英文标题：
《Optimising Credit Portfolio Using a Quadratic Nonlinear Projection
Method》
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作者：
Boguk Kim, Chulwoo Han, Frank Chongwoo Park
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最新提交年份：
2015
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英文摘要：
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal portfolio state is conducted by a series of single-step optimisations under the local constraints described in the multi-dimensional constraint parameter space as functions of the total amount of portfolio adjustment. Each single-step optimisation is approximated by the first-order variation of the weight increments with respect to the total amount of portfolio adjustment and is solved in the form of locally exact formula formulated in the general Lagrange multiplier method. Our method can deal with optimisation for general nonlinear objective functions, such as the return-to-risk ratio maximisation or the diversification index, as well as the risk minimisation or the return maximisation.
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中文摘要：
针对信用组合风险由条件风险价值（CVaR）度量的情况，提出了一种基于二次非线性投影的信用组合优化框架。在多维约束参数空间描述的局部约束下，通过一系列单步优化来搜索最优投资组合状态，作为投资组合调整总量的函数。每一个单步优化都通过权重增量相对于投资组合调整总量的一阶变化来近似，并以通用拉格朗日乘数法中制定的局部精确公式的形式进行求解。我们的方法可以处理一般非线性目标函数的优化，例如收益率最大化或多元化指数，以及风险最小化或收益最大化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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