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Modifying the resource portfolio and expenses of Iranian bank branches using multi-objective optimization models
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R. Kiani Ghalehno   |
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Abstract: (653 Views) |
One of the serious challenges in financial and credit institutions is the reform of the financial portfolio of branches with negative returns. The financial portfolio of banks has a combined structure of deposit attraction and investment, the main purpose of this study is to modify the deposit portfolio and facilities of branches so that the outcome of income and expenses tends towards positive returns.
Inspired by the basic model proposed by Markowitz [1], this study provides a model for financial and credit institutions tailored to their needs. model parameters are: The current portfolio status of a branch, along with other factors that affect portfolio performance. model variables are: Changes that will be made to the numerical values of the initial portfolio to modify the model from negative to positive returns. In order to be able to modify the portfolio in multi-period, the one-period to multi-period model has been developed.
Countries like Iran, where government decisions affect interest rates on deposits and loans, and they have different types of deposits and loans with different rates, it is necessary to establish a logical correspondence between different types of deposits and facilities. The main finding of this research is to provide a model that can improve the branches that have a portfolio with negative returns, with an achievable program, while observing the government and upstream constraints. The proposed models used for the Agricultural Bank of Iran , and the results have been analyzed. The results show that despite the restrictions that banks have to follow the orders of the government and the upstream, they have to create a domestic market and inject some kind of virtual deposit and loans, Reform the portfolio of branches with negative returns.
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| Keywords: Multi-Period Portfolio, Financial and Credit Institutions, NSGA-II Algorithm, Non-Linear and Multi-Objective Model. |
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Full-Text [PDF 657 kb]
(585 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2021/09/7 | Accepted: 2022/03/14
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