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- W2358887668 abstract "By using VaR as risk control of the loans portfolio,using skewness constrain to avoid the distribution of loan portfolio yield toward left of mean to reduce left side risk of general risk,using kurtosis constrain as the control of the distribution's fat tail on both sides to reduce the extreme loss,the optimal model of loan portfolio which targets the maximum rate of return on bank loans portfolio based on the higher central-moment constraints is set up.The contribution of this article is we identified the importance of using higher central-moments,especially the kurtosis in bank loans portfolio optimization.Addition to the classic Markowitz model,we build a mean-variance-skewness-kurtosis model which introduced kurtosis constrain to reduce the extreme loss,skewness constrain to avoid general risk and VaR as risk control of the loans portfolio.The model we built controls the portfolio's risk from multi-angle and extends the classic mean-variance optimal theory." @default.
- W2358887668 created "2016-06-24" @default.
- W2358887668 creator A5069367439 @default.
- W2358887668 date "2012-01-01" @default.
- W2358887668 modified "2023-09-26" @default.
- W2358887668 title "Optimal model of loan portfolio based on the higher central-moment constraints" @default.
- W2358887668 hasPublicationYear "2012" @default.
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