Conditional Comonotonicity
Napp, Clotilde; Jouini, Elyès (2004), Conditional Comonotonicity, Decisions in Economics and Finance, 27, 2, p. 153-166. http://dx.doi.org/10.1007/s10203-004-0049-y
Type
Article accepté pour publication ou publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00151516/en/Date
2004Journal name
Decisions in Economics and FinanceVolume
27Number
2Publisher
Springer
Pages
153-166
Publication identifier
Metadata
Show full item record
Abstract (EN)
In this paper we propose a generalization of the comonotonicity notion by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show on examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic settings.Subjects / Keywords
Dynamic Comonotonicity; ComonotonicityRelated items
Showing items related by title and author.
-
(2015) Article accepté pour publication ou publié
-
(2016) Article accepté pour publication ou publié
-
(2009) Communication / Conférence
-
(2008) Article accepté pour publication ou publié
-
(2006) Article accepté pour publication ou publié
