Search results for: secure mean and variance
1872 Secure Multiparty Computations for Privacy Preserving Classifiers
Authors: M. Sumana, K. S. Hareesha
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Secure computations are essential while performing privacy preserving data mining. Distributed privacy preserving data mining involve two to more sites that cannot pool in their data to a third party due to the violation of law regarding the individual. Hence in order to model the private data without compromising privacy and information loss, secure multiparty computations are used. Secure computations of product, mean, variance, dot product, sigmoid function using the additive and multiplicative homomorphic property is discussed. The computations are performed on vertically partitioned data with a single site holding the class value.Keywords: homomorphic property, secure product, secure mean and variance, secure dot product, vertically partitioned data
Procedia PDF Downloads 4121871 Improving Security by Using Secure Servers Communicating via Internet with Standalone Secure Software
Authors: Carlos Gonzalez
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This paper describes the use of the Internet as a feature to enhance the security of our software that is going to be distributed/sold to users potentially all over the world. By placing in a secure server some of the features of the secure software, we increase the security of such software. The communication between the protected software and the secure server is done by a double lock algorithm. This paper also includes an analysis of intruders and describes possible responses to detect threats.Keywords: internet, secure software, threats, cryptography process
Procedia PDF Downloads 3331870 Four Phase Methodology for Developing Secure Software
Authors: Carlos Gonzalez-Flores, Ernesto Liñan-García
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A simple and robust approach for developing secure software. A Four Phase methodology consists in developing the non-secure software in phase one, and for the next three phases, one phase for each of the secure developing types (i.e. self-protected software, secure code transformation, and the secure shield). Our methodology requires first the determination and understanding of the type of security level needed for the software. The methodology proposes the use of several teams to accomplish this task. One Software Engineering Developing Team, a Compiler Team, a Specification and Requirements Testing Team, and for each of the secure software developing types: three teams of Secure Software Developing, three teams of Code Breakers, and three teams of Intrusion Analysis. These teams will interact among each other and make decisions to provide a secure software code protected against a required level of intruder.Keywords: secure software, four phases methodology, software engineering, code breakers, intrusion analysis
Procedia PDF Downloads 3991869 Chaotic Control, Masking and Secure Communication Approach of Supply Chain Attractor
Authors: Unal Atakan Kahraman, Yilmaz Uyaroğlu
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The chaotic signals generated by chaotic systems have some properties such as randomness, complexity and sensitive dependence on initial conditions, which make them particularly suitable for secure communications. Since the 1990s, the problem of secure communication, based on chaos synchronization, has been thoroughly investigated and many methods, for instance, robust and adaptive control approaches, have been proposed to realize the chaos synchronization. In this paper, an improved secure communication model is proposed based on control of supply chain management system. Control and masking communication simulation results are used to visualize the effectiveness of chaotic supply chain system also performed on the application of secure communication to the chaotic system. So, we discover the secure phenomenon of chaos-amplification in supply chain systemKeywords: chaotic analyze, control, secure communication, supply chain attractor
Procedia PDF Downloads 5161868 Efficient Frontier: Comparing Different Volatility Estimators
Authors: Tea Poklepović, Zdravka Aljinović, Mario Matković
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Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that range-based volatility estimator outperforms both mean-variance and lower semi-variance model.Keywords: variance, lower semi-variance, range-based volatility, MPT
Procedia PDF Downloads 5131867 BIASS in the Estimation of Covariance Matrices and Optimality Criteria
Authors: Juan M. Rodriguez-Diaz
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The precision of parameter estimators in the Gaussian linear model is traditionally accounted by the variance-covariance matrix of the asymptotic distribution. However, this measure can underestimate the true variance, specially for small samples. Traditionally, optimal design theory pays attention to this variance through its relationship with the model's information matrix. For this reason it seems convenient, at least in some cases, adapt the optimality criteria in order to get the best designs for the actual variance structure, otherwise the loss in efficiency of the designs obtained with the traditional approach may be very important.Keywords: correlated observations, information matrix, optimality criteria, variance-covariance matrix
