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Campo DC | Valor | Lengua/Idioma |
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dc.contributor.author | Clepner Kerik, Julio Bernardo | - |
dc.date.accessioned | 2015-10-13T16:30:27Z | - |
dc.date.available | 2015-10-13T16:30:27Z | - |
dc.date.issued | 2015-03-09 | - |
dc.identifier.issn | 0957-4174 | - |
dc.identifier.uri | http://www.repositoriodigital.ipn.mx/handle/123456789/21751 | - |
dc.description.abstract | In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated two-step method for solving the given portfolio constraint problem: (a) the first step is designed to optimize the nonlinear problem using a quadratic programming method for finding the long run fraction of the time that the system is in a given state (segment) and an action (promotion) is chosen and, (b) the second step is designed to find the optimal number of customers using a Lagrange programming approach. Both steps are based on the c-variable method to make the problem computationally tractable and obtain the optimal solution for the customer portfolio. The Tikhonov’s regularization method is used to ensure the convergence of the objective-function to a single optimal portfolio solution. We prove that the proposed method converges by the Weierstrass theorem: the objective function of the mean–variance customer portfolio problem decreases, it is monotonically non-decreasing and bounded from above. In addition, for solving the customer portfolio problem we consider both, a constant risk-aversion restriction and budget limitations. The constraints imposed by the system produce mixed strategies. Effectiveness of the proposed method is successfully demonstrated theoretically and by a simulated experiment related with credit-card and customer-credit limits approach for a bank. | es |
dc.description.sponsorship | Instituto Politécnico Nacional. CIECAS | es |
dc.language.iso | en | es |
dc.publisher | ELSEVIER | es |
dc.subject | Mean–variance portfolio | es |
dc.subject | Quadratic Lagrange programming | es |
dc.subject | Credit-card portfolios | es |
dc.subject | Credit-risk management | es |
dc.subject | Customer-credit limits | es |
dc.subject | Markov chains | es |
dc.title | Solving the mean–variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach | es |
dc.type | Animation | es |
dc.description.especialidad | Optimization | es |
dc.description.tipo | es | |
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