Large-Scale Loan Portfolio Selection
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Cites work
- A comparison of complete global optimization solvers
- A polyhedral branch-and-cut approach to global optimization
- Algorithm for cardinality-constrained quadratic optimization
- An adaptive sparse grid semi-Lagrangian scheme for first order Hamilton-Jacobi Bellman equations
- Asset allocation with contagion and explicit bankruptcy procedures
- Computational study of a family of mixed-integer quadratic programming problems
- Convergence of a block coordinate descent method for nondifferentiable minimization
- Credit risk optimization using factor models
- Credit risk optimization with conditional Value-at-Risk criterion
- Default probabilities in a corporate bank portfolio: a logistic model approach.
- Dynamic credit investment in partially observed markets
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Functional Approximations and Dynamic Programming
- Heuristics for convex mixed integer nonlinear programs
- How to invest optimally in corporate bonds: a reduced-form approach
- Model Problems for the Multigrid Optimization of Systems Governed by Differential Equations
- Multigrid Methods for PDE Optimization
- Multigrid optimization in applications
- Neural network survival analysis for personal loan data
- Not if but when will borrowers default
- Optimal cardinality constrained portfolio selection
- Optimal investment in credit derivatives portfolio under contagion risk
- Selecting an optimal portfolio of consumer loans by applying the state preference approach
- Survival Analysis Methods for Personal Loan Data
- The Optimal Selection of Small Portfolios
- Variable resolution discretization in optimal control
Cited in
(18)- Stochastic evolution equations for large portfolios of stochastic volatility models
- Operational research and artificial intelligence methods in banking
- Credit risk optimization using factor models
- Selecting an optimal portfolio of consumer loans by applying the state preference approach
- The performance of bank portfolio optimization
- Numerical aspects of loan portfolio optimization
- Securitization of financial assets: approximation in theory and practice
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Stochastic PDEs for large portfolios with general mean-reverting volatility processes
- Credit selection in collateralized loan obligation: efficient approximation through linearization and clustering
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing
- scientific article; zbMATH DE number 1538071 (Why is no real title available?)
- Recommendation of investment portfolio for peer-to-peer lending with additional consideration of bidding period
- Online Risk Monitoring Using Offline Simulation
- A decision portfolio optimization model with accumulate loan and intelligent algorithm research
- scientific article; zbMATH DE number 6520284 (Why is no real title available?)
- Some properties of the maximum loss on loan portfolios
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