基于线性完备变换的银行贷款组合优化模型

his paper takes the yield risk value quota and the expected yield of loan portfolio as the restriction conditions, and it takes the minimum risk of loans portfolio as the target function to set up the optimized model of bank’s loans portfolio based on the earning yield risk value. The first characteristic is that it confirms the selection range of the loan yield with the linear complete transfer and solve the existing problem that the model cannot get the result caused by the unreasonable rate. The second is that regarding to the bank affordable risk principle, the paper controls the loan portfolio risk with the risk value of loan portfolio as the restraint. The third is that regarding to the minimum risk of bank required rate, the model sets up the efficiency frontier in order that bank can agilely reallocate the portfolio to assure the minimum risk value of earning yield of loan portfolio.