Designing a multi-period credit portfolio optimization model a nonlinear multi-objective fuzzy mathematical modeling approach (Case study: Ansar banks affiliated to Sepah Bank)

Tehranipour, Ali Asghar; Abbasi, Ebrahim; Didehkhani, Hosein; Naderian, Aeash

doi:10.22075/ijnaa.2021.23118.2478

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	Designing a multi-period credit portfolio optimization model a nonlinear multi-objective fuzzy mathematical modeling approach (Case study: Ansar banks affiliated to Sepah Bank)
International Journal of Nonlinear Analysis and Applications
مقاله 100، دوره 12، شماره 1، مرداد 2021، صفحه 1261-1277 اصل مقاله (556.39 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22075/ijnaa.2021.23118.2478
نویسندگان
Ali Asghar Tehranipour¹؛ Ebrahim Abbasi^* ²؛ Hosein Didehkhani¹؛ Aeash Naderian³
¹Department of Financial Engineering, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
²Department of Financial Management, Alzahra University, Tehran, Iran
³Department of Accounting, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
تاریخ دریافت: 21 آذر 1399، تاریخ بازنگری: 15 اسفند 1399، تاریخ پذیرش: 25 اسفند 1399
چکیده
This study aims to design a multi-period credit portfolio optimization model with a nonlinear multi-objective fuzzy mathematical modeling approach. In terms of data collection, this study is a descriptive-survey research and in terms of the nature and purpose of the research, it is an applied one. The statistical population of the research includes all facility files of the last 10 years as well as the statements of financial position of Ansar Bank branches affiliated with Sepah Bank, selected by census method. The risk criteria used in the models include Average Value at Risk (AVaR), Conditional Value at Risk (CVAR) and Semi-Entropy. First, having reviewed the research literature, the objectives and indices of the portfolio optimization issue were investigated based on the practical character of this issue and the main indices were selected. Then, each of the objectives and constraints were specified in a state of uncertainty and ambiguity, based on the principles of fuzzy credibility theory, for a state in which the expected rate of stock return is a triangular fuzzy number. Finally, three multi-objective fuzzy models were designed based on the selected criteria. Research models were implemented using MOPSO algorithm. The software used in conducting the research was MATLAB software. The results indicated that the CVAR model performed better than the other two models, i.e. AVAR and Semi-Entropy, in evaluating optimal portfolios.
کلیدواژه‌ها
Banking؛ Iran؛ Credit Portfolio

مراجع
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Designing a multi-period credit portfolio optimization model a nonlinear multi-objective fuzzy mathematical modeling approach (Case study: Ansar banks affiliated to Sepah Bank)