Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution
So Yeon Chun , Miguel A. Lejeune
Published Online:27 Feb 2020
https://doi.org/10.1287/mnsc.2019.3378

方法解释：reformulation method based on the concavifiability concept to transform the nonlinear objective functions and to derive equivalent mixed-integer nonlinear reformulations with convex continuous relaxations.