Chung-Chang Lien  , Chie-Bein Chen  , Yang-Chieh Chin  , 
    Optimal Multi-Foreign-Currency Holding Positions by Genetic Algorithm,
    Asian Journal of Information Technology,
    Volume 6,Issue 12,
    2007,
    Pages 1228-1233,
    ISSN 1682-3915,
    ajit.2007.1228.1233,
    (https://makhillpublications.co/view-article.php?doi=ajit.2007.1228.1233)
    Abstract: A foreign exchange bank may hold multi-foreign-currency to provide the customers with various foreign exchange services. When the short position occurs and deviates to the optimal holding position, the local trading bank will take a Non-Instantaneous Receipt (NIR) to revert the optimal holding position. The focus of this study is to use the ARMA-GARCH  model  and  Fuzzy   Non-Linear  Programming  (FNLP) to build a multi-foreign-currency fuzzy NIR-EOQ model. Finally, this study uses genetic algorithm to solve the optimal holding position problem. The result of this study, can provide the decision maker of local trading bank as a reference for multi-foreign-currency positions controlling.
    Keywords: Foreign currency optimal holding position;ARMA-GARCH;fuzzy non-linear programming;genetic algorithm