نوع مقاله : مقاله کاربردی

نویسندگان

1 گروه مهندسی صنایع، واحد علی آباد کتول، دانشگاه آزاد اسلامی، علی آباد کتول، ایران.

2 گروه مهندسی صنایع، مرکز آموزش عالی فیروزآباد، فیروزآباد، ایران.

3 گروه ریاضی، واحد مسجد سلیمان، دانشگاه آزاد اسلامی، مسجد سلیمان، ایران.

10.22105/dmor.2021.257591.1260

چکیده

هدف: بهینه‌سازی تراز منفی پرتفوی مالی شعب با رعایت محدودیت‌های تعریف شده در نظام بانکی ایران.
روش‌شناسی پژوهش: در سال­‌های اخیر مدل­های متعددی برای سبد سرمایه‌­گذاری پیشنهاد شده است. در بانک‌­ها، عملیات سرمایه‌پذیری به موازات سرمایه­‌گذاری انجام می­‌شود. جذب سپرده و پرداخت وام ارکان اصلی سرمایه‌­پذیری و سرمایه‌گذاری هستند و اساس پرتفوی منابع و مصارف در بانک را شکل می‌­دهند. در این پژوهش یک مدل برنامه‌ریزی چند هدفه طراحی شده است، که اهداف آن ماکزیمم‌سازی بازدهی و مینیم‌سازی ریسک هستند.
یافته‌ها:  رویکرد مسئله بگونه‌­ای است که با اخذ هزینه‌­های اداری و پرسنلی و نرخ‌های سود سپرده و تسهیلات و نرخ مبادلات بازار داخلی بتواند پرتفوهای متنوع پیشنهاد دهد. شعب متناسب با اقتضائات خود پرتفوی مناسب را به‌عنوان هدف و برنامه‌­کاری انتخاب می­‌کنند.
اصالت/ارزش افزوده علمی:  به دلیل ماهیت مسئله، که غیرخطی سخت می‌­باشد، مدل با استفاده از الگوریتم تکاملی NSGA-II حل شده است. خروجی حل مسئله، مجموعه‌ای از جواب‌های بهینه، روی مرز پاراتو می‌­باشد. هر یک از پرتفوها، متناسب با میزان بازدهی و ریسک، یک انتخاب استراتژیک برای تصمیم‌گیرنده است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Multi-Objective Planning Model for Optimizing the Portfolio of Financial and Credit Institutions: A Case Study of Sistan and Baluchestan Agricultural Bank

نویسندگان [English]

  • Rouhollah Kiyani Ghalehno 1
  • Sadegh Niroomand 2
  • Hosein Didekhani 1
  • Ali Mahmoodirad 3

1 Department of Industrial Engineering, Aliabad Katoul Branch, Islamic Azad University,, Aliabad Katoul, Iran.

2 Department of Industrial Engineering, Firouzabad Institute of Higher Education, Firouzabad,, Iran.

3 Department of Mathematics, Masjed-Soleiman Branch, Islamic Azad University, Masjed-Soleiman, Iran.

چکیده [English]

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.

کلیدواژه‌ها [English]

  • Portfolio
  • Financial and credit institutions
  • Return and risk
  • NSGA-II algorithm
  • Multi-objective model
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