关键词: 贷款组合, 机会准则, 模糊变量, 模糊模拟, 遗传算法

Abstract: By characterizing the return rates as fuzzy variables，this paper proposes the chance criterion models for optimization decision-making of loan portfolio of commercial banks，i.e.，possibility criterion model，necessity criterion model and credibility criterion model.For the case where the loan return rates are special triangular fuzzy variables，the crisp equivalents of the models are given and can be solved with the traditional methods.The hybrid optimization algorithm is employed to solve the models where the membership functions of loan return rates are complex.The algorithm integrates fuzzy simulation，neural network，genetic algorithm and simultaneous perturbation stochastic approximation algorithm.Numerical examples illustrate the effectiveness of the models and the algorithm.

Key words: loan portfolio, chance criterion, fuzzy variable, fuzzy simulation, genetic algorithm（GA）