Optimization Model of Loan Portfolio with Fuzzy Random Return Rates

摘要

The purpose of loan portfolio is to obtain the maximal return rate. In many situations, the return rates of loan portfolio are assumed as fuzzy random variables, in such a case, how to decide the proportion of loan is an important problem. In this paper, a dependent-chance programming model of loan portfolio optimization problems is proposed, where loan return rates are described as fuzzy random variables. The goal of the model is to obtain the maximal chance measure that the total return rate is no less than the preset value at a given confidence level. A hybrid intelligent algorithm is designed to solve the model. At last, a numerical example is given to illustrate the feasibility of the presented model.