基于VaR和集中度约束的贷款组合优化模型-豆柴文库

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基于VaR和集中度约束的贷款组合优化模型
Title:PortfolioOptimizationModelwithVaRandConcentrationConstraintsforLending
Abstract:
Portfoliooptimizationisacriticaltaskinthefinanceindustry,especiallyforlendinginstitutionsseekingtomaximizetheirprofitswhilemanagingrisk.VaR(ValueatRisk)isawidelyusedriskmeasurethatallowslenderstoestimatethepotentiallossoftheirportfoliowithinagivenconfidencelevel.Concentrationconstraints,ontheotherhand,aimtolimittheexposuretoaspecificborrowerorsector,therebyreducingthelikelihoodoflargelosses.ThispaperpresentsaportfoliooptimizationmodelthatincorporatesVaRandconcentrationconstraints,providinganeffectivetoolforlenderstooptimizetheirloanportfolios.
1.Introduction
Thelendingindustryoperatesinadynamicandvolatilemarket,makingitnecessaryforlenderstoadoptsophisticatedriskmanagementandportfoliooptimizationstrategies.Thetraditionalmean-varianceportfoliooptimizationframeworkonlyconsiderstheexpectedreturnandvolatilityoftheportfolio,neglectingthepotentialextremelosses.VaRisariskmeasurethataddressesthislimitation,providinglenderswithametrictoestimatetheworst-caselossatagivenconfidencelevel.Concentrationconstraintsaimtolimittheexposuretoindividualborrowersorsectorstopreventexcessiveriskconcentration.ThispaperproposesanovelportfoliooptimizationmodelthatintegratesVaRandconcentrationconstraints,offeringacomprehensiveapproachtoloanportfoliomanagement.
2.LiteratureReview
AcomprehensivereviewofexistingliteratureonportfoliooptimizationmodelsincorporatingVaRandconcentrationconstraintsispresented.Variousapproaches,suchasMean-CVaR(ConditionalValueatRisk)andCVaR(ExpectedShortfall),havebeenproposedtoenhanceportfolioriskmanagement.Concentrationconstraintshavealsobeenexploredinthecontextofloanportfoliomanagement,withstudiesfocusingonsectoraldiversificationandcreditriskmanagement.ThissectionhighlightstheneedforanintegratedmodelthateffectivelycombinesVaRandconcentrationconstraintsforloanportfoliooptimization.
3.PortfolioOptimizationModel
Theproposedportfoliooptimizationmodelutilizesnonlinearp