Optimization Model of Loan's Portfolio Utility Maximization Based on the Yield of VaR

Optimization of asset portfolio is the decision that maximizes the expected utility of investors.This paper controls the risk through Value at Risk(VaR),distributes loans according to the maximization of banks' utility on the efficient boundary of the loan's portfolio,and establishes the decision model for the maximization of the utility of the loan's portfolio based on the restriction of VaR.The major innovations and characterizations of this paper are as follows: First,it optimizes loans to distribute them through the maximization of the utility of loan's portfolio.This research solves the problem between the decision model and purpose.Second,the decision model for the utility optimization of existing studies will be a special example of the model in this paper,if the risk preference of the decision makers or decision-making groups of banks is in the allowed range of VaR.Third,this research maximizes the utility of loan's portfolio with the control of its VaR.If the loan's portfolio with the maximal utility is in the efficient boundary under the control of VaR,such portfolio is the optimal one.Otherwise,the portfolio with the maximal utility on the efficient boundary is the one.