@article{MAKHILLAJIT20076125494,
    title = {Optimal Multi-Foreign-Currency Holding Positions by Genetic Algorithm},
    journal = {Asian Journal of Information Technology},
    volume = {6},
    number = {12},
    pages = {1228-1233},
    year = {2007},
    issn = {1682-3915},
    doi = {ajit.2007.1228.1233},
    url = {https://makhillpublications.co/view-article.php?issn=1682-3915&doi=ajit.2007.1228.1233},
    author = {Chung-Chang Lien,Chie-Bein Chen and},
    keywords = {Foreign currency optimal holding position,ARMA-GARCH,fuzzy non-linear programming,genetic algorithm},
    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.}
    }