Financial modeling
Rouhollah Kiyani Ghalehno; Sadegh Niroomand; Hosein Didekhani; Ali Mahmoodirad
Abstract
Purpose: Optimizing the negative balance of the financial portfolio of branches by observing the limits defined in the banking system of Iran.Methodology: In recent years, several models have been proposed for the investment portfolio. In banks, Fundraising operations are carried out in parallel ...
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Purpose: Optimizing the negative balance of the financial portfolio of branches by observing the limits defined in the banking system of Iran.Methodology: In recent years, several models have been proposed for the investment portfolio. In banks, Fundraising operations are carried out in parallel with investments. Attracting deposits and repaying loans are the main pillars of investment and form the basis of the resource and expenditure portfolio in the bank. In this research, a multi-objective planning model is designed to maximize returns and minimize risk.Findings: The approach of the problem is such that by taking administrative and personnel costs and interest rates on deposits and facilities and exchange rates of the domestic market can offer a variety of portfolios. The branches select the appropriate portfolio as the goal and work plan according to their requirements.Originality/Value: Due to the nature of the problem, which is hard nonlinear, the model is solved using NSGA-II evolutionary algorithm. The output of solving the problem is a set of optimal solutions on the Pareto frontier. Each of the portfolios is a strategic choice for the decision-maker, according to the level of return and risk.
Transportation
Ali Mahmoodirad; Hamed Ansory Savary
Abstract
In this paper, a multi- commodity planning problem with fixed-cost that is a special type of fixed charge transportation problem is developed. The proposed model determines the amount of products in the existing routes with the aim of minimizing the total cost to satisfy the demand of each customer. ...
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In this paper, a multi- commodity planning problem with fixed-cost that is a special type of fixed charge transportation problem is developed. The proposed model determines the amount of products in the existing routes with the aim of minimizing the total cost to satisfy the demand of each customer. As the problem is NP-hard, a moderate sized instance of this problem becomes intractable for general-purpose solvers. In order to overcome this difficulty, a Lagrangian relaxation approach is proposed. The computational experiments show that the Lagrangian relaxation algorithm is able to solve large sized problems with optimality gap compared to general-purpose solvers.
stochastic/Probabilistic/fuzzy/dynamic modeling
Ali Mahmoodirad; Marzieh Salehi-Dareh-Barik; Rohollah Taghaodi
Abstract
Uncertainty is one of the most important factors which affect transportation models. As the value of most of the parameters in real-word problems are not clear, this paper represent a cost-based transportation problem with type-2 fuzzy parameters. Applying possibility theory, the fuzzy objective function ...
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Uncertainty is one of the most important factors which affect transportation models. As the value of most of the parameters in real-word problems are not clear, this paper represent a cost-based transportation problem with type-2 fuzzy parameters. Applying possibility theory, the fuzzy objective function and fuzzy constraints are formulated by a credibility measure. In addition, type-2 fuzzy variables are crisped using possibillistic critical value reduction method, in order to convert the main model into two mixed-integer sub-models which are solvable by a parametric programming approach. A numerical example including crisp demand and cost values but fixed and variable probability distributions is solved by the proposed approach. The results prove the effectiveness and flexibility of the proposed approach.