Optimization strategies in credit portfolio management

Authors:
Benjamin Ivorra;Bijan Mohammadi;Angel Manuel Ramos
Affiliations:
Departamento de Matemática Aplicada, Universidad Complutense de Madrid, Madrid, Spain 28040;Mathematics and Modelling Institute, Montpellier University, Montpellier, France 34095;Departamento de Matemática Aplicada, Universidad Complutense de Madrid, Madrid, Spain 28040
Venue:
Journal of Global Optimization
Year:
2009

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Abstract

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.