Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is deve...Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model.展开更多
Atomicity and anonymity are desirable properties for reliable and security e-Cash transaction and the guarantee of the participants’ interests. But there are conflicts between these two properties. In this paper, an ...Atomicity and anonymity are desirable properties for reliable and security e-Cash transaction and the guarantee of the participants’ interests. But there are conflicts between these two properties. In this paper, an atomic and anonymous e-Cash transaction protocol with off-line TTP (Trust Third Party) based on the extended CEMBS is presented. The novel protocol is analyzed for its atomicity and anonymity. The results of the analysis show that it not only provides atomicity and anonymity under unreliable communication and dishonest participants, but also features high efficiency and practicability. The new protocol also avoids transaction from an ambiguous state. Furthermore, it will be referenced often for the application of the atomic e-Cash transaction protocol.展开更多
文摘Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model.
文摘Atomicity and anonymity are desirable properties for reliable and security e-Cash transaction and the guarantee of the participants’ interests. But there are conflicts between these two properties. In this paper, an atomic and anonymous e-Cash transaction protocol with off-line TTP (Trust Third Party) based on the extended CEMBS is presented. The novel protocol is analyzed for its atomicity and anonymity. The results of the analysis show that it not only provides atomicity and anonymity under unreliable communication and dishonest participants, but also features high efficiency and practicability. The new protocol also avoids transaction from an ambiguous state. Furthermore, it will be referenced often for the application of the atomic e-Cash transaction protocol.
