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A note on second-order stochastic dominance for linear combinations of dependent Bernoulli random variables

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URI: http://hdl.handle.net/2183/40456
DOI: 10.1080/03610926.2021.1971248

Publication date

2023

Authors

Egozcue, Martin

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Egozcue, M., & Fuentes García, L. (2021). A note on second-order stochastic dominance for linear combinations of dependent Bernoulli random variables. Communications in Statistics - Theory and Methods, 52(10), 3354–3360. https://doi.org/10.1080/03610926.2021.1971248

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Abstract

[Abstract:] In this note, we establish necessary and sufficient conditions for second-order stochastic dominance of linear combinations of two Bernoulli random variables. We relax the assumptions of exchangeability or independence between these variables. We apply our results to assess the liquidity risk in the financial sector.

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Versión aceptada de: https://doi.org/10.1080/03610926.2021.1971248

Keywords

Stochastic dominance Dependence Liquidity risk

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https://doi.org/10.1080/03610926.2021.1971248

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