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Book chapter

Models for selecting an effective order fulfilment

P. 1-5.

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.