Cross-Selling Investment Products with a Win-Win Perspective in Portfolio Optimization

• 成果类型: Article
• 署名作者: Ali, Ozden Gur; Akcay, Yalcin; Sayman, Serdar; Yilmaz, Emrah; Ozcelik, M. Hamdi
• 署名单位: Koc University; Koc University; Koc University; Koc University; Yapi Kredi Bank
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2016.1556
• 发表日期: 2017
• 页码: 55-74
• 关键词: customer; systems

摘要

We propose a novel approach to cross-selling investment products that considers both the customers' and the bank's interests. Our goal is to improve the risk-return profile of the customer's portfolio and the bank's profitability concurrently, essentially creating a win-win situation, while deepening the relationship with an acceptable product. Our cross-selling approach takes the customer's status quo bias into account by starting from the existing customer portfolio, rather than forming an efficient portfolio from scratch. We estimate a customer's probability of accepting a product offer with a predictive model using readily available data. Then, we model the investment product cross-selling problem as a nonlinear mixed-integer program that maximizes a customer's expected return from the proposed portfolio, while ensuring that the bank's profitability improves by a certain factor. We implemented our methodology at the private banking division of Yapi Kredi, the fourth-largest private bank in Turkey. Empirical results from this application illustrate that (1) a traditional mean-variance portfolio optimization approach does not increase portfolio returns and reduces overall bank profits, (2) a standard cross-selling approach increases bank profits at the expense of the customers' portfolio returns, and (3) our win-win approach increases the expected portfolio returns of customers without increasing their variances, while simultaneously improving bank profits substantially.