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

Document Type: Research Paper

Authors

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

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

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. 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.

Keywords

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
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