{"title":"An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan","authors":"K. Tagawa","doi":"10.5220/0009208400150024","DOIUrl":null,"url":null,"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.","PeriodicalId":414016,"journal":{"name":"International Conference on Complex Information Systems","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Conference on Complex Information Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5220/0009208400150024","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
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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