Multi-Objective Programing for Bank's Asset-Liability Management: The Case of Iranian Banking Industry

摘要

Practically, Islamic banking in Iran is not much different from conventional banking principles. Many paradigms of the commercial banking are considered in the Islamic-Iranian banking. Owing to the fact that asset and liability optimization is an important issue in the banking industry, the present paper investigates the balance sheet and income statement to constitute a structure for measuring each asset's risk. The author uses the method of multiple objective programming to solve the problem of commercial bankchr('39')s diversified pursuit of low risk and high profit by considering the so-called duration constraint. To test the proposed model, the data were collected from an Iranian commercial bank named Mellat bank from June 2009 to December 2016. The results suggest that Mellat bank, as the biggest private bank in Iran, should reform its asset-liability allocation to achieve the optimal level.