Linear programming in the foreign exchange markets

DOI10.1007/S11766-998-0030-6MaRDI QIDQ1272738zbMATH OpenOpenAlexFDO

Authors David Aviel

Publication date 3 January 1999

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-998-0030-6

zbMATH Keywords

optimal allocation of liquid funds

Mathematics Subject Classification ID

Linear programming (90C05) Applications of mathematical programming (90C90) Trade models (91B60)

Review text

This article demonstrates the use of a linear programming model to achieve an optimal allocation of liquid funds among various currencies in different countries. The model takes into account interest rates, projected changes in currency values, relative risk and corporate policies and safeguards.

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Cited in

(2)

• Linear programming and its application techniques in optimizing portfolio selection of a firm
• Currency arbitrage detection using a binary integer programming model

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