Solving the mean–variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach
作者：
Highlights：
• 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.
摘要
•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.
论文关键词：Mean–variance portfolio,Quadratic Lagrange programming,Credit-card portfolios,Credit-risk management,Customer-credit limits,Markov chains,Optimization
论文评审过程：Available online 5 March 2015.
论文官网地址：https://doi.org/10.1016/j.eswa.2015.02.018
