Abstract:
Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sustainabledevelopment on credit allocation. In order to evaluate this case study, constraintmean-variance was used as the extension of Markowitz portfolio theory. Selectedindicators were modeled as the mathematical model’s objectives and constraints. Inorder to show the applicability of the model, experimental results were given basedon credit allocation data for National Development Fund of Iran (NDFI). The resultsshow that sustainable development selected indicators exacerbate the return of NDFIportfolio from one side and from the other side, its effect on NDFI risk is somewhatsimilar but lighter.
Machine summary:
Investigating the Effect of Selected Sustainable Development Indicators on Credit Allocation: the Case of National Development Fund of Iran Seyed Mahdi Sadatrasoul , Mohammazreza Gholamian, Kamran Shahanaghi School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran (Received: 16 June, 2014; Revised: 23 December, 2014; Accepted: 24 December, 2014) Abstract Credit allocation through the usage of Portfolio optimization mainly seeks to maximize return and minimize the risk of the portfolio; but there are other important issues including sustainable development which is important for government/public sectors.
, 2010) Introducing a new maximum CRRA utility and minimum VAR objective to optimize strategic assets allocation of SWFs (Gintschel and Scherer, 2008; Balding and Yao, 2011) (Alhashel, 2015 ) (Bertoni, 2014) Introducing a portfolios of different non-credit asset classes in SWFs. Reviews the investment behavior of SWFs and concluded that decision making in investment portfolios are based on economic motives rather than political.
Problem formulation This sub-section is organized as follows, first the notations used to describe the models are described; second sustainable development selected indicators are discussed including its implementation in terms of objective functions and constraints.
Then the degree of satisfaction for each goal can be found using the following equation (25) membership function of the fuzzy set theory: (به تصویر صفحه مراجعه شود) Therefore the solution of multi objective problem can be solved by using the following Tchebycheff problem (26) (Shi & Xia 1997, Osman, Abo-Sinna et al.