Procedia PDF Downloads 4431866 Secure Image Retrieval Based on Orthogonal Decomposition under Cloud Environment
Authors: Y. Xu, L. Xiong, Z. Xu
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In order to protect data privacy, image with sensitive or private information needs to be encrypted before being outsourced to the cloud. However, this causes difficulties in image retrieval and data management. A secure image retrieval method based on orthogonal decomposition is proposed in the paper. The image is divided into two different components, for which encryption and feature extraction are executed separately. As a result, cloud server can extract features from an encrypted image directly and compare them with the features of the queried images, so that the user can thus obtain the image. Different from other methods, the proposed method has no special requirements to encryption algorithms. Experimental results prove that the proposed method can achieve better security and better retrieval precision.Keywords: secure image retrieval, secure search, orthogonal decomposition, secure cloud computing
Procedia PDF Downloads 4841865 A Secure Proxy Signature Scheme with Fault Tolerance Based on RSA System
Authors: H. El-Kamchouchi, Heba Gaber, Fatma Ahmed, Dalia H. El-Kamchouchi
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Due to the rapid growth in modern communication systems, fault tolerance and data security are two important issues in a secure transaction. During the transmission of data between the sender and receiver, errors may occur frequently. Therefore, the sender must re-transmit the data to the receiver in order to correct these errors, which makes the system very feeble. To improve the scalability of the scheme, we present a secure proxy signature scheme with fault tolerance over an efficient and secure authenticated key agreement protocol based on RSA system. Authenticated key agreement protocols have an important role in building a secure communications network between the two parties.Keywords: proxy signature, fault tolerance, rsa, key agreement protocol
Procedia PDF Downloads 2861864 Performance Analysis of Scalable Secure Multicasting in Social Networking
Authors: R. Venkatesan, A. Sabari
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Developments of social networking internet scenario are recommended for the requirements of scalable, authentic, secure group communication model like multicasting. Multicasting is an inter network service that offers efficient delivery of data from a source to multiple destinations. Even though multicast has been very successful at providing an efficient and best-effort data delivery service for huge groups, it verified complex process to expand other features to multicast in a scalable way. Separately, the requirement for secure electronic information had become gradually more apparent. Since multicast applications are deployed for mainstream purpose the need to secure multicast communications will become significant.Keywords: multicasting, scalability, security, social network
Procedia PDF Downloads 2921863 Proposal of Optimality Evaluation for Quantum Secure Communication Protocols by Taking the Average of the Main Protocol Parameters: Efficiency, Security and Practicality
Authors: Georgi Bebrov, Rozalina Dimova
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In the field of quantum secure communication, there is no evaluation that characterizes quantum secure communication (QSC) protocols in a complete, general manner. The current paper addresses the problem concerning the lack of such an evaluation for QSC protocols by introducing an optimality evaluation, which is expressed as the average over the three main parameters of QSC protocols: efficiency, security, and practicality. For the efficiency evaluation, the common expression of this parameter is used, which incorporates all the classical and quantum resources (bits and qubits) utilized for transferring a certain amount of information (bits) in a secure manner. By using criteria approach whether or not certain criteria are met, an expression for the practicality evaluation is presented, which accounts for the complexity of the QSC practical realization. Based on the error rates that the common quantum attacks (Measurement and resend, Intercept and resend, probe attack, and entanglement swapping attack) induce, the security evaluation for a QSC protocol is proposed as the minimum function taken over the error rates of the mentioned quantum attacks. For the sake of clarity, an example is presented in order to show how the optimality is calculated.Keywords: quantum cryptography, quantum secure communcation, quantum secure direct communcation security, quantum secure direct communcation efficiency, quantum secure direct communcation practicality
Procedia PDF Downloads 1841862 Secure Cryptographic Operations on SIM Card for Mobile Financial Services
