Research On Inventory Pledge Decision Optimization Based On Modern Portfolio Theory

Financing difficulty is an important factor restricting the development of SMEs.In the circumstance of limited equity financing and endogenous financing,debt financing using fixed assets and current assets is an effective way for SMEs to solve financing problems.In recent years,with the development of supply chain finance,inventory pledged loan business has become the focus of academia as an innovative model of supply chain finance.Its business model and risk are the focus of academic research.The development of supply chain finance in our country is still in the initial stage,the development in many aspects is not mature enough,and the risk in the actual operation is facing uncertainties.The risk management technology of banks needs to be further strengthened.Aiming at the academic problems that the inventory pledged loan business mainly concentrates on the single pledged inventory and the existence of the combination pledge,the paper explores the inventory portfolio pledged loan business by reference to the investment portfolio theory.Taking the commission-supervisory model as an example,Price volatility risk,portfolio pledge rate and financing interest rate decision-making,credit risk generation mechanism and other risk management issues.This paper first draws lessons from the portfolio theory in the securities market for the portfolio portfolio loan risk diversification portfolio risk,the use of genetic algorithms to solve the model,under the most risky circumstances,to determine the proportion of portfolio pledges.Then,the optimal pledge decision and financing rate of the bank are obtained under the circumstance that the price of the combined pledged stock fluctuates randomly.Finally,the mechanism of the credit risk of the borrowing company under the random fluctuation of the combined pledged price is analyzed.In this paper,we find that the portfolio theory model can disperse the non-systematic risks of the inventory portfolio loan business,and the systemic risk can not be dispersed through the portfolio.The portfolio theory is of great significance to the study of the risk management of the inventory portfolio loan business.Under the circumstance that the price of the composite pledges fluctuates randomly at the end of the period,the combined pledge rate is inversely proportional to the initial price of the portfolio pledge.Under other conditions,The fluctuation ofthe price of the combined pledges at the end of the period will affect the stability strategy of the evolution of the banks and the borrowing enterprises,that is,the credit risk of the borrowing enterprises.In addition,the factors that affect the credit risk of the borrower include the costs of bank verification,fines,rebates,defaults on reputation gains and losses and bank regulatory penalties.Based on the analysis,this paper puts forward corresponding risk management measures and provides some reference value for the sustained and healthy development of supply chain finance.