Investigate the Optimal Combination of Bank Credit Portfolios by Using Firefly Algorithm (Case Study of agricultural bank)

Document Type : Research Article

Authors

1 PhD student in Agricultural Economics, Ferdowsi University, Mashhad, Iran

2 Professor, Department of Agricultural Economics, Ferdowsi University, Mashhad, Iran

3 Associate Professor, Department of Agricultural Economics, Ferdowsi University, Mashhad, Iran

Abstract

One of the main activities of banks is the allocation of resources, one of the main aspects of which is determining the optimal combination of credits to various economic sectors. Lack of attention to the allocation of financial resources available to the bank, can cause serious damage to the entire economic system. In this study with the purpose of determining the optimal portfolio of the bank, each of the different activities of the creditor was considered as an asset. Given that the fluctuations in the ratio of lending credits collection are the main source of expected bank earnings fluctuations, so the amount of lending credits of each economic activity, which need to be collected are considered as return standard of, and its variance is consider as a risk. Also, in order to determine the range of expected return on assets, the historical average on each asset is calculated. Considering the necessity of reviewing this issue, in this paper, a multi-objective non-linear programming model using the firefly algorithm has been used to determine the optimal portfolio of agricultural bank credits. The main features of this research are the consideration of three optimistic pessimistic and hybrid strategies under different economic conditions. The results showed that the optimal pattern obtained from the firefly algorithm differs from the current model of distribution of bank credits.The present findings can provide managers with a roadmap for choosing the optimal portfolio consistent with the bank's preferences according to different estimates of return and risk, thus leading to the proper management of loans

Keywords

Main Subjects


ابونوری، ع.، میرزایی، ح. و هامونی، پ. (1397). «تعیین پرتفوی بهینه بانک کشاورزی با استفاده از برنامه‌ریزی آرمانی»، مجله مهندسی مالی و مدیریت اوراق بهادار، 35: 18-1.
اشراقی سامانی، ر.، شیخ محمدی، ف. و پورسعید،ع.(1394). «عوامل مؤثر بر عدم بازپرداخت تسهیلات بانک کشاورزی از سوی کشاورزان مورد: شهرستان ایلام»، فصلنامه اقتصاد فضا و توسعه روستایی، 4(2): 91-77.
خدادادکاشی، ف.، مانی، ک. و نجاریانپور، م. (1390). «تعیین ترکیب بهینه دارایی‌ها در بانک مسکن با هدف حداکثر سازی سود»، تهران، دانشگاه پیام نور، پایان‌نامه کارشناسی ارشد.
سلامی، ح. و بهمنی، ع. (1382). «بهینه یابی ترکیب فعالیت‌های سرمایه‌گذاری در بانک کشاورزی»، مجله علوم کشاورزی ایران، 34(2): 408-401.
صالحی، ف.، جعفری اسکندری، م. و صالحی، م. (1393). «بهینه‌سازی سبد تسهیلات اعطایی مؤسسات مالی با استفاده از برنامه‌ریزی ریاضی و الگوریتم ژنتیک (مطالعه موردی بانک تجارت)»، فصلنامه‌ی توسعه‌ی مدیریت پولی و بانکی، سال دوم، شمارة 1 ،5-22.
عسگرزاده، غ. 1385. مدل‌سازی ریاضی تعیین ترکیب بهینه پرتفوی تسهیلات اعطایی در مؤسسات مالی و اعتباری، فصلنامه اندیشه صادق، 130:23-107.
قاسمی، ج. و فرزاد، س. (1398). «مروری بر کاربرد الگوریتم‌های فراابتکاری در مباحث مالی»، بررسی‌های بازرگانی، 96: 77-56.
محرابیان، آ. و سیفی پور، ر. (1395). «آسیب‌شناسی مطالبات جاری در نظام بانکی ایران». فصلنامه اقتصاد مالی، 10(36): 85-73
مشهدیان ملکی، م.، سوری، ع.، ابراهیمی، م.، مهرآرا، م. و ماجد، و. (1399). « ترکیب بهینه سبد دارایی بانک‌ها در واکنش به شرایط اقتصادی (مطالعه موردی بانک تجارت)»، فصلنامه علمی مطالعات اقتصادی کاربردی ایران، 9(35): 173-155.
مهرآرا، م. و صادقیان،ص. ( 1387). «تعیین ترکیب بهینه وام در بخش‌های اقتصادی: (مطالعه موردی بانک سامان)»، فصلنامه اقتصاد مالی، 2(5): 134-116
میرانی، ن. و اسدزاده، ا. (1397). «بررسی نقش کیفیت نهادی بر توسعه صنعت گردشگری پزشکی در ایران: رویکرد الگوریتم جستجوی گرانشی و الگوریتم کرم شب‌تاب»، فصلنامه نظریه‌های کاربردی اقتصاد، 5(4):30-1
هوشمند، م.، دانش نیا، م.، عبدالهی، ز. و اسکندری پور، ز. (1393). «عوامل مؤثر بر سرمایه‌گذاری خصوصی در بخش کشاورزی ایران»، فصلنامه علمی مطالعات اقتصادی کاربردی ایران، 3(11) :255-239.
 
