The Optimum Portfolio Based on Konno Linear Programming Model (A Case Study on the Iran Insurance Company)
Publish place: Iranian Economic Review Journal، Vol: 24، Issue: 3
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IER-24-3_007
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
Iran Insurance Company intends to raise its financial credit and render enhanced services to the insured and the public. The need to meet financial obligations arising from the claims requires the determination of the optimum deposited claims reserve with banks. Therefore, the present research study aimed at finding the loss ratio (incurred losses to premium) and determining the optimum portfolio of risky and risk-free assets of insurance companies during ۱۹۹۶-۲۰۱۷ by conducting a case study on Iran Insurance Company. Based on the relevant data, the highest loss ratio of ۸۱ percent belonged to ۱۹۹۸-۹۹, and the lowest percentage of ۶۲ percent belonged to ۲۰۰۳-۲۰۰۴. Konno Mean-Absolute Deviation Portfolio Optimization Model was utilized to determine the optimum portfolio of Iran Insurance Company. According to the Konno Model, the optimum portfolios of risk-free and risky assets are as follows: Short-term banking deposits with ۹ percent, long-term banking deposits with ۴۶ percent, bank certificates of deposits (CDs) and participation papers with ۹ percent, stocks of companies listed on Tehran Stock Exchange (TSE) with ۱۷ percent, stocks of companies not listed on the TSE with ۱۱ percent, and other assets, i.e., risky assets, including housing loan for employees of insurance companies, offering facilities to the agencies of insurance companies, purchasing immovable assets, and other financial instruments and constructions with ۸ percent.
Keywords:
Portfolio optimization , Konno Linear Programming Model
Authors
Ezatollah Abbasian
Department of Public Administration, Faculty of Management, University of Tehran, Tehran, Iran.
Seyed Ehsan Hosseinidoust
Department of Economics, Faculty of Social Science & Economics, Bu-Ali Sian University, Hamadan, Iran.
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