So Yeon Chun – Optimization Online

Risk-based Loan Pricing: Portfolio Optimization Approach With Marginal Risk Contribution

Published: 2017/01/17

(Mixed) Integer Nonlinear Programming, Finance and Economics, Stochastic Programming conditional-value-at-risk, loan portfolio, marginal risk contribution, mixed-integer nonlinear stochastic programming, revenue management, risk-based pricing, value-at-risk, willingness-to-pay

We consider a lender (bank) who determines the optimal loan price (interest rates) to offer to prospective borrowers under uncertain risk and borrowers’ response. A borrower may or may not accept the loan at the price offered, and in the presence of default risk, both the principal loaned and the interest income become uncertain. We … Read more

Construction of Covariance Matrices with a specified Discrepancy Function Minimizer, with Application to Factor Analysis

Published: 2008/06/13, Updated: 2009/05/28

So Yeon Chun

Alexander Shapiro

Applications - OR and Management Sciences covariance structure analysis, discrepancy function, factor analysis, generalized least squares, maximum likelihood, model misspecification, semi-definite programming

The main goal of this paper is to develop a numerical procedure for construction of covariance matrices such that for a given covariance structural model and a discrepancy function the corresponding minimizer of the discrepancy function has a specified value. Often construction of such matrices is a first step in Monte Carlo studies of statistical … Read more