Application of financial risk-reward theory to adaptive transmission

Adrian Kotelba; Aarne Mämmelä

doi:10.1109/VETECS.2008.402

Application of financial risk-reward theory to adaptive transmission

Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceedings › Scientific › peer-review

2 Citations (Scopus)

Abstract

This paper introduces a novel quantitative framework for measuring the risk and the reward provided by adaptive transmission schemes. In particular, the reward is measured as the expected value of the link spectral efficiency in excess of some predefined threshold. The risk, on the other hand, is the nth root of the nth order lower partial moment of the link spectral efficiency distribution. We apply mathematical tools of finance theory to analyze the risk-reward performance of various state-of-the-art adaptive transmission schemes in generic multi- antenna channels. We identify the maximum-return, minimum- risk, efficient, and optimal risk-reward schemes. The numerical results suggest that in a general case the optimal risk-reward scheme is neither the scheme that maximizes the expected link spectral efficiency nor the scheme that minimizes the risk by minimizing, e.g., the outage probability. The financial risk-reward theory brings a new intuition to the understanding of adaptive transmission in nonergodic channels. (15 refs.)

Original language	English
Title of host publication	IEEE Vehicular Technology Conference
Subtitle of host publication	VTC Spring 2008
Publisher	IEEE Institute of Electrical and Electronic Engineers
Pages	1756-1760
ISBN (Electronic)	978-1-4244-1645-5
ISBN (Print)	978-1-4244-1644-8
DOIs	https://doi.org/10.1109/VETECS.2008.402
Publication status	Published - 2008
MoE publication type	A4 Article in a conference publication
Event	IEEE Vehicular Technology Conference, VTC Spring 2008 - Singapore, Singapore Duration: 11 May 2008 → 14 May 2008

Conference

Conference	IEEE Vehicular Technology Conference, VTC Spring 2008
Abbreviated title	VTC Spring 2008
Country	Singapore
City	Singapore
Period	11/05/08 → 14/05/08

Keywords

adaptive transmission
finance theory
multiantenna systems
finance
particle measurements
narrowband
Gaussian channels
adaptive systems
performance analysis
vectors
fading

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title = "Application of financial risk-reward theory to adaptive transmission",

abstract = "This paper introduces a novel quantitative framework for measuring the risk and the reward provided by adaptive transmission schemes. In particular, the reward is measured as the expected value of the link spectral efficiency in excess of some predefined threshold. The risk, on the other hand, is the nth root of the nth order lower partial moment of the link spectral efficiency distribution. We apply mathematical tools of finance theory to analyze the risk-reward performance of various state-of-the-art adaptive transmission schemes in generic multi- antenna channels. We identify the maximum-return, minimum- risk, efficient, and optimal risk-reward schemes. The numerical results suggest that in a general case the optimal risk-reward scheme is neither the scheme that maximizes the expected link spectral efficiency nor the scheme that minimizes the risk by minimizing, e.g., the outage probability. The financial risk-reward theory brings a new intuition to the understanding of adaptive transmission in nonergodic channels. (15 refs.)",

keywords = "adaptive transmission, finance theory, multiantenna systems, finance, particle measurements, narrowband, Gaussian channels, adaptive systems, performance analysis, vectors, fading",

author = "Adrian Kotelba and Aarne M{\"a}mmel{\"a}",

year = "2008",

doi = "10.1109/VETECS.2008.402",

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booktitle = "IEEE Vehicular Technology Conference",

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note = "IEEE Vehicular Technology Conference, VTC Spring 2008, VTC Spring 2008 ; Conference date: 11-05-2008 Through 14-05-2008",

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T1 - Application of financial risk-reward theory to adaptive transmission

AU - Kotelba, Adrian

AU - Mämmelä, Aarne

PY - 2008

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N2 - This paper introduces a novel quantitative framework for measuring the risk and the reward provided by adaptive transmission schemes. In particular, the reward is measured as the expected value of the link spectral efficiency in excess of some predefined threshold. The risk, on the other hand, is the nth root of the nth order lower partial moment of the link spectral efficiency distribution. We apply mathematical tools of finance theory to analyze the risk-reward performance of various state-of-the-art adaptive transmission schemes in generic multi- antenna channels. We identify the maximum-return, minimum- risk, efficient, and optimal risk-reward schemes. The numerical results suggest that in a general case the optimal risk-reward scheme is neither the scheme that maximizes the expected link spectral efficiency nor the scheme that minimizes the risk by minimizing, e.g., the outage probability. The financial risk-reward theory brings a new intuition to the understanding of adaptive transmission in nonergodic channels. (15 refs.)

AB - This paper introduces a novel quantitative framework for measuring the risk and the reward provided by adaptive transmission schemes. In particular, the reward is measured as the expected value of the link spectral efficiency in excess of some predefined threshold. The risk, on the other hand, is the nth root of the nth order lower partial moment of the link spectral efficiency distribution. We apply mathematical tools of finance theory to analyze the risk-reward performance of various state-of-the-art adaptive transmission schemes in generic multi- antenna channels. We identify the maximum-return, minimum- risk, efficient, and optimal risk-reward schemes. The numerical results suggest that in a general case the optimal risk-reward scheme is neither the scheme that maximizes the expected link spectral efficiency nor the scheme that minimizes the risk by minimizing, e.g., the outage probability. The financial risk-reward theory brings a new intuition to the understanding of adaptive transmission in nonergodic channels. (15 refs.)

KW - adaptive transmission

KW - finance theory

KW - multiantenna systems

KW - finance

KW - particle measurements

KW - narrowband

KW - Gaussian channels

KW - adaptive systems

KW - performance analysis

KW - vectors

KW - fading

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DO - 10.1109/VETECS.2008.402

M3 - Conference article in proceedings

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SP - 1756

EP - 1760

BT - IEEE Vehicular Technology Conference

PB - IEEE Institute of Electrical and Electronic Engineers

T2 - IEEE Vehicular Technology Conference, VTC Spring 2008

Y2 - 11 May 2008 through 14 May 2008

ER -