Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived. As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution. Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness. The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security. They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease. In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model

Blind Source Separation Based on Covariance Ratio and Artificial Bee Colony Algorithm

The computation amount in blind source separation based on bioinspired intelligence optimization is high. In order to solve this problem, we propose an effective blind source separation algorithm based on the artificial bee colony algorithm. In the proposed algorithm, the covariance ratio of the signals is utilized as the objective function and the artificial bee colony algorithm is used to solve it. The source signal component which is separated out, is then wiped off from mixtures using the deflation method. All the source signals can be recovered successfully by repeating the separation process. Simulation experiments demonstrate that significant improvement of the computation amount and the quality of signal separation is achieved by the proposed algorithm when compared to previous algorithms

Improved Backtracking Search Algorithm Based on Population Control Factor and Optimal Learning Strategy

Backtracking search algorithm (BSA) is a relatively new evolutionary algorithm, which has a good optimization performance just like other population-based algorithms. However, there is also an insufficiency in BSA regarding its convergence speed and convergence precision. For solving the problem shown in BSA, this article proposes an improved BSA named COBSA. Enlightened by particle swarm optimization (PSO) algorithm, population control factor is added to the variation equation aiming to improve the convergence speed of BSA, so as to make algorithm have a better ability of escaping the local optimum. In addition, enlightened by differential evolution (DE) algorithm, this article proposes a novel evolutionary equation based on the fact that the disadvantaged group will search just around the best individual chosen from previous iteration to enhance the ability of local search. Simulation experiments based on a set of 18 benchmark functions show that, in general, COBSA displays obvious superiority in convergence speed and convergence precision when compared with BSA and the comparison algorithms

User-friendly deniable storage for mobile devices

National Research Foundation (NRF) Singapor

Practical Security Analysis of Zero-Knowledge Proof Circuits

As privacy-sensitive applications based on zero-knowledge proofs (ZKPs) gain increasing traction, there is a pressing need to detect vulnerabilities in ZKP circuits. This paper studies common vulnerabilities in Circom (the most popular domain-specific language for ZKP circuits) and describes a static analysis framework for detecting these vulnerabilities. Our technique operates over an abstraction called the circuit dependence graph (CDG) that captures key properties of the circuit and allows expressing semantic vulnerability patterns as queries over the CDG abstraction. We have implemented 9 different detectors using this framework and perform an experimental evaluation on over 258 circuits from popular Circom projects on Github. According to our evaluation, these detectors can identify vulnerabilities, including previously unknown ones, with high precision and recall