CAJ | 학술논문

银行贷款的收益率在很多情况下具有模糊随机性.将贷款收益率刻画为模糊随机变量,使用半方差作为风险度量方式,建立半方差约束下的模糊随机收益率贷款组合优化模型,目的是在一定的半方差约束和置信水平下,最大化贷款组合的收益率不小于预置收益率的本原机会测度.应用集成模糊随机模拟、神经网络、遗传算法的混合智能算法进行求解,最后通过实例验证了模型和算法的可行性和有效性.
은행대관적수익솔재흔다정황하구유모호수궤성.장대관수익솔각화위모호수궤변량,사용반방차작위풍험도량방식,건립반방차약속하적모호수궤수익솔대관조합우화모형,목적시재일정적반방차약속화치신수평하,최대화대관조합적수익솔불소우예치수익솔적본원궤회측도.응용집성모호수궤모의、신경망락、유전산법적혼합지능산법진행구해,최후통과실례험증료모형화산법적가행성화유효성.
The return rates of loan in bank often have fuzzy random characteristic in many cases, this paper describedthe return rates as fuzzy random variables,used semivariance as the risk measure method,constructed the optimizationmodel of loan portfolio with fuzzy random return rates under semivariance constraints. The purpose of the model is tomaximize the primitive chance measure when the total return rate is no less than the preset value at a given confidencelevel under semivariance constraints. The hybrid intelligent algorithm was employed to solve the model, the algorithmintegrates fuzzy random simulation,neural network and genetic algorithm. At last,numerical examples illustrate the feasibility and effectiveness of the model and the algorithm.