Abstract: The return rates of loan in bank often have fuzzy random characteristic in many cases, this paper described the return rates as fuzzy random variables, used semivariance as the risk measure method, constructed the optimization model of loan portfolio with fuzzy random return rates under semivariance constraints. The purpose of the model is to maximize the primitive chance measure when the total return rate is no less than the preset value at a given confidence level under semivariance constraints. The hybrid intelligent algorithm was employed to solve the model, the algorithm integrates fuzzy random simulation, neural network and genetic algorithm. At last, numerical examples illustrate the feasibility and effectiveness of the model and the algorithm.

Key words: Primitive chance measure, Loan portfolio, Fuzzy random variable, Fuzzy random simulation, Hybrid intelligent algorithm