The Research of a Double Objective Model of Loans Portfolio Optimization Based on PSO
The paper establishes a double objective decision-making model of the commercial bank's loans portfolio optimization, its objective functions are income of loans portfolio and CVaR, meanwhile, considering the relationship between the accumulative and incremental loans. It full controls all risk for the commercial bank's loans portfolio. In order to solve this model that is a doubleobjective 0-1 programming question, we present an adaptive particle swarm optimization (APSO) algorithm. It is shown with the numerical result that this algorithm is effective for solving commercial bank's loans portfolio decision-making problem. The algorithm can solve the middle or large-scale question and the given model is reasonable. KeywordsLoans portfolio optimization; double-objective 0-1 programming; particle swarm optimization algorithm; Conditional Value-at-Risk (CVaR)