The banking industry is one of world’s leading industries. Being a commercial bank, giving loans is the primary activity and bank’s managers in a competitive environment, make decisions about distribution of financial assets. Taking deposits from the public and loans to customers in form of Islamic contracts is the main functions of banks in Iran, so the banks should respond to the demands of customers for loans with considering all type of risks, because the most important reason of the bank's failure has been problem of loans portfolio management. So one of important questions that have been raised in context of asset management is how much the optimal size of each type of facilities should be? In the other words, the main object of this paper is answering to question that how much loans maximize return and minimize the risk in a portfolio management structure. According to linear programming approach, we can obtain the optimal loans portfolio and support bank’s managers in their related decision making.
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