Fuzzy linear programming: foreign exchange market

Authors:
Biljana R. Petreska;Tatjana D. Kolemisevska-Gugulovska;Georgi M. Dimirovski
Affiliations:
Faculty of EE and IT, SS Cyril and Methodius University, Skopje, R. Macedonia;Faculty of EE and IT, SS Cyril and Methodius University, Skopje, R. Macedonia;Department of Computer Engineering, Dogus University of Istanbul, Turkey
Venue:
RSFDGrC'11 Proceedings of the 13th international conference on Rough sets, fuzzy sets, data mining and granular computing
Year:
2011

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Abstract

Strategic asset management is concerned with a complex process that usually involves a variety decision making situations. But managers, decision makers, and experts dealing with optimization problems often have a lack of information on the exact values of some parameters and in the same time are unable to put into the model important aspects that couldn't be defined as crisp. To deal with this kind of imprecise data, Fuzzy Sets provide a powerful tool to model and solve these problems. A method for solving Fuzzy Linear Programming problems is provided, and this method is applied to a concrete real problem for foreign exchange market. With proposed fuzzy model in this work, asset managers obtain a tool for making better decisions for FX transactions when exchange rates are not known.