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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 publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00151516/en/
Date
2004
Journal name
Decisions in Economics and Finance
Volume
27
Number
2
Publisher
Springer
Pages
153-166
Publication identifier
http://dx.doi.org/10.1007/s10203-004-0049-y
Metadata
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Author(s)
Napp, Clotilde cc
Jouini, Elyès
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; Comonotonicity
JEL
D91 - Intertemporal Household Choice; Life Cycle Models and Saving
C61 - Optimization Techniques; Programming Models; Dynamic Analