Asset selection based on estimating stress-strength probabilities: The case of returns following three-parameter generalized extreme value distributions
Analyzing the statistical behavior of the assets' returns has shown to be an interesting approach to perform asset selection. In this work, we explore a stress-strength reliability approach to perform asset selection based on probabilities of the type $ P(X < Y) $ when both $ X $ and $ Y...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-01-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2024116?viewType=HTML |