TY  - JOUR
T1  - Optimal Multi-Foreign-Currency Holding Positions by Genetic Algorithm
AU - , Chung-Chang Lien AU - , Chie-Bein Chen AU - , Yang-Chieh Chin 
JO  - Asian Journal of Information Technology
VL  - 6
IS  - 12
SP  - 1228
EP  - 1233
PY  - 2007
DA  - 2001/08/19
SN  - 1682-3915
DO  - ajit.2007.1228.1233
UR  - https://makhillpublications.co/view-article.php?doi=ajit.2007.1228.1233
KW  - Foreign currency optimal holding position
KW  -ARMA-GARCH
KW  -fuzzy non-linear programming
KW  -genetic algorithm
AB  - 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.
ER  -