Modelo de asignación óptimo de portafolio para gestión de cobranza

Abstract

In this paper we focus on a mathematical model that allows us to maximize the recovery of a certain portfolio of a financial institution, since the high levels of consumption in the Ecuadorian market along with the large supply of credit by financial institutions have led to certain sectors of the population problems of overindebtedness. The main idea of this model is to assign an optimal portfolio value to a specific number of collection companies in order to guarantee the maximum recovery of the portfolio assuming a certain level of risk. To solve this problem we use the Capital Asset Pricing Model (CAPM), which is based on the theory of investment portfolios. The adaptation of our portfolio allocation problem to the CAPM resulted in two models that converge to an optimal solution, no restrictions were imposed in the portfolio assignment of the first model. This approach generated an increase in the recovery of 48%. While, in the second model, an allocation limit restriction is imposed on a Company. In this case, an increase of 5% is obtained.