JSM 2005 - Toronto

Abstract #304284

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 324
Type: Contributed
Date/Time: Tuesday, August 9, 2005 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #304284
Title: Population Segmentation for Portfolio Strategies
Author(s): Timothy Lee*+
Companies: Credit Logistics
Address: 595 Croydon Lane, Alpharetta, GA, 30022, United States
Keywords: homogeneity ; re-sampling ; segmentation ; model performance
Abstract:

Portfolio strategies are decided based on the nature of portfolios. A large portfolio usually is partitioned into subgroups such that homogeneity among individuals within a subgroup is enhanced. Two cases of homogeneity can be considered in profile characteristics for each individual and functional relationship between profile characteristics and target behavior, such as creditworthiness or likelihood of response against solicitations. Partitioning criteria should be selected depending on the purpose of segmentation. If the purpose is to enhance the performance of models, the first type of homogeneity may not be ideal. In this study, recursive tree and regression analysis was applied along with a resampling technique. The study also includes discussions about issues of common practices from a practitioner's perspective.

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Revised March 2005