机会约束下贷款组合优化决策的方差最小化模型

通过把贷款的收益率刻画为模糊变量，提出了机会约束下贷款组合优化决策的方差最小化模型。针对贷款收益率是特殊的三角模糊变量的情况，给出模型的清晰等价类，对等价类模型用传统的方法进行求解。对于贷款收益率的隶属函数比较复杂的情况，应用集成模糊模拟、神经网络、遗传算法和同步扰动随机逼近算法的混合优化算法求解模型。数值算例验证了模型和算法的有效性。

Variance minimization model for optimization decision-making of loan portfolio under chance constraints

Variance minimization model for optimization decision-making of loan portfolio under chance constraints was proposed by characterizing loan return rates as fuzzy variables. For the case where the loan return rates were special triangular fuzzy variables, the crisp equivalents of the models were given and could be solved with the traditional methods. The hybrid optimization algorithm was employed to solve the models where the membership functions of loan return rates were complex. The algorithm integrated fuzzy simulation, neural network, genetic algorithm and simultaneous perturbation stochastic approximation algorithm. Numerical examples illustrate the effectiveness of the models and the algorithm.