویسندگان
چکیده
This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance. KEYWORDCredit Portfolio Management, Risk Measure, Global Optimization, Genetic Algorithm, Semi-Deterministic Algorithm.
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عنوان ژورنال:
- J. Global Optimization
دوره 43 شماره
صفحات -
تاریخ انتشار 2009