Research on improved model of loans portfolio optimization based on adaptive particle swarm optimization algorithm

Abstract

The paper establishes a decision-making model of the commercial bank's loans portfolio optimization based on complex risk weight in view of the loan enterprise's credit graduation situation and so on. It is more similar with the actual operation. In order to solve this model that is a non-linear 0-1 fractional integer programming question, we present a adaptive particle swarm optimization (APSO) algorithm. It is shown with the numerical result that this algorithm is effective for solving commercial bank's loans portfolio decision-making problem. The algorithm can solve the middle-scale question and the given model is reasonable. © 2012 Springer-Verlag.