The Application of Multi-Purpose Genetic Algorithm in Optimizing Bank's Facilities Portfolio (A Case Study of the Granted Facilities in One of the Commercial Banks of Iran)

Delvi, Mohammad Reza; Baghi, Ebrahim; Abdolbaghi, Abdolmajid; Kazemi, Javad

doi:10.22034/iaar.2015.103802

The Application of Multi-Purpose Genetic Algorithm in Optimizing Bank's Facilities Portfolio (A Case Study of the Granted Facilities in One of the Commercial Banks of Iran)

Document Type : Original Article

Authors

Mohammad Reza Delvi

Ebrahim Baghi

Abdolmajid Abdolbaghi

Javad Kazemi

10.22034/iaar.2015.103802

Abstract

Gaining maximum benefit with the minimum of risk is an aim which finance and credit institutions always want to fulfill. The present research, which was done in the framework of the granted facilities One of the commercial banks from 1388 to 1390, studies the effective interest rate, dishonoring rate of the granted facilities within the format of Islamic contracts in different sections and determines the real portfolio of granting facilities. It then determines the optimum facilities portfolio using the multi-purpose genetic algorithm. The findings show that the resulted optimum facilities portfolio is different from the current portfolio of the bank and can tackle with the different limitations and policies in granting facilities. They also indicate that the effective interest rate and the degree of efficiency of facilities based on the presented model are higher than those of the current facilities portfolio.

Keywords

portfolio optimization

genetic algorithm

facilities

efficiency

dishonoring rate