Abstract
| Original language | English |
|---|---|
| Title of host publication | IEEE Vehicular Technology Conference |
| Subtitle of host publication | VTC Spring 2008 |
| Publisher | Institute of Electrical and Electronic Engineers IEEE |
| Pages | 1756-1760 |
| ISBN (Electronic) | 978-1-4244-1645-5 |
| ISBN (Print) | 978-1-4244-1644-8 |
| DOIs | |
| 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 |
Publication series
| Name | |
|---|---|
| ISSN (Print) | 1550-2252 |
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 |
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Keywords
- adaptive transmission
- finance theory
- multiantenna systems
- finance
- particle measurements
- narrowband
- Gaussian channels
- adaptive systems
- performance analysis
- vectors
- fading
Cite this
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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 proceeding › Conference article in proceedings › Scientific › peer-review
TY - GEN
T1 - Application of financial risk-reward theory to adaptive transmission
AU - Kotelba, Adrian
AU - Mämmelä, Aarne
PY - 2008
Y1 - 2008
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
U2 - 10.1109/VETECS.2008.402
DO - 10.1109/VETECS.2008.402
M3 - Conference article in proceedings
SN - 978-1-4244-1644-8
SP - 1756
EP - 1760
BT - IEEE Vehicular Technology Conference
PB - Institute of Electrical and Electronic Engineers IEEE
ER -