On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection
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| Autore principale: | |
|---|---|
| Data di pubblicazione: | 2024 |
| Altri autori: | , , , , , |
| Natura: | Article |
| Lingua: | eng |
| Fonte: | Repositório Institucional da UnB |
| Download full: | http://repositorio.unb.br/handle/10482/50624 https://doi.org/10.3390/e26060441 https://orcid.org/0009-0005-5863-7041 https://orcid.org/0000-0003-0286-0541 https://orcid.org/0009-0007-5251-4942 https://orcid.org/0000-0002-9790-369X https://orcid.org/0000-0002-4467-8652 https://orcid.org/0009-0004-5147-4393 https://orcid.org/0000-0002-2581-0486 |
Riassunto: | In reliability contexts, probabilities of the type R = P(X < Y), where X and Y are random variables, have shown to be useful tools to compare the performance of these stochastic entities. By considering that both X and Y follow a transmuted generalized extreme-value (TGEV) distribution, new analytical relationships were derived for R in terms of special functions. The results hereby obtained are more flexible when compared to similar results found in the literature. To highlight the applicability and correctness of our results, we conducted a Monte-Carlo simulation study and investigated the use of the reliability measure P(X < Y) to select among financial assets whose returns were characterized by the random variables X and Y. Our results highlight that R is an interesting alternative to modern portfolio theory, which usually relies on the contrast of involved random variables by a simple comparison of their means and standard deviations. |
Accesso online
http://repositorio.unb.br/handle/10482/50624https://doi.org/10.3390/e26060441
https://orcid.org/0009-0005-5863-7041
https://orcid.org/0000-0003-0286-0541
https://orcid.org/0009-0007-5251-4942
https://orcid.org/0000-0002-9790-369X
https://orcid.org/0000-0002-4467-8652
https://orcid.org/0009-0004-5147-4393
https://orcid.org/0000-0002-2581-0486