Investigating the Effect of Selected Sustainable Development Indicators on Credit Allocation: the Case of National Development Fund of Iran

Document Type : Research Paper


1 School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

2 School of Industrial Engineering, Iran University of Science and Technology


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. This paper presents a novel credit allocation approach based on portfolio
optimization and investigates the effects of selected indicators of sustainable
development on credit allocation. In order to evaluate this case study, constraint
mean-variance was used as the extension of Markowitz portfolio theory. Selected
indicators were modeled as the mathematical model’s objectives and constraints. In
order to show the applicability of the model, experimental results were given based
on credit allocation data for National Development Fund of Iran (NDFI). The results
show that sustainable development selected indicators exacerbate the return of NDFI
portfolio from one side and from the other side, its effect on NDFI risk is somewhat
similar but lighter.


Main Subjects

Article Title [Persian]

بررسی تأثیر متغیرهای منتخب توسعة پایدار بر تخصیص منابع: موردکاوی صندوق توسعة ملی

Authors [Persian]

  • سید مهدی سادات رسول 1
  • محمدرضا غلامیان 2
  • کامران شهانقی 2
1 دانشکدة مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران
2 دانشکده مهندسی صنایع ، دانشگاه علم و صنعت ایران
Abstract [Persian]

به صورت سنتی، تخصیص منابع اعتباری با استفاده از نظریة سبد به دنبال حداکثرسازی بازده و حداقل نمودن ریسک است، لکن هنگامی که این تخصیص باید بر مبنای الگوی توسعه و توسط نهادی دولتی یا بخش عمومی انجام شود، این تخصیص باید حداقل الزام‌های مورد نیاز برای توسعة پایدار را پشتیبانی کند. این تحقیق به دلیل برخی محدودیت‌ها، تأثیر متغیرهای منتخب توسعة پایدار را بر الگوی تخصیص سنتی مبتنی بر ریسک و بازده بررسی کرده است. بدین منظور متغیرهای منتخب توسعة پایدار پس از انجام بررسی‌ها و انتخاب در مدل ریاضی مبتنی بر نظریة سبد به صورت اهداف و محدودیت‌ها به کارگرفته شده و تأثیرات آن بر پاسخ مدل ریاضی بررسی شده است. به منظور نشان دادن کاربردی بودن مدل، مثال عددی برای صندوق توسعة ملی ارائه شده و نتایج تخصیص قبل و پس از به کارگرفتن متغیرهای توسعة پایدار بیان شده است.

Keywords [Persian]