Authors: Kerem Ok, Serafettin Senturk, Serdar Aktas, Cem Cevikbas
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Mobile technology is very popular nowadays and it provides a digital world where users can experience many value-added services. Service Providers are also eager to offer diverse value-added services to users such as digital identity, mobile financial services and so on. In this context, the security of data storage in smartphones and the security of communication between the smartphone and service provider are critical for the success of these services. In order to provide the required security functions, the SIM card is one acceptable alternative. Since SIM cards include a Secure Element, they are able to store sensitive data, create cryptographically secure keys, encrypt and decrypt data. In this paper, we design and implement a SIM and a smartphone framework that uses a SIM card for secure key generation, key storage, data encryption, data decryption and digital signing for mobile financial services. Our frameworks show that the SIM card can be used as a controlled Secure Element to provide required security functions for popular e-services such as mobile financial services.Keywords: SIM card, mobile financial services, cryptography, secure data storage
Procedia PDF Downloads 3121861 A Review on Factors Influencing Implementation of Secure Software Development Practices
Authors: Sri Lakshmi Kanniah, Mohd Naz’ri Mahrin
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More and more businesses and services are depending on software to run their daily operations and business services. At the same time, cyber-attacks are becoming more covert and sophisticated, posing threats to software. Vulnerabilities exist in the software due to the lack of security practices during the phases of software development. Implementation of secure software development practices can improve the resistance to attacks. Many methods, models and standards for secure software development have been developed. However, despite the efforts, they still come up against difficulties in their deployment and the processes are not institutionalized. There is a set of factors that influence the successful deployment of secure software development processes. In this study, the methodology and results from a systematic literature review of factors influencing the implementation of secure software development practices is described. A total of 44 primary studies were analysed as a result of the systematic review. As a result of the study, a list of twenty factors has been identified. Some of factors that affect implementation of secure software development practices are: Involvement of the security expert, integration between security and development team, developer’s skill and expertise, development time and communication between stakeholders. The factors were further classified into four categories which are institutional context, people and action, project content and system development process. The results obtained show that it is important to take into account organizational, technical and people issues in order to implement secure software development initiatives.Keywords: secure software development, software development, software security, systematic literature review
Procedia PDF Downloads 3771860 A Generalized Family of Estimators for Estimation of Unknown Population Variance in Simple Random Sampling
Authors: Saba Riaz, Syed A. Hussain
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This paper is addressing the estimation method of the unknown population variance of the variable of interest. A new generalized class of estimators of the finite population variance has been suggested using the auxiliary information. To improve the precision of the proposed class, known population variance of the auxiliary variable has been used. Mathematical expressions for the biases and the asymptotic variances of the suggested class are derived under large sample approximation. Theoretical and numerical comparisons are made to investigate the performances of the proposed class of estimators. The empirical study reveals that the suggested class of estimators performs better than the usual estimator, classical ratio estimator, classical product estimator and classical linear regression estimator. It has also been found that the suggested class of estimators is also more efficient than some recently published estimators.Keywords: study variable, auxiliary variable, finite population variance, bias, asymptotic variance, percent relative efficiency
Procedia PDF Downloads 2251859 Distributed Energy Storage as a Potential Solution to Electrical Network Variance
Authors: V. Rao, A. Bedford
