浙江大学 控制科学与工程学院 工业控制研究所
Instit ute of Industrial Control, College of Control Science and Engineering, Zhejiang University
For fund managers, early and large redemption may bring liquidity risk, so it is necessary to finance in advance. In order to reduce the cost of financing and meet the demand for redemption, in this paper a mixed integer quadratic constraint programming model was established, which subjected to the actual business constraints, and the uncertainty of financing cost fluctuations was quantified as the variance of the cost. The model minimized both financing costs and risks. When the risk is not considered, the model degenerates into a deterministic optimization proposition. A simulation example was provided by financial institutions. The optimization results can take into account both the optimality of decision-making and the solving speed, which can meet the needs of the actual business. By comparing the decision schemes obtained by the deterministic and uncertain models, the methods of reducing financing risk were analyzed and summarized. A sensitivity analysis was carried out on the upper limit of variance, and the results further supported the existing opinions.