Optimal Credit Card Customer Portfolio Construction Under Uncertain Situation
Xiaoxia Huang, Xiaohong Zhao
Available Online September 2015.
- https://doi.org/10.2991/ichssr-15.2015.25How to use a DOI?
- Customer portfolio selection; uncertainty theory; credit loss
- Since the absence of portfolio model, banks may admit the credit card application without an effective evaluation standard in the extension of credit card business. This paper discusses a credit card customer portfolio selection problem in which the returns from customers are given by experts’ estimations rather than historical data. The customer factors which directly affect the returns are regarded as uncertain variables. Based on customer segmentation, we proposed an optimal customer selection model with the objective of maximizing the expected return value within the constraints of capital limitation and risk diversification and the requirement on credit loss. To facilitate users to solve the model with practicable programming solvers, a crisp equivalent model is provided to show how credit card managers can make use of the model to select customers under the uncertainty theory.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiaoxia Huang AU - Xiaohong Zhao PY - 2015/09 DA - 2015/09 TI - Optimal Credit Card Customer Portfolio Construction Under Uncertain Situation BT - 2015 International Conference on Humanities and Social Science Research PB - Atlantis Press SN - 2352-5398 UR - https://doi.org/10.2991/ichssr-15.2015.25 DO - https://doi.org/10.2991/ichssr-15.2015.25 ID - Huang2015/09 ER -