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As the efficient performance of national grid becomes increasingly important to maintain the electrical network stability, the balance between the generation and the demand must be effectively maintained. To do this, any losses that occur in the power network must be reduced by compensating for it. In this paper, one of the main cause for the losses in the network is identified as the variance, which hinders the grid’s power carrying capacity. The reason for the variance in the grid is investigated and identified as the rise in the integration of renewable energy sources (RES) such as wind and solar power. The intermittent nature of these RES along with fluctuating demands gives rise to variance in the electrical network. The losses that occur during this process is estimated by analyzing the network’s power profiles. Whilst researchers have identified different ways to tackle this problem, little consideration is given to energy storage. This paper seeks to redress this by considering the role of energy storage systems as potential solutions to reduce variance in the network. The implementation of suitable energy storage systems based on different applications is presented in this paper as part of variance reduction method and thus contribute towards maintaining a stable and efficient grid operation.Keywords: energy storage, electrical losses, national grid, renewable energy, variance
Procedia PDF Downloads 3171858 An Efficient Proxy Signature Scheme Over a Secure Communications Network
Authors: H. El-Kamchouchi, Heba Gaber, Fatma Ahmed, Dalia H. El-Kamchouchi
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Proxy signature scheme permits an original signer to delegate his/her signing capability to a proxy signer, and then the proxy signer generates a signing message on behalf of the original signer. The two parties must be able to authenticate one another and agree on a secret encryption key, in order to communicate securely over an unreliable public network. Authenticated key agreement protocols have an important role in building secure communications network between the two parties. In this paper, we present a secure proxy signature scheme over an efficient and secure authenticated key agreement protocol based on the discrete logarithm problem.Keywords: proxy signature, warrant partial delegation, key agreement, discrete logarithm
Procedia PDF Downloads 3451857 A Software Engineering Methodology for Developing Secure Obfuscated Software
Authors: Carlos Gonzalez, Ernesto Linan
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We propose a methodology to conciliate two apparently contradictory processes in the development of secure obfuscated software and good software engineered software. Our methodology consists first in the system designers defining the type of security level required for the software. There are four types of attackers: casual attackers, hackers, institution attack, and government attack. Depending on the level of threat, the methodology we propose uses five or six teams to accomplish this task. One Software Engineer Team and one or two software Obfuscation Teams, and Compiler Team, these four teams will develop and compile the secure obfuscated software, a Code Breakers Team will test the results of the previous teams to see if the software is not broken at the required security level, and an Intrusion Analysis Team will analyze the results of the Code Breakers Team and propose solutions to the development teams to prevent the detected intrusions. We also present an analytical model to prove that our methodology is no only easier to use, but generates an economical way of producing secure obfuscated software.Keywords: development methodology, obfuscated software, secure software development, software engineering
Procedia PDF Downloads 2501856 Secure Proxy Signature Based on Factoring and Discrete Logarithm
Authors: H. El-Kamchouchi, Heba Gaber, Fatma Ahmed, Dalia H. El-Kamchouchi
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A digital signature is an electronic signature form used by an original signer to sign a specific document. When the original signer is not in his office or when he/she travels outside, he/she delegates his signing capability to a proxy signer and then the proxy signer generates a signing message on behalf of the original signer. The two parties must be able to authenticate one another and agree on a secret encryption key, in order to communicate securely over an unreliable public network. Authenticated key agreement protocols have an important role in building a secure communications network between the two parties. In this paper, we present a secure proxy signature scheme over an efficient and secure authenticated key agreement protocol based on factoring and discrete logarithm problem.Keywords: discrete logarithm, factoring, proxy signature, key agreement
Procedia PDF Downloads 3081855 Importance of Hardware Systems and Circuits in Secure Software Development Life Cycle
Authors: Mir Shahriar Emami
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Although it is fully impossible to ensure that a software system is quite secure, developing an acceptable secure software system in a convenient platform is not unreachable. In this paper, we attempt to analyze software development life cycle (SDLC) models from the hardware systems and circuits point of view. To date, the SDLC models pay merely attention to the software security from the software perspectives. In this paper, we present new features for SDLC stages to emphasize the role of systems and circuits in developing secure software system through the software development stages, the point that has not been considered previously in the SDLC models.Keywords: SDLC, SSDLC, software security, software process engineering, hardware systems and circuits security
