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

Simple item page
UDC.coleccionInvestigaciónes_ES
UDC.departamentoMatemáticases_ES
UDC.endPage3360es_ES
UDC.grupoInvGrupo de Métodos Numéricos en Enxeñaría (GMNI)es_ES
UDC.issue10es_ES
UDC.journalTitleCommunications in Statistics - Theory and Methodses_ES
UDC.startPage3354es_ES
UDC.volume52es_ES
dc.contributor.authorEgozcue, Martin
dc.contributor.authorFuentes García, Luis
dc.date.accessioned2024-12-02T19:17:36Z
dc.date.available2024-12-02T19:17:36Z
dc.date.issued2023
dc.descriptionVersión aceptada de: https://doi.org/10.1080/03610926.2021.1971248es_ES
dc.description.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.es_ES
dc.description.sponsorshipThis work has been partially supported by the Ministerio de Ciencia, Innovación y Universidades (grant #RTI2018-093366-BI00) of the Spanish Government and by the, Consellería de Cultura, Educación e Ordenación Universitaria of the Xunta de Galicia (grant #ED431C 2018/41) cofinanced with FEDER funds, and the Universidade da Coruña.es_ES
dc.description.sponsorshipXunta de Galicia; ED431C 2018/41es_ES
dc.identifier.citationEgozcue, 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/10.1080/03610926.2021.1971248es_ES
dc.identifier.doi10.1080/03610926.2021.1971248
dc.identifier.urihttp://hdl.handle.net/2183/40456
dc.language.isoenges_ES
dc.publisherTaylor & Francises_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/RTI2018-093366-BI00/ES/es_ES
dc.relation.urihttps://doi.org/10.1080/03610926.2021.1971248es_ES
dc.rightsAtribución-NoComerciales_ES
dc.rights.accessRightsopen accesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc/3.0/es/*
dc.subjectStochastic dominancees_ES
dc.subjectDependencees_ES
dc.subjectLiquidity riskes_ES
dc.titleA note on second-order stochastic dominance for linear combinations of dependent Bernoulli random variableses_ES
dc.typejournal articlees_ES
dspace.entity.typePublication
relation.isAuthorOfPublication07f7c8c3-3f86-4e18-9115-ad5a37acbffc
relation.isAuthorOfPublication.latestForDiscovery07f7c8c3-3f86-4e18-9115-ad5a37acbffc

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
FuentesL_2021_Note-second-order_CiSTaM-52-10-3354.pdf
Size:
199.7 KB
Format:
Adobe Portable Document Format
Description:
Versión aceptada
Download

Collections

Investigación (ETSECCP)