Name
Title | ||
|---|---|---|
Solving the mean-variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach. |
Abstract | ||
|---|---|---|
•We propose a two-step iterated quadratic/Lagrange programming approach.•It handles linearly constraints like the budget, and the risk-aversion parameter.•We prove the convergence of the method.•We provide all the details needed to implement the algorithm.•The effectiveness of the method is proved by a credit-card limit example for a bank. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1016/j.eswa.2015.02.018 | Expert Systems with Applications |
Keywords | Field | DocType |
Mean–variance portfolio,Quadratic Lagrange programming,Credit-card portfolios,Credit-risk management,Customer-credit limits,Markov chains,Optimization | Convergence (routing),Tikhonov regularization,Mathematical optimization,Computer science,Markov chain,Quadratic equation,Portfolio,Portfolio optimization,Quadratic programming,Iterated function | Journal |
Volume | Issue | ISSN |
42 | 12 | 0957-4174 |
Citations | PageRank | References |
0 | 0.34 | 26 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Emma M. Sánchez | 1 | 1 | 0.69 |
| Julio B. Clempner | 2 | 91 | 20.11 |
| Alexander S. Poznyak | 3 | 22 | 2.52 |