Procedia PDF Downloads 2611854 Wireless Transmission of Big Data Using Novel Secure Algorithm
Authors: K. Thiagarajan, K. Saranya, A. Veeraiah, B. Sudha
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This paper presents a novel algorithm for secure, reliable and flexible transmission of big data in two hop wireless networks using cooperative jamming scheme. Two hop wireless networks consist of source, relay and destination nodes. Big data has to transmit from source to relay and from relay to destination by deploying security in physical layer. Cooperative jamming scheme determines transmission of big data in more secure manner by protecting it from eavesdroppers and malicious nodes of unknown location. The novel algorithm that ensures secure and energy balance transmission of big data, includes selection of data transmitting region, segmenting the selected region, determining probability ratio for each node (capture node, non-capture and eavesdropper node) in every segment, evaluating the probability using binary based evaluation. If it is secure transmission resume with the two- hop transmission of big data, otherwise prevent the attackers by cooperative jamming scheme and transmit the data in two-hop transmission.Keywords: big data, two-hop transmission, physical layer wireless security, cooperative jamming, energy balance
Procedia PDF Downloads 4901853 A Secure Routing Algorithm for Underwater Wireless Sensor Networks
Authors: Seyed Mahdi Jameii
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Underwater wireless sensor networks have been attracting the interest of many researchers lately, and the past three decades have beheld the rapid progress of underwater acoustic communication. One of the major problems in underwater wireless sensor networks is how to transfer data from the moving node to the base stations and choose the optimized route for data transmission. Secure routing in underwater wireless sensor network (UWCNs) is necessary for packet delivery. Some routing protocols are proposed for underwater wireless sensor networks. However, a few researches have been done on secure routing in underwater sensor networks. In this article, a secure routing protocol is provided to resist against wormhole and sybil attacks. The results indicated acceptable performance in terms of increasing the packet delivery ratio with regards to the attacks, increasing network lifetime by creating balance in the network energy consumption, high detection rates against the attacks, and low-end to end delay.Keywords: attacks, routing, security, underwater wireless sensor networks
Procedia PDF Downloads 4181852 Implementation of a Virtual Testbed for Secure IoT Firmware Update Using Blockchain
Authors: Tarun Chand, Michael Jurczyk
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With the increasing need and popularity of IoT devices and how integrated they are becoming in our daily lives and industries, these devices make for a very lucrative target for malicious actors. And since these devices have such limited resources, the implementation of robust security features is a tradeoff to be made for the actual functionality the device was intended for. This makes them an easy target with high returns. Several frameworks for the secure firmware update of these devices have been recently proposed in the literature. They focus on methods such as blockchains and distributed file systems to secure firmware updates, but do not go into the details of the actual implementation of these frameworks and the lower-level interactions among these methods used. This work integrates some of these security measures into one overall framework and details the actual lower-level implementation of this framework in a virtual dockerized testbed running on AWS.Keywords: blockchain, Ethereum, Geth, IPFS, secure IoT-firmware update, virtual testbed development
Procedia PDF Downloads 671851 Sales-Based Dynamic Investment and Leverage Decisions: A Longitudinal Study
Authors: Rihab Belguith, Fathi Abid
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The paper develops a system-based approach to investigate the dynamic adjustment of debt structure and investment policies of the Dow-Jones index. This approach enables the assessment of relations among sales, debt, and investment opportunities by considering the simultaneous effect of the market environmental change and future growth opportunities. We integrate the firm-specific sales variance to capture the industries' conditions in the model. Empirical results were obtained through a panel data set of firms with different sectors. The analysis support that environmental change does not affect equally the different industry since operating leverage differs among industries and so the sensitivity to sales variance. Including adjusted-specific variance, we find that there is no monotonic relation between leverage, sales, and investment. The firm may choose a low debt level in response to high sales variance but high leverage to attenuate the negative relation between sales variance and the current level of investment. We further find that while the overall effect of debt maturity on leverage is unaffected by the level of growth opportunities, the shorter the maturity of debt is, the smaller the direct effect of sales variance on investment.Keywords: dynamic panel, investment, leverage decision, sales uncertainty
