【摘要】 贷款组合优化是商业银行信贷管理中最常见的决策。本文分析了现有的贷款组合优化模型的特点和弊端 ,以组合风险最小化为目标 ,以模糊数学中的综合评判关系为约束条件 ,建立了贷款组合的模糊优化模型。在组合收益率的综合评判目标和评判矩阵已确定的前提条件下 ,利用二次规划的方法解出各类贷款额占总贷款额的比重 ,解决了银行各类贷款的组合决策问题。通过进一步的实例分析 ,又从实证角度说明了该方法的合理性和可行性。更多还原

【Abstract】 Loan’s portfolio optimization is important to decision makings in the credit management Analyzing the characters and defects of the existed models of loan’s portfolio optimization,this paper is subject to such constraints of fuzzy synthetic evaluation while aims at minimizing portfolio risks,then establishes a fuzzy optimization model of loan’s portfolio On the condition that the fuzzy synthetic evaluation aim and evaluation matrix of the loan earnings rate are known,we can get the loan’s proportion by means of quadratic programming,thus solve the decision making problem of loan’s portfolio With the farther practical analysis,it illuminates the model is reasonable and feasible更多还原