An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

Kiyoharu Tagawa

2020

Abstract

Portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from loan can be invested in risk assets. The chance constrained problem is proven to a convex optimization problem. The low interest rate of loan benefits borrowers. On the other hand, the high interest rate of loan doesn’t benefits lenders because such a loan is not often used. For deciding a proper interest rate of loan that benefits both borrowers and lenders, a new method is proposed. Experimental results show that the loan is used completely to improve the efficient frontier if the interest rate is decided by the proposed method.

Paper Citation

in Harvard Style

Tagawa K. (2020). An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan.In Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS, ISBN 978-989-758-427-5, pages 15-24. DOI: 10.5220/0009208400150024

in Bibtex Style

@conference{complexis20,
author={Kiyoharu Tagawa},
title={An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan},
booktitle={Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,},
year={2020},
pages={15-24},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009208400150024},
isbn={978-989-758-427-5},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,
TI - An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan
SN - 978-989-758-427-5
AU - Tagawa K.
PY - 2020
SP - 15
EP - 24
DO - 10.5220/0009208400150024