Procedia PDF Downloads 2431850 Attachment and Memories: Activating Attachment in College Students through Narrative-Based Methods
Authors: Catherine Wright, Kate Luedke
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This paper questions whether or not individuals who had been exposed to narratives describing secure and insecure-avoidant attachment styles experienced temporary changes in their attachment style when compared to individuals who had been exposed to neutral narratives. The Attachment Style Questionnaire (or ASQ) developed by Feeney, Noller, and Hanrahan in 1994 was utilized to assess attachment style. Participants filled out a truncated version of the ASQ prior to reading the respective narratives assigned to their groups, and filled out the entirety of the ASQ after reading the narratives. Utilizing a one-way independent groups ANOVA, researchers found that the group which read the insecure-avoidant narrative experienced a statistically significant decrease in secure attachment, as did the group which read the secure narrative. The control group, however, experienced a statistically significant increase in secure attachment. Based on these findings, researchers concluded that narratives may have the ability to call attention to parental shortcomings that individuals have experienced in the forms of reminding individuals of positive experiences that they were not able to experience while spending time with their parental figures and calling attention to the shortcomings of said parental figures by reminding them of the negative experiences which they did have with them.Keywords: attachment, insecure-avoidant, memory, secure
Procedia PDF Downloads 4021849 Lifting Wavelet Transform and Singular Values Decomposition for Secure Image Watermarking
Authors: Siraa Ben Ftima, Mourad Talbi, Tahar Ezzedine
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In this paper, we present a technique of secure watermarking of grayscale and color images. This technique consists in applying the Singular Value Decomposition (SVD) in LWT (Lifting Wavelet Transform) domain in order to insert the watermark image (grayscale) in the host image (grayscale or color image). It also uses signature in the embedding and extraction steps. The technique is applied on a number of grayscale and color images. The performance of this technique is proved by the PSNR (Pick Signal to Noise Ratio), the MSE (Mean Square Error) and the SSIM (structural similarity) computations.Keywords: lifting wavelet transform (LWT), sub-space vectorial decomposition, secure, image watermarking, watermark
Procedia PDF Downloads 2761848 Secured Transmission and Reserving Space in Images Before Encryption to Embed Data
Authors: G. R. Navaneesh, E. Nagarajan, C. H. Rajam Raju
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Nowadays the multimedia data are used to store some secure information. All previous methods allocate a space in image for data embedding purpose after encryption. In this paper, we propose a novel method by reserving space in image with a boundary surrounded before encryption with a traditional RDH algorithm, which makes it easy for the data hider to reversibly embed data in the encrypted images. The proposed method can achieve real time performance, that is, data extraction and image recovery are free of any error. A secure transmission process is also discussed in this paper, which improves the efficiency by ten times compared to other processes as discussed.Keywords: secure communication, reserving room before encryption, least significant bits, image encryption, reversible data hiding
Procedia PDF Downloads 4121847 Methods of Variance Estimation in Two-Phase Sampling
Authors: Raghunath Arnab
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The two-phase sampling which is also known as double sampling was introduced in 1938. In two-phase sampling, samples are selected in phases. In the first phase, a relatively large sample of size is selected by some suitable sampling design and only information on the auxiliary variable is collected. During the second phase, a sample of size is selected either from, the sample selected in the first phase or from the entire population by using a suitable sampling design and information regarding the study and auxiliary variable is collected. Evidently, two phase sampling is useful if the auxiliary information is relatively easy and cheaper to collect than the study variable as well as if the strength of the relationship between the variables and is high. If the sample is selected in more than two phases, the resulting sampling design is called a multi-phase sampling. In this article we will consider how one can use data collected at the first phase sampling at