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Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation

  • Conference paper
Credit Risk

Part of the book series: Contributions to Economics ((CE))

Summary

In contemporary credit portfolio management, the portfolio risk-return analysis of financial instruments using certain downside credit risk measures requires the computation of a set of Pareto-efficient portfolio structures in a non-linear, non-convex setting. For real-world problems, additional constraints, e.g. supervisory capital limits, have to be respected. Particularly for formerly non-traded instruments, e.g. corporate loans, a discrete set of decision alternatives has to be considered for each instrument.

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Author information

Authors and Affiliations

  1. Institut AIFB, Universität Karlsruhe, Germany

    Frank Schlottmann & Detlef Seese

Authors
  1. Frank Schlottmann
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  2. Detlef Seese
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Editor information

Editors and Affiliations

  1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, 76128, Karlsruhe, Germany

    Georg Bol , Svetlozar T. Rachev  & Karl-Heinz Vollmer ,  & 

  2. DaimlerChrysler AG, RIC/AM, Postbox 2360, 89013, Ulm, Germany

    Gholamreza Nakhaeizadeh

  3. DZ Bank AG, COR, Platz der Republik, 60265, Frankfurt am Main, Germany

    Thomas Ridder

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© 2003 Springer-Verlag Berlin Heidelberg

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Schlottmann, F., Seese, D. (2003). Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation. In: Bol, G., Nakhaeizadeh, G., Rachev, S.T., Ridder, T., Vollmer, KH. (eds) Credit Risk. Contributions to Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-59365-9_13

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  • DOI: https://doi.org/10.1007/978-3-642-59365-9_13

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0054-8

  • Online ISBN: 978-3-642-59365-9

  • eBook Packages: Springer Book Archive

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