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...

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Bibliographic Details

Published in:	European journal of operational research
Main Authors:	Germain, Arnaud, Vrins, Frédéric
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.11.2025
Subjects:	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 Access:	Get full text
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