Optimization strategies in credit portfolio management

DOI10.1007/s10898-007-9221-6zbMath1169.90452OpenAlexW1999493078MaRDI QIDQ1029683

Benjamin Ivorra, Angel Manuel Ramos, Bijan Mohammadi

Publication date: 13 July 2009

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/14535/1/2007optimization-06.pdf

zbMATH Keywords

global optimizationgenetic algorithmrisk measurecredit portfolio managementsemi-deterministic algorithm

Mathematics Subject Classification ID

Nonlinear programming (90C30)

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Uses Software

• GOP

Cites Work

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• Hybrid method for aerodynamic shape optimization in automotive industry
• An introduction to copulas. Properties and applications
• Coherent Measures of Risk
• Semi-deterministic and genetic algorithms for global optimization of microfluidic protein-folding devices

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