中国台湾多种外币最佳存量控制研究

外汇交易银行的外币抛补策略,是根据各外汇交易银行的外币买、卖汇单形成的长、短头寸及最佳持有头寸来决定抛补动作的。当外币存量呈现短头寸或偏离最佳持有头寸时,外汇交易银行将透过外币的买汇单进行补货,使其回归最佳持有头寸。因此,在修改Ha-midi和Bell构建的单一货币存量模式基础,并选取台湾某商业银行一地区性分行为研究对象,建构在存货总成本最小考虑下的最佳外汇存量模型,以解决外汇交易银行多种外币的最佳采购量问题。另外,以ARMA-GARCH模型来进行外币汇率的预测,以更合理地衡量以台币(新台币)为准的外币持有总量。最后,以Evolver 4.0软件包,进行基因算法(Genetic Algorithm)的运算,在最小存量总成本的考虑下,求出此存量模型的最佳采购量。

Qptimizing Multi-Foreigh-Currency Inventory Control in Taiwan

Dump or replenishment policy of foreign currency trading bank is depended on the difference in amount of buying and selling orders.This leads to the long or short position.The optimal holding position of foreign currency inventory in trading bank and the execution of dump or replenishment are decided by those situations.When the short position occurs and deviates to the optimal holding position,the trading bank will take replenishment receipts to revert the optimal holding position.This study is based on Hamidi and Bell's single-item inventory control model to construct the optimal position problem of foreign currency inventory under the objective of minimizing total cost.This study also attempts to use ARMA-GARCH model to forecast the foreign exchange rate to meet the realizing situation in measuring the optimal foreign currency inventory based on the home currency(or $NT).Finally,this study uses a genetic algorithm by applying the Evolver 4.0 software package to calculate the optimal holding position under the objective of minimizing total cost.The result of this study can provide the decision maker of local trading bank as a reference for multi-foreign-currency positions controlling.