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

Autor:	Martín Egozcue, Luis Fuentes García
Rok vydání:	2021
Předmět:	Statistics and Probability Bernoulli's principle Order (group theory) Stochastic dominance Applied mathematics Linear combination Liquidity risk Random variable Mathematics
Zdroj:	Communications in Statistics - Theory and Methods. 52:3354-3360
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610926.2021.1971248
Popis:	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 exchangeab...
Databáze:	OpenAIRE
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