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Noteninflation
(2014)
Das Management von Aktienfonds strebt effiziente Mischungen von Aktien an. Nachdem diese durch Optimierungsverfahren ermittelt wurden, müssen sie aus ökonomischen oder rechtlichen Gründen oft angepasst werden mit der Konsequenz, dass die Lösungen nicht mehr effizient sind. Ein rechtlicher Grund kann bei einem öffentlich angebotenen Aktienfond der Artikel 52(2) der EU-Richtlinie 2009/65/EC bzw. das KAGB § 206 sein. Ein Teil der Richtlinie besagt z.B., dass in eine Aktie nie mehr als 10% des Budgets investiert werden kann. Diese Regeln insgesamt sich auch als 5-10-40-Bedingung bekannt. Um derartige Risikobeschränkungen in der Portfoliooptimierung zu integrieren wurden zwei Optimierungsmodelle entwickelt – ein quadratisches und ein lineares. Die Modelle wurden anhand von historischen Renditedaten des HDAX getestet. Das lineare Modell zeigt, dass die Vorgaben der EU-Richtlinie die angestrebte Volatilitätsreduktion erreicht. Diese Risikobeschränkung hat aber einen Preis, der in den Währungen „Renditeverlust“ bzw. „Volatilitätszuwachs“ ausgedrückt werden kann. Bei gleicher Volatilität erzielte das nicht durch die 5-10-40-Bedingung eingeschränkte Portfolio eine ca. 10% höhere Jahresrendite. Der „Volatilitätszuwachs“ ist im Umfeld des minimalen Volatilitätspunktes (MVP) gering, kann aber bis zu 25% betragen, wenn Portfolios die unter der 5-10-40-Bedingung ermittelt wurden verglichen werden mit uneingeschränkt optimierten Portfolios bei jeweils gleicher Rendite. Das quadratische Modell baut auf dem Ansatz von H. Markowitz auf und zeigt einen flexibleren Weg der Risikobegrenzung der zu vergleichbaren Resultaten führt.
The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the possibility of estimating this average independently of the size of this time interval. This method is demonstrated on the example of two distributions, based on the exponential and the geometric probability functions. The estimation will be found by maximizing the likelihood function.
To get a better understanding of Cross Site Scripting vulnerabilities, we investigated 50 randomly selected CVE reports which are related to open source projects. The vulnerable and patched source code was manually reviewed to find out what kind of source code patterns were used. Source code pattern categories were found for sources, concatenations, sinks, html context and fixes. Our resulting categories are compared to categories from CWE. A source code sample which might have led developers to believe that the data was already sanitized is described in detail. For the different html context categories, the necessary Cross Site Scripting prevention mechanisms are described.
We investigated 50 randomly selected buffer overflow vulnerabilities in Firefox. The source code of these vulnerabilities and the corresponding patches were manually reviewed and patterns were identified. Our main contribution are taxonomies of errors, sinks and fixes seen from a developer's point of view. The results are compared to the CWE taxonomy with an emphasis on vulnerability details. Additionally, some ideas are presented on how the taxonomy could be used to improve the software security education.
Many secure software development methods and tools are well-known and understood. Still, the same software security vulnerabilities keep occurring. To find out if new source code patterns evolved or the same patterns are reoccurring, we investigate SQL injections in PHP open source projects. SQL injections are well-known and a core part of software security education. For each common part of SQL injections, the source code patterns are analysed. Examples are pointed out showing that developers had software security in mind, but nevertheless created vulnerabilities. A comparison to earlier work shows that some categories are not found as often as expected. Our main contribution is the categorization of source code patterns.
We present source code patterns that are difficult for modern static code analysis tools. Our study comprises 50 different open source projects in both a vulnerable and a fixed version for XSS vulnerabilities reported with CVE IDs over a period of seven years. We used three commercial and two open source static code analysis tools. Based on the reported vulnerabilities we discovered code patterns that appear to be difficult to classify by static analysis. The results show that code analysis tools are helpful, but still have problems with specific source code patterns. These patterns should be a focus in training for developers.
We compared vulnerable and fixed versions of the source code of 50 different PHP open source projects based on CVE reports for SQL injection vulnerabilities. We scanned the source code with commercial and open source tools for static code analysis. Our results show that five current state-of-the-art tools have issues correctly marking vulnerable and safe code. We identify 25 code patterns that are not detected as a vulnerability by at least one of the tools and 6 code patterns that are mistakenly reported as a vulnerability that cannot be confirmed by manual code inspection. Knowledge of the patterns could help vendors of static code analysis tools, and software developers could be instructed to avoid patterns that confuse automated tools.
Insecurity Refactoring is a change to the internal structure of software to inject a vulnerability without changing the observable behavior in a normal use case scenario. An implementation of Insecurity Refactoring is formally explained to inject vulnerabilities in source code projects by using static code analysis. It creates learning examples with source code patterns from known vulnerabilities.
Insecurity Refactoring is achieved by creating an Adversary Controlled Input Dataflow tree based on a Code Property Graph. The tree is used to find possible injection paths. Transformation of the possible injection paths allows to inject vulnerabilities. Insertion of data flow patterns introduces different code patterns from related Common Vulnerabilities and Exposures (CVE) reports. The approach is evaluated on 307 open source projects. Additionally, insecurity-refactored projects are deployed in virtual machines to be used as learning examples. Different static code analysis tools, dynamic tools and manual inspections are used with modified projects to confirm the presence of vulnerabilities.
The results show that in 8.1% of the open source projects it is possible to inject vulnerabilities. Different inspected code patterns from CVE reports can be inserted using corresponding data flow patterns. Furthermore the results reveal that the injected vulnerabilities are useful for a small sample size of attendees (n=16). Insecurity Refactoring is useful to automatically generate learning examples to improve software security training. It uses real projects as base whereas the injected vulnerabilities stem from real CVE reports. This makes the injected vulnerabilities unique and realistic.