Open AccessOPTIMAL ALLOCATION OF BANK CREDITS TO APPLICANTS IN AGRICULTURAL SECTORS
Author(s) -
Abouzar Nahvi,
M Ghorbani,
M Sabouhi,
Arash Dourandish,
Arash Dourandish,
Arash Dourandish,
Arash Dourandish
Publication year - 2021
Publication title -
plant archives/plant archives
Language(s) - English
Resource type - Journals
eISSN - 2581-6063
pISSN - 0972-5210
DOI - 10.51470/plantarchives.2021.v21.no1.070
Subject(s) - modern portfolio theory , portfolio , interval (graph theory) , economics , portfolio optimization , actuarial science , fuzzy logic , computer science , impossibility , mathematical optimization , econometrics , mathematics , finance , artificial intelligence , combinatorics , political science , law
Credit portfolio management is one of the fundamental aspects of banking that can lead to the loss of bank revenue if not properly managed. The expected return and risk in the choice of portfolio cannot be accurately predicted. Considering this impossibility and given the limitations faced by the banking system, this article uses the concept of interval numbers in the Fuzzy Set Theory to extend the Markowitz mean variance model to a non-linear interval multi-objective model. Three strategies were presented in this model, including optimistic, pessimistic, and mixed strategies, and the Genetic algorithm was used to solve the model. This model was ultimately examined at Keshavarzi Bank to determine the optimal credit portfolioCredit portfolio management is one of the fundamental aspects of banking that can lead to the loss of bank revenue if not properly managed. The expected return and risk in the choice of portfolio cannot be accurately predicted. Considering this impossibility and given the limitations faced by the banking system, this article uses the concept of interval numbers in the Fuzzy Set Theory to extend the Markowitz mean variance model to a non-linear interval multi-objective model. Three strategies were presented in this model, including optimistic, pessimistic, and mixed strategies, and the Genetic algorithm was used to solve the model. This model was ultimately examined at Keshavarzi Bank to determine the optimal credit portfolio. The results showed that this bank’s risk, thus leading to the proper management of loans.