Abstract
The problems of modelling cash flows are considered, which are determined by the procedures for optimising the order of execution of portfolio orders. The objective function assumes the maximisation of the average expected total income (accumulated on the deposit, taking into account the monetary amounts received from the implementation of portfolio orders) by a given point in time in the future. Considered approaches to the optimisation of such systems which allow taking into account: 1) the random nature of income from completed orders; 2) special additional costs, correlated both with the moment of the portfolio formation and with the moment of completion of order servicing.
Highlights
The paper considers methods, models and approaches to optimising solutions, which correlate with modifications of problems in the theory of service networks
We are talking about tasks associated with the requirement to maximise the average expected total income to a specific a priori given moment in the future
The order of execution of portfolio orders will determine the structure of the incoming cash flow
Summary
The paper considers methods, models and approaches to optimising solutions, which correlate with modifications of problems in the theory of service networks. Optimisation should consider the accompanying additional costs/losses of two types, correlated with different points in time (clarification is given below).
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