Application of financial risk-reward theory to adaptive transmission

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-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 languageEnglish
Title of host publicationIEEE Vehicular Technology Conference
Subtitle of host publicationVTC Spring 2008
PublisherInstitute of Electrical and Electronic Engineers IEEE
Pages1756-1760
ISBN (Electronic)978-1-4244-1645-5
ISBN (Print)978-1-4244-1644-8
DOIs
Publication statusPublished - 2008
MoE publication typeA4 Article in a conference publication
EventIEEE Vehicular Technology Conference, VTC Spring 2008 - Singapore, Singapore
Duration: 11 May 200814 May 2008

Conference

ConferenceIEEE Vehicular Technology Conference, VTC Spring 2008
Abbreviated titleVTC Spring 2008
CountrySingapore
CitySingapore
Period11/05/0814/05/08

Fingerprint

Financial risk
Reward
Expected value
Lower partial moments
Intuition
Finance

Keywords

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

Cite this

Kotelba, A., & Mämmelä, A. (2008). Application of financial risk-reward theory to adaptive transmission. In IEEE Vehicular Technology Conference: VTC Spring 2008 (pp. 1756-1760). Institute of Electrical and Electronic Engineers IEEE. https://doi.org/10.1109/VETECS.2008.402
Kotelba, Adrian ; Mämmelä, Aarne. / Application of financial risk-reward theory to adaptive transmission. IEEE Vehicular Technology Conference: VTC Spring 2008. Institute of Electrical and Electronic Engineers IEEE, 2008. pp. 1756-1760
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Kotelba, A & Mämmelä, A 2008, Application of financial risk-reward theory to adaptive transmission. in IEEE Vehicular Technology Conference: VTC Spring 2008. Institute of Electrical and Electronic Engineers IEEE, pp. 1756-1760, IEEE Vehicular Technology Conference, VTC Spring 2008, Singapore, Singapore, 11/05/08. https://doi.org/10.1109/VETECS.2008.402

Application of financial risk-reward theory to adaptive transmission. / Kotelba, Adrian; Mämmelä, Aarne.

IEEE Vehicular Technology Conference: VTC Spring 2008. Institute of Electrical and Electronic Engineers IEEE, 2008. p. 1756-1760.

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

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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.)

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Kotelba A, Mämmelä A. Application of financial risk-reward theory to adaptive transmission. In IEEE Vehicular Technology Conference: VTC Spring 2008. Institute of Electrical and Electronic Engineers IEEE. 2008. p. 1756-1760 https://doi.org/10.1109/VETECS.2008.402