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.
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