  • تخصیص منابع
  • توسعة پایدار
  • صندوق توسعة ملی ایران
  • نظریة سبد
Anagnostopoulos, K. P. & G. Mamanis (2011). "The mean–variance
cardinality constrained portfolio optimization problem: An
experimental evaluation of five multiobjective evolutionary
algorithms". Expert Systems with Applications, 38(11), 14208-14217.
Balding, C. and Y. Yao (2011). "Portfolio Allocation for Sovereign Wealth
Funds in the Shadow of Commodity-Based National Wealth".
International Finance Review, 12, 293-312.
Chang, T. J.; N. Meade; J. E. Beasley & Y. M. Sharaiha (2000). "Heuristics
for cardinality constrained portfolio optimisation". Computers &
Operations Research, 27(13), 1271-1302.
Crama, Y. & M. Schyns (2003). "Simulated annealing for complex portfolio
selection problems". European Journal of operational research,
150(3), 546-571.
De Benedictis, L. & M. Tamberi (2001). "A note on the Balassa index of
revealed comparative advantage". Available at SSRN 289602.
Deng, G. F., W. T. Lin and C. C. Lo (2011). "Markowitz-based portfolio
selection with cardinality constraints using improved particle swarm
optimization". Expert Systems with Applications. 39, 4558-4566.
Dev, S. (2005). Bill Hopwood*, Mary Mellor and Geoff O’Brien Sustainable
Cities Research Institute. University of Northumbria, Newcastle on
Tyne, UK."
Economic, U. N. D. o. & S. Affairs (2001). Indicators of sustainable
development: Guidelines and methodologies, United Nations,
Economic & Social Affairs.
Fernández, A. & S. Gómez (2007). "Portfolio selection using neural
networks". Computers & Operations Research, 34, 1177-1191.
Fonseca, C. M. & P. J. Fleming (1993). "Genetic algorithms for
multiobjective optimization: Formulation, discussion and
generalization". Proceedings of the fifth international conference on
genetic algorithms, San Mateo, California.
Gintschel, A. & B. Scherer (2008). "Optimal asset allocation for sovereign
wealth funds". Journal of Asset Management, 9(3), 215-238.
Golusin, M.; O. M. Ivanovic & N. Teodorovic (2011). "The review of the
achieved degree of sustainable development in South Eastern
Europe—The use of linear regression method". Renewable and
Sustainable Energy Reviews, 15(1), 766-772.
Gupta, P.; M. K. Mehlawat & A. Saxena (2008). "Asset portfolio optimization using fuzzy mathematical programming". Information 
Sciences, 178(6), 1734-1755.
Heintz, J.; R. Pollin & H. Garrett-Peltier (2009). How infrastructure
investments support the US economy: employment, productivity and
growth. Political Economy Research Institute (PERI), University of
Massachussetts Amberst.
Hunt, S. D. & R. M. Morgan (1995). "The comparative advantage theory of
competition". The Journal of Marketing, (59), 1-15.
Ivanovic, O. D. M.; M. T. Golusin, S. N. Dodic & J. M. Dodic (2009).
"Perspectives of sustainable development in countries of Southeastern
Europe". Renewable and Sustainable Energy Reviews, 13(8), 2079-
Knill, A. M.; B. S. Lee & N. Mauck (2011). "Sovereign wealth fund
investment and the return-to-risk performance of target firms".
Journal of Financial Intermediation, 21(2), 315-340.
Laursen, K. (1998). Revealed comparative advantage and the alternatives as
measures of international specialisation. DRUID Working Papers.
Metaxiotis, K. & K. Liagkouras (2012). Multiobjective Evolutionary
Algorithms for Portfolio Management: A comprehensive literature
review. Expert Systems with Applications.
Osman, M.; M. Abo-Sinna; A. Amer & O. Emam (2004). "A multi-level
non-linear multi-objective decision-making under fuzziness". Applied
Mathematics and Computation. 153(1), 239-252.
Sadjadi, S. J.; M. Gharakhani & E. Safari (2012). "Robust optimization
framework for cardinality constrained portfolio problem". Applied
Soft Computing, 12(1), 91-99.
Sakawa, M. (1993). Fuzzy sets and interactive multiobjective optimization,
Plenum Press New York.
SCI, s. c. o. I. (2011). "Iran’s statistical yearbook", 2013, from
Selection, P. & E. Diversification (1952). "Harry Markowitz". The Journal
of Finance, 7(1), 77-91.
Shaw, D. X.; S. Liu and L. Kopman (2008). "Lagrangian relaxation
procedure for cardinality-constrained portfolio optimization".
Optimisation Methods & Software, 23(3), 411-420.
Shi, X. & H. Xia (1997). "Interactive bilevel multi-objective decision
making". Journal of the operational research society, 48(9), 943-949.
Streimikiene, D.; R. Ciegis and D. Grundey (2007). "Energy indicators for
sustainable development in Baltic States". Renewable and Sustainable
Energy Reviews, 11(5), 877-893. 
Utkulu, U. & D. Seymen (2004). Revealed Comparative Advantage and
Competitiveness: Evidence for Turkey vis-à-vis the EU/15. European
Trade Study Group 6th Annual Conference, ETSG, Nottingham.
Yu, J.; B. Xu; H. Yang & Y. Shi (2010). "The strategic asset allocation
optimization model of sovereign wealth funds based on maximum
CRRA utility & minimum VAR". Procedia Computer Science, 1(1),
Zimmermann, H. J. (1978). "Fuzzy programming and linear programming
with several objective functions". Fuzzy sets and systems, 1(1), 45-55.