Abstract
This paper proposes a multi-objectives decision-making method for loan portfolio based on the efficient frontier. This method is based on a multitargets decision-making model with two objective functions, one of which is to be maximized for return with regard to risk and the other minimized for risk with regard to return. We will use the method of geometry to solve this difficult problem. This method has three advantages. First, given the relative weights of each component, the risk of the portfolio, or the return of the portfolio, we can obtain the corresponding optimal loan portfolio. Second, the method is easy to understand and the calculation is simple, because it avoids reversing many matrices. Third, banks can pay adequate attention to casting credit to valuedclients and limited-clients. As a result, banks will be able to serve the debt needs of their clients well.
Humanities Foundation of State Education Ministry (NO.02JA790009) supports this work.
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Guo, Z., Zhou, Z. (2004). A Multi-objective Decision-Making Method for Commercial Banks Loan Portfolio. In: Shi, Y., Xu, W., Chen, Z. (eds) Data Mining and Knowledge Management. CASDMKM 2004. Lecture Notes in Computer Science(), vol 3327. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30537-8_24
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DOI: https://doi.org/10.1007/978-3-540-30537-8_24
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