Asian Journal of Information Technology
ISSN: Online 1993-5994ISSN: Print 1682-3915
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.
How to cite this article:
Chung-Chang Lien , Chie-Bein Chen and Yang-Chieh Chin . Optimal Multi-Foreign-Currency Holding Positions by Genetic Algorithm.
DOI: https://doi.org/10.36478/ajit.2007.1228.1233
URL: https://www.makhillpublications.co/view-article/1682-3915/ajit.2007.1228.1233