[管理类] 求助最新MS文献：Risk-Based Loan Pricing 中方法解释 [推广有奖]

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red123star 发表于 2020-3-1 20:23:43 |AI写论文

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Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution
So Yeon Chun , Miguel A. Lejeune
Published Online:27 Feb 2020
https://doi.org/10.1287/mnsc.2019.3378

方法解释：reformulation method based on the concavifiability concept to transform the nonlinear objective functions and to derive equivalent mixed-integer nonlinear reformulations with convex continuous relaxations.