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Optimization strategies in credit portfolio management. (English) Zbl 1169.90452
Summary: This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance.

MSC:
90C30 Nonlinear programming
91B28 Finance etc. (MSC2000)
Software:
GOP
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References:
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