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

Abstract

Credit allocation through the usage of Portfolio optimization mainly seeks to<br />maximize return and minimize the risk of the portfolio; but there are other important<br />issues including sustainable development which is important for government/public<br />sectors. This paper presents a novel credit allocation approach based on portfolio<br />optimization and investigates the effects of selected indicators of sustainable<br />development on credit allocation. In order to evaluate this case study, constraint<br />mean-variance was used as the extension of Markowitz portfolio theory. Selected<br />indicators were modeled as the mathematical model's objectives and constraints. In<br />order to show the applicability of the model, experimental results were given based<br />on credit allocation data for National Development Fund of Iran (NDFI). The results<br />show that sustainable development selected indicators exacerbate the return of NDFI<br />portfolio from one side and from the other side, its effect on NDFI risk is somewhat<br />similar but lighter.