Credit selection in collateralized loan obligation: Efficient approximation through linearization and clustering

•CLOs help channel funds to SMEs and strengthen real-economy financing.•Securitization lowers SME funding costs for financial institutions.•Loan selection is an NP-hard mixed-integer nonlinear optimization task.•Large pool approximation, linearization, and clustering improve efficiency.•Method outpe...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	European journal of operational research
Hauptverfasser:	Germain, Arnaud, Vrins, Frédéric
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier B.V 01.11.2025
Schlagworte:	Collateralized loan obligation Mixed-integer nonlinear programming OR in banking Portfolio optimization Portfolio optimization Collateralized loan obligation OR in banking Mixed-integer nonlinear programming
ISSN:	0377-2217
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!