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Optimization strategies in credit portfolio management

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dc.contributor.authorIvorra, Benjamín Pierre Paul
dc.contributor.authorMohammadi, Bijan
dc.contributor.authorRamos Del Olmo, Ángel Manuel
dc.date.accessioned2023-06-20T09:31:19Z
dc.date.available2023-06-20T09:31:19Z
dc.date.issued2009
dc.description.abstractThis 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.
dc.description.departmentDepto. de Análisis Matemático y Matemática Aplicada
dc.description.facultyFac. de Ciencias Matemáticas
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/14535
dc.identifier.doi10.1007/s10898-007-9221-6
dc.identifier.issn0925-5001
dc.identifier.officialurlhttp://www.springerlink.com/openurl.asp?genre=journal&issn=0925-5001
dc.identifier.urihttps://hdl.handle.net/20.500.14352/49798
dc.issue.number2-3
dc.journal.titleJournal of Global Optimization.
dc.language.isoeng
dc.page.final427
dc.page.initial415
dc.publisherSpringer
dc.rights.accessRightsopen access
dc.subject.cdu519.853
dc.subject.keywordCredit portfolio management
dc.subject.keywordRisk measure
dc.subject.keywordGlobal optimization
dc.subject.keywordGenetic algorithm
dc.subject.keywordSemi-deterministic algorithm
dc.subject.ucmInvestigación operativa (Matemáticas)
dc.subject.unesco1207 Investigación Operativa
dc.titleOptimization strategies in credit portfolio management
dc.typejournal article
dc.volume.number43
dspace.entity.typePublication
relation.isAuthorOfPublication6d5e1204-9b8a-40f4-b149-02d32e0bbed2
relation.isAuthorOfPublication581c3cdf-f1ce-41e0-ac1e-c32b110407b1
relation.isAuthorOfPublication.latestForDiscovery6d5e1204-9b8a-40f4-b149-02d32e0bbed2

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