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

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sustainabledevelopment on credit allocation. In order to evaluate this case study, constraintmean-variance was used as the extension of Markowitz portfolio theory. Selectedindicators were modeled as the mathematical model’s objectives and constraints. Inorder to show the applicability of the model, experimental results were given basedon credit allocation data for National Development Fund of Iran (NDFI). The resultsshow that sustainable development selected indicators exacerbate the return of NDFIportfolio from one side and from the other side, its effect on NDFI risk is somewhatsimilar but lighter.

کلیدواژه ها:

Credit Allocation ، National Development Fund of Iran ، Portfolio theory ، Sustainable development