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Title: On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection
Authors: Oliveira, Melquisadec Souza
Quintino, Felipe Sousa
Aguiar, Dióscoros
Rathie, Pushpa Narayan
Santos, Helton Saulo Bezerra dos
Fonseca, Tiago Alves da
Ozelim, Luan Carlos de Sena Monteiro
metadata.dc.identifier.orcid: 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
metadata.dc.contributor.affiliation: University of Brasília, Department of Statistics
University of Brasília, Department of Statistics
Universidade Federal de Jataí, Instituto de Ciências Exatas e Tecnológicas
University of Brasília, Department of Statistics
University of Brasília, Department of Statistics
University of Brasília, Gama Engineering College
University of Brasília, Department of Civil and Environmental Engineering
Assunto:: Modelos estocásticos
Confiabilidade tensão-resistência
Distribuição (Probabilidades)
Issue Date: 23-May-2024
Publisher: MDPI
Citation: OLIVEIRA, Melquisadec et al. On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection. Entropy, [S. l.], v. 26, n. 6, 441, 2024. DOI: https://doi.org/10.3390/e26060441. Disponível em: https://www.mdpi.com/1099-4300/26/6/441. Acesso em: 20 out. 2024.
Abstract: 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.
metadata.dc.description.unidade: Instituto de Ciências Exatas (IE)
Departamento de Estatística (IE EST)
Faculdade UnB Gama (FGA)
Faculdade de Tecnologia (FT)
Departamento de Engenharia Civil e Ambiental (FT ENC)
metadata.dc.description.ppg: Programa de Pós-Graduação em Estatística
Licença:: © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/)
DOI: https://doi.org/10.3390/e26060441
Appears in Collections:Artigos publicados em periódicos e afins

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