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

被引：1
|
作者：
Egozcue, Martin [1 ]
Garcia, Luis Fuentes [2 ]
机构：
[1] Univ Montevideo, Dept Econ, Montevideo, Uruguay
[2] Univ A Coruna, Dept Math, Coruna, Spain
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2023年 / 52卷 / 10期
关键词：
Stochastic dominance; dependence; liquidity risk;
D O I：
10.1080/03610926.2021.1971248
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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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页码：3354 / 3360
页数：7
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