Determine The Optimum Loan Portfolio Of Commercial Banks Using Quadratic Programming
Abstract
This research aims to determine the optimal loans portfolio of private commercial banks in Syria during the period (2007- 2015), depending on the quadratic programming method and compare it with the Actual loan portfolio of these banks in terms of (rate of return - the degree of risk and the coefficient of variation).
The research concludes to:
Optimal loan portfolio achieved a rate of return (11.140%) which is higher than the real yield of the loan portfolio rate (11.07%) of the Syrian Commercial Banks' own place of study.
It achieved the optimum degree of risk of the loan portfolio (2.097%) which is less than the degree of risk (3.858%) real Syrian loans to commercial banks own portfolio under study.
Optimal loan portfolio achieved a variation coefficient (0.188) which is less than the coefficient of variation (0348) for the portfolio of real loans and the Syrian Commercial Banks' own place of study.
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