the stages of estimation of the parameter, stratification, selection of sample and their combinations in the second phase in a unified setup applicable to any sampling design and wider classes of estimators. The problem of the estimation of variance will also be considered. The variance of estimator is essential for estimating precision of the survey estimates, calculation of confidence intervals, determination of the optimal sample sizes and for testing of hypotheses amongst others. Although, the variance is a non-negative quantity but its estimators may not be non-negative. If the estimator of variance is negative, then it cannot be used for estimation of confidence intervals, testing of hypothesis or measure of sampling error. The non-negativity properties of the variance estimators will also be studied in details.Keywords: auxiliary information, two-phase sampling, varying probability sampling, unbiased estimators
Procedia PDF Downloads 5881846 Optimized Approach for Secure Data Sharing in Distributed Database
Authors: Ahmed Mateen, Zhu Qingsheng, Ahmad Bilal
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In the current age of technology, information is the most precious asset of a company. Today, companies have a large amount of data. As the data become larger, access to data for some particular information is becoming slower day by day. Faster data processing to shape it in the form of information is the biggest issue. The major problems in distributed databases are the efficiency of data distribution and response time of data distribution. The security of data distribution is also a big issue. For these problems, we proposed a strategy that can maximize the efficiency of data distribution and also increase its response time. This technique gives better results for secure data distribution from multiple heterogeneous sources. The newly proposed technique facilitates the companies for secure data sharing efficiently and quickly.Keywords: ER-schema, electronic record, P2P framework, API, query formulation
Procedia PDF Downloads 3331845 The Evaluation of the Performance of Different Filtering Approaches in Tracking Problem and the Effect of Noise Variance
Authors: Mohammad Javad Mollakazemi, Farhad Asadi, Aref Ghafouri
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Performance of different filtering approaches depends on modeling of dynamical system and algorithm structure. For modeling and smoothing the data the evaluation of posterior distribution in different filtering approach should be chosen carefully. In this paper different filtering approaches like filter KALMAN, EKF, UKF, EKS and smoother RTS is simulated in some trajectory tracking of path and accuracy and limitation of these approaches are explained. Then probability of model with different filters is compered and finally the effect of the noise variance to estimation is described with simulations results.Keywords: Gaussian approximation, Kalman smoother, parameter estimation, noise variance
Procedia PDF Downloads 4391844 A Mean–Variance–Skewness Portfolio Optimization Model
Authors: Kostas Metaxiotis
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Portfolio optimization is one of the most important topics in finance. This paper proposes a mean–variance–skewness (MVS) portfolio optimization model. Traditionally, the portfolio optimization problem is solved by using the mean–variance (MV) framework. In this study, we formulate the proposed model as a three-objective optimization problem, where the portfolio's expected return and skewness are maximized whereas the portfolio risk is minimized. For solving the proposed three-objective portfolio optimization model we apply an adapted version of the non-dominated sorting genetic algorithm (NSGAII). Finally, we use a real dataset from FTSE-100 for validating the proposed model.Keywords: evolutionary algorithms, portfolio optimization, skewness, stock selection
Procedia PDF Downloads 1981843 An Approach to Noise Variance Estimation in Very Low Signal-to-Noise Ratio Stochastic Signals
Authors: Miljan B. Petrović, Dušan B. Petrović, Goran S. Nikolić
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This paper describes a method for AWGN (Additive White Gaussian Noise) variance estimation in noisy stochastic signals, referred to as Multiplicative-Noising Variance Estimation (MNVE). The aim was to develop an estimation algorithm with minimal number of assumptions on the original signal structure. The provided MATLAB simulation and results analysis of the method applied on speech signals showed more accuracy than standardized AR (autoregressive) modeling noise estimation technique. In addition, great performance was observed on very low signal-to-noise ratios, which in general represents the worst case scenario for signal denoising methods. High execution time appears to be the only disadvantage of MNVE. After close examination of all the observed features of the proposed algorithm, it was concluded it is worth of exploring and that with some further adjustments and improvements can be enviably powerful.Keywords: noise, signal-to-noise ratio, stochastic signals, variance estimation
Procedia PDF Downloads 386