Optimization of Allocated Exchange Portfolio by Global Criteria Method

Iran has experienced vast variation of exchange rate and its destructive effects during The last twenty years. Also, recently most of investors, importers and banks have sustained losses because of extreme increase of Euro price and fluctuations of other exchanges. Also, it seems that Iranian investors, beside the return criterion do not consider risk criterion so much, or that they do not pay enough attention to it as an important criterion for investment. So in this paper, we present a set of interobjectives of risk and return trade-offs along with an analysis of Iranian Sepah Bank investment in an allocated exchange portfolio and use of credit approach of Weighted Global Criterion (WGC) with assumption P = 2, ∞ to optimize the model of bi-criterion and we will present that this method is better than utility function method of Markowitz. Also, the results explain that bi-criterion model is consistent with Iranian exchange investment policy (based on fewer concentrations on USA Dollar).