Optimal portfolio control with trading strategies of finite variation

We propose a method for portfolio selection where the trading strategies are constrained to have a finite variation. A simulation example shows a significant reduction in trasaction costs as compared to log-optimal portfolio, for almost same final wealth

Reliability modeling of a 1-out-of-2 system: Research with diverse Off-the-shelf SQL database servers

Fault tolerance via design diversity is often the only viable way of achieving sufficient dependability levels when using off-the-shelf components. We have reported previously on studies with bug reports of four open-source and commercial off-the-shelf database servers and later release of two of them. The results were very promising for designers of fault-tolerant solutions that wish to employ diverse servers: very few bugs caused failures in more than one server and none caused failure in more than two. In this paper we offer details of two approaches we have studied to construct reliability growth models for a 1-out-of-2 fault-tolerant server which utilize the bug reports. The models presented are of practical significance to system designers wishing to employ diversity with off-the-shelf components since often the bug reports are the only direct dependability evidence available to them

Two methods for optimal investment with trading strategies of finite variation

Two methods for designing optimal portfolios are proposed. In order to reduce the variation in the asset holdings and hence the eventual proportional transaction costs, the trading strategies of these portfolios are constrained to be of a finite variation. The first method minimizes an upper bound on the discrete-time logarithmic error between a reference portfolio and the one with a constrained trading strategy and thus penalizes the shortfall only. A quadratic penalty on the logarithmic variation of the trading strategy is also included in the objective functional. The second method minimizes a sum of the discrete-time log-quadratic errors between the asset holding values of the constrained portfolio and a certain reference portfolio, which results in tracking the reference portfolio. The optimal trading strategy is obtained in an explicit closed form for both methods. Simulation examples with the log-optimal and the Black–Scholes replicating portfolios as references show smoother trading strategies for the new portfolios and a significant reduction in the eventual proportional transaction cost. The performance of the new portfolios are very close to their references in both cases

A Study of the Relationship Between Antivirus Regressions and Label Changes

AntiVirus (AV) products use multiple components to detect malware. A component which is found in virtually all AVs is the signature-based detection engine: this component assigns a particular signature label to a malware that the AV detects. In previous analysis [1-3], we observed cases of regressions in several different AVs: i.e. cases where on a particular date a given AV detects a given malware but on a later date the same AV fails to detect the same malware. We studied this aspect further by analyzing the only externally observable behaviors from these AVs, namely whether AV engines detect a malware and what labels they assign to the detected malware. In this paper we present the results of the analysis about the relationship between the changing of the labels with which AV vendors recognize malware and the AV regressions

Diversity with AntiVirus products: Additional empirical studies

In this paper we describe the design of a new set of empirical studies we will run to test the gains in detection capabilities from using diverse AntiVirus products. This new work builds on previous work on this topic reported in [1, 2, 3]. We describe the motivation for this work, how it extends the previous work and what studies we will conduct

Comparing Detection Capabilities of AntiVirus Products: An Empirical Study with Different Versions of Products from the Same Vendors

In this paper we report results of an empirical analysis of the detection capabilities of 9 AntiVirus (AV) products when they were subjected to 3605 malware samples collected on an experimental network over a period of 31 days in NovemberDecember 2013. We compared the detection capabilities of the version of the AV products that the vendors make available for free in VirusTotal versus the full capability products that they make available via their own website. The analysis has been done using externally observable properties of the AV products: namely whether they detect a given malware. The paper reports extensive analysis of the results. A surprising finding of our study was that only one of the vendors had a full capability version which detected all the malware that their VirusTotal version could detect

Diversity for Safety and Security in Embedded Systems

We present ongoing work about how security and safety properties in embedded systems are affected by redundancy and diversity. The need to consider security requirements in the presence of malicious action creates additional design trade-offs besides those familiar in the design of safety critical and highly reliable systems. We outline the motivation for this work, an industrial case study, and the research direction we have taken

The isospin symmetry breaking effects in Ke4K_{e4} decays

The Fermi-Watson theorem is generalized to the case of two coupled channels with different masses and applied to final state interaction in $K_{e4}$ decays. The impact of considered effect on the phase of the $\pi\pi$ scattering is estimated and shown that it can be crucial for scattering lengths extraction from experimental data on $K_{e4}$ decays