Mean-risk models using two risk measures: A multi-objective approach

This paper proposes a model for portfolio optimisation, in which distributions are characterised and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective problem in which variance is minimised while constraints are imposed on the expected value and CVaR. In the case of discrete random variables, the problem is a quadratic program. The mean-variance (mean-CVaR) efficient solutions that are not dominated with respect to CVaR (variance) are particular efficient solutions of the proposed model. In addition, the model has efficient solutions that are discarded by both mean-variance and mean-CVaR models, although they may improve the return distribution. The model is tested on real data drawn from the FTSE 100 index. An analysis of the return distribution of the chosen portfolios is presented

A Self Healing Microservices Architecture: A Case Study in Docker Swarm Cluster

One desired aspect of a self-adapting microservices architecture is the ability to continuously monitor the operational environment, detect and observe anomalous behaviour as well as implement a reasonable policy for self-scaling, self-healing, and self-tuning the computational resources in order to dynamically respond to a sudden change in its operational environment. Often the behaviour of a microservices architecture continuously changes over time and the identification of both normal and abnormal behaviours of running services becomes a challenging task. This paper proposes a self-healing Microservice architecture that continuously monitors the operational environment, detects and observes anomalous behaviours, and provides a reasonable adaptation policy using a multi-dimensional utility-based model. This model preserves the cluster state and prevents multiple actions to taking place at the same time. It also guarantees that the executed adaptation action fits the current execution context and achieves the adaptation goals. The results show the ability of this model to dynamically scale the architecture horizontally or vertically in response to the context changes

First-Digit Law in Nonextensive Statistics

Nonextensive statistics, characterized by a nonextensive parameter $q$, is a promising and practically useful generalization of the Boltzmann statistics to describe power-law behaviors from physical and social observations. We here explore the unevenness of the first digit distribution of nonextensive statistics analytically and numerically. We find that the first-digit distribution follows Benford's law and fluctuates slightly in a periodical manner with respect to the logarithm of the temperature. The fluctuation decreases when $q$ increases, and the result converges to Benford's law exactly as $q$ approaches 2. The relevant regularities between nonextensive statistics and Benford's law are also presented and discussed.Comment: 11 pages, 3 figures, published in Phys. Rev.

A Model of User Preferences for Semantic Services Discovery and Ranking

Current proposals on Semantic Web Services discovery and ranking are based on user preferences descriptions that often come with insufficient expressiveness, consequently making more difficult or even preventing the description of complex user desires. There is a lack of a general and comprehensive preference model, so discovery and ranking proposals have to provide ad hoc preference descriptions whose expressiveness depends on the facilities provided by the corresponding technique, resulting in user preferences that are tightly coupled with the underlying formalism being used by each concrete solution. In order to overcome these problems, in this paper an abstract and sufficiently expressive model for defining preferences is presented, so that they may be described in an intuitively and user-friendly manner. The proposed model is based on a well-known query preference model from database systems, which provides highly expressive constructors to describe and compose user preferences semantically. Furthermore, the presented proposal is independent from the concrete discovery and ranking engines selected, and may be used to extend current Semantic Web Service frameworks, such as wsmo, sawsdl, or owl-s. In this paper, the presented model is also validated against a complex discovery and ranking scenario, and a concrete implementation of the model in wsmo is outlined.Comisión Interministerial de Ciencia y Tecnología TIN2006-00472Comisión Interministerial de Ciencia y Tecnología TIN2009-07366Junta de Andalucía TIC-253

Behavioral implications of shortlisting procedures

We consider two-stage “shortlisting procedures” in which the menu of alternatives is first pruned by some process or criterion and then a binary relation is maximized. Given a particular first-stage process, our main result supplies a necessary and sufficient condition for choice data to be consistent with a procedure in the designated class. This result applies to any class of procedures with a certain lattice structure, including the cases of “consideration filters,” “satisficing with salience effects,” and “rational shortlist methods.” The theory avoids background assumptions made for mathematical convenience; in this and other respects following Richter’s classical analysis of preference-maximizing choice in the absence of shortlisting

Under stochastic dominance Choquet-expected utility and anticipated utility are identical

The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two generalizations of expected utility in fact are one

Statistical mechanics of voting

Decision procedures aggregating the preferences of multiple agents can produce cycles and hence outcomes which have been described heuristically as `chaotic'. We make this description precise by constructing an explicit dynamical system from the agents' preferences and a voting rule. The dynamics form a one dimensional statistical mechanics model; this suggests the use of the topological entropy to quantify the complexity of the system. We formulate natural political/social questions about the expected complexity of a voting rule and degree of cohesion/diversity among agents in terms of random matrix models---ensembles of statistical mechanics models---and compute quantitative answers in some representative cases.Comment: 9 pages, plain TeX, 2 PostScript figures included with epsf.tex (ignore the under/overfull \vbox error messages

Galactic vs. Extragalactic Origin of the Peculiar Transient SCP 06F6

We study four scenarios for the SCP 06F6 transient event that was announced recently. Some of these were previously briefly discussed as plausible models for SCP 06F6, in particular with the claimed detection of a z=0.143 cosmological redshift of a Swan spectrum of a carbon rich envelope. We adopt this value of z for extragalactic scenarios. We cannot rule out any of these models, but can rank them from most to least preferred. Our favorite model is a tidal disruption of a CO white dwarf (WD) by an intermediate-mass black hole (IMBH). To account for the properties of the SCP 06F6 event, we have to assume the presence of a strong disk wind that was not included in previous numerical simulations. If the IMBH is the central BH of a galaxy, this explains the non detection of a bright galaxy in the direction of SCP 06F6. Our second favorite scenario is a type Ia-like SN that exploded inside the dense wind of a carbon star. The carbon star is the donor star of the exploded WD. Our third favorite model is a Galactic source of an asteroid that collided with a WD. Such a scenario was discussed in the past as the source of dusty disks around WDs, but no predictions exist regarding the appearance of such an event. Our least favorite model is of a core collapse SN. The only way we can account for the properties of SCP 06F6 with a core collapse SN is if we assume the occurrence of a rare type of binary interaction.Comment: Accepted by New Astronom