An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

Kiyoharu Tagawa

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Paper

An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

Topics: Mathematical Models; Risk Analysis and Management

In Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk COMPLEXIS - Volume 1, 15-24, 2020

Author: Kiyoharu Tagawa

Affiliation: School of Science and Engineering, Kindai University, 3-4-1 Kowakae, Higashi-Osaka, 577-8502, Japan

Keyword(s): Risk Analysis and Management, Mathematical Model of Loan, Portfolio Optimization.

Abstract: Portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from loan can be invested in risk assets. The chance constrained problem is proven to a convex optimization problem. The low interest rate of loan benefits borrowers. On the other hand, the high interest rate of loan doesn’t benefits lenders because such a loan is not often used. For deciding a proper interest rate of loan that benefits both borrowers and lenders, a new method is proposed. Experimental results show that the loan is used completely to improve the efficient frontier if the interest rate is decided by the proposed method.

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Paper citation in several formats:

Tagawa, K. (2020). An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan. In Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - COMPLEXIS; ISBN 978-989-758-427-5; ISSN 2184-5034, SciTePress, pages 15-24. DOI: 10.5220/0009208400150024

@conference{complexis20,
author={Kiyoharu Tagawa.},
title={An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan},
booktitle={Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - COMPLEXIS},
year={2020},
pages={15-24},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009208400150024},
isbn={978-989-758-427-5},
issn={2184-5034},
}

TY - CONF

JO - Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - COMPLEXIS
TI - An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan
SN - 978-989-758-427-5
IS - 2184-5034
AU - Tagawa, K.
PY - 2020
SP - 15
EP - 24
DO - 10.5220/0009208400150024
PB - SciTePress