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Dynamic portfolio choice with uncertain rare‑events risk in stock and cryptocurrency markets

Financial Innovation 2023年第1期9卷 1967-1994页

作者： Wujun Lv Tao Pang Xiaobao Xia Jingzhou Yan Department of Statistics College of ScienceDonghua UniversityNo.2999 Renmin North RoadSongjiang DistrictShanghai 201620China Department of Mathematics North Carolina State University2311 Stinson DriveRaleighNC 27695‑8205USA School of Economics Fudan University600 Guoquan RoadShanghai 200433China School of Economics Sichuan University24 South Section 1Yihuan RoadChengdu 610065SichuanChina

In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.

关键词： Robust portfolio choice detection error probability Rare events Ambiguity Cryptocurrency Welfare loss

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Covert communication based on transmission antenna selection in the downlink communication link

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The Journal of China Universities of Posts and Telecommunications 2021年第3期28卷 20-27页

作者： Guo Hui Qiao Ting School of Physics and Electronic Information Engineering Henan Polytechnic UniversityJiaozuo 454003China

A downlink covert communication model that consists of a base station and two legitimate users was considered. In addition to the general signals shared by the two users, the base station will send the covert signals only to one user in a certain time without wanting the other to detect this covert communication behavior. In order to achieve covert communication, two information transmission schemes are designed based on transmission antenna selection(TAS) with the help of artificial noise(AN) transmitted by the user receiving the covert signals, denoted as TAS-Ⅰ and TAS-Ⅱ respectively. Considering the best detection performance of the user only receiving the general signals, under the two schemes, the detection error probabilities and their average values, the connection probabilities, the system covert throughputs are separately calculated. In addition, on the premise of meeting the system's covert conditions, an optimization scheme is proposed to maximize the covert system throughput. Finally, the simulation results show that the proposed system can realize covert communication successfully, and the system covert performance under TAS-Ⅰ is better than that under TAS-Ⅱ.

关键词： covert communication transmission antenna selection(TAS) detection error probability covert throughput

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