Abu Nouri A. A., Mirzaei, H., Hamoni, P. (2018). “Determining the Optimal Portfolio of Agricultural Bank Using Armani Planning”. Financial Engineering and Securities Management, 35:1-18. (in persian)
Aryanezhad M. B., Malekly H., Karimi-nasab M. (2011). “A fuzzy random multi-objective approach for portfolio selection”. Journal of Industrial Engineering International, 7: 12-21
Asgarzadeh Gh. (2006). “Mathematical Modeling to Determine the Optimal Composition of Credit Facility Portfolios in Financial and Credit Institutions”. Andisheh Sadegh Quarterly, Vol. 23, pp. 107-130. (in persian)
Dubinskas P., Urbšienė L. (2017). “Investment portfolio optimization by applying a genetic algorithm-based approach”. Ekonomika, 96(2):66-78.
Eletter S.F., Elrefae G.A., Yaseen S.G. (2010). “Neuro-based artificial intelligence model for loan decisions”. American Journal of Economics and Business Administration, 2: 27-34.
Eshraghi Samani R., SheikhMohammadi F., Poursaeed A. (2015). “Factors affecting the lack of repayment of agricultural bank facilities by farmers case: Ilam”. Journal of Space Economics and Rural Development, 4(2):77-91. (in persian)
Hao F.F., Liu Y.K. (2009). “Mean-variance models for portfolio selection with fuzzy random returns”.  Journal of Applied Mathematics and Computing, 30: 9–38.
Hooshmand M., Hashemnia M., Abdollahi email Z., Eskandaripour Z. (2015). “Factors Affecting Private Investment in Iran's Agricultural Sector”. Iranian Journal of Applied Economic Studies, 3(11):239-255. (in persian)
Jao Y.C. (2001). “Linear programming and banking in hong kong”. Journal of        Business Finance and Accounting 7: 489-500.
Khalifa H.A., ZeinEldin R.A. (2014). “Fuzzy programming approach for portfolio selection problems with fuzzy coefficients”.International Journal of Scientific Knowledge 4: 40-47.
Khodadadkashi F., mani K., Najarianpour M. (2011). “Determining the optimal composition of assets in the Maskan bank with the aim of maximizing profits”. Tehran, Payame Noor University, M.Sc. Thesis. (in persian)
Kuwornu J.K.M., Ohene-Ntow I.D., Asuming-Brempong S. (2012) “Agricultural credit allocation and constraint analyses of selected maize farmers in Ghana”. British Journal of Economics, Management & Trade, 2: 353-374
Lai k.k., Yu l., Wang Sh., Zhou Ch. (2006). “A Double-Stage Genetic Optimization”. Proceedings of the 13th international conference on Neural information processing, 928-937.
Lester, A. (2019). On the Theory and Practice of Multifactor Portfolio. The Journal of Portfolio Management Quantitative, 45 (3): 87-100.
Lin Ch., and Gen M.M. (2007). “An Effective Decision-Based Genetic Algorithm Approach to Multiobjective Portfolio Optimization Problem”. Applied Mathematical Sciences, 1(5): 201– 210.
Markowitz H. M. 1952. Portfolio selection. The Journal of Finance, 7:77–91.
Mashhadyanmaleki M., Souri A., Ebrahimi M., Mehrara M., Majed V. (2020). “Optimal Asset Allocation of Portfolio of Banking System in Different Conditions of Iranian Economy (Case Study of Tejarat Bank)”. Applied Economics studies, 9(35): 155-173. (in persian)
Mehrabian A., Seifipour R. (2016). “Pathology of current demands in Iran's banking system”. Financial Economics Quarterly, 10(36): 85-73. (in persian)
Mehrara M., and Sadeghian S. (2008). “Determining the optimal composition of loans in economic sectors (Case Study of Saman Bank)”. Financial Economics, 5: 116-134. (in persian)
Mirani N., Asadzadeh A. (2019). “The Role of Institutional Quality on The Development of Medical Tourism Industry in Iran: Gravitational Search Algorithm and Firefly Algorithm”. Journal of Applied Economic Theories, 5(4):1-30. (in persian)
Mohagheghnia M.J., Shirgholami M. (2013). “Optimal bank loan portfolio in iranian's banks (based linear programming modelling)”. Research Journal of Finance and Accounting, 4: 98-107.
Monsef A., Tabatabay S.M. (2013). “Optimum allocation of the bank resources and consumptions using linear planning technique: evidence from qavamin bank in Iran”. Asian Journal of Research in Business Economics and Management, 3: 322- 334.
Qasemi j., Farzad s. (2019). “An Overview of the Application of Meta Heuristic Algorithms in Financial Field”. Business Reviews, 96: 56-77. (in persian)
Salami H., Bahmani A. (2003). “Optimality of Agricultural Bank’s Investment Portfolio”. Iranian Journal of Agricultural Sciences, 34(2):401-408. (in persian)
Salehi F., Jafari Eskandari M., Salehi M. (2014). “Optimization of the portfolio of facilities granted by financial institutions using mathematical programming and genetic algorithms (Tejarat Bank case study)”. Journal of Development in Monetary & Banking Management, 2(1):5-22. (in persian)
Yang X.SH. (2010). “Nature-Inspired Metaheuristic Algorithms”. 2nd ed.
       Luniver Press. United Kingdom. 
Wu X.L., Liu Y.K. (2012). “Optimizing fuzzy portfolio selection problems by parametric quadratic programming”. Fuzzy Optimization and Decision Making 11: 411-449.