基于风险价值约束的贷款组合效用最大化优化模型

Optimization Model of Loan's Portfolio Utility Maximization Based on the Yield of VaR

资产组合优化是使投资者期望效用最大化的决策。文中用风险价值(VaR)来控制风险,根据在贷款组合有效边界上银行效用最大化的目标分配各项贷款,建立了基于VaR约束的贷款组合效用最大化优化模型。主要创新与特色:①通过贷款组合效用最大配给贷款符合贷款优化的目的,解决了决策模型与决策目的相一致的问题;②当银行决策者或决策群体对风险的偏好在VaR允许范围内时,现有研究的效用最大化决策模型是本模型的特例;③在控制贷款组合VaR的前提下,实现贷款组合效用最大化。当效用最大的贷款组合在VaR控制的边界内时,此组合即为最优组合。当效用最大的贷款组合在VaR控制的边界外时,贷款组合有效边界上效用最大的组合就是最优组合。

Optimization of asset portfolio is the decision that maximizes the expected utility of investors. This paper controls the risk through Value at Risk （VaR）, distributes loans according to the maximization of banks＇ utility on the efficient boundary of the loan＇s portfolio, and establishes the decision model for the maximization of the utility of the loan＇s portfolio based on the restriction of VaR. The major innovations and characterizations of this paper are as follows. First, it optimizes loans to distribute them through the maximization of the utility of loan＇s portfolio. This research solves the problem between the decision model and purpose. Second, the decision model for the utility optimization of existing studies will be a special example of the model in this paper, if the risk preference of the decision makers or decision-making groups of banks is in the allowed range of VaR. Third,this research maximizes the utility of loan＇s portfolio with the control of its VaR. If the loan＇s portfolio with the maximal utility is in the efficient boundary under the control of VaR, such portfolio is the optimal one. Otherwise, the portfolio with the maximal utility on the efficient boundary is the one.