# An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

### Kiyoharu Tagawa

#### 2020

#### Abstract

Portfolio optimization using loan is formulated as a chance constrained problem in which the borrowing money from loan can be invested in risk assets. The chance constrained problem is proven to a convex optimization problem. The low interest rate of loan benefits borrowers. On the other hand, the high interest rate of loan doesn’t benefits lenders because such a loan is not often used. For deciding a proper interest rate of loan that benefits both borrowers and lenders, a new method is proposed. Experimental results show that the loan is used completely to improve the efficient frontier if the interest rate is decided by the proposed method.

Download#### Paper Citation

#### in Harvard Style

Tagawa K. (2020). **An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan**.In *Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,* ISBN 978-989-758-427-5, pages 15-24. DOI: 10.5220/0009208400150024

#### in Bibtex Style

@conference{complexis20,

author={Kiyoharu Tagawa},

title={An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan},

booktitle={Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,},

year={2020},

pages={15-24},

publisher={SciTePress},

organization={INSTICC},

doi={10.5220/0009208400150024},

isbn={978-989-758-427-5},

}

#### in EndNote Style

TY - CONF

JO - Proceedings of the 5th International Conference on Complexity, Future Information Systems and Risk - Volume 1: COMPLEXIS,

TI - An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan

SN - 978-989-758-427-5

AU - Tagawa K.

PY - 2020

SP - 15

EP - 24

DO - 10.5220/0009208400150024