Profit maximization and risk minimization are considered as objectives that financial institutions and credit agencies are always pursuing. This research was conducted within the framework of the granted facilities of Shahr Bank in Iran during 2012-2014, in which we have applied multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model in the framework of Markowitz method to optimize the portfolio of Shahr Bank facilities. So that, Shahr Bank investment risk was first estimated in various economic sectors during the period of 2012-2014 using the multivariate GARCH model, and accordingly, the risk of Shahr Bank credit portfolio has been calculated for these years. The risk of a credit portfolio is then optimized relative to its return by applying the risk minimization method to the forecasted returns of Markowitz. The research findings show that the optimal portfolio of facilities differs from the current portfolio of the bank and covers the various constraints and policies governing on granting the facilities. In order to minimize risk and achieve specific returns, Shahr Bank should invest in various economic sectors, assigning 44% of the facilities in the commercial sector, 27% of the facilities in the service sector, 11% of the facilities in the industry sector and 18% of the facilities in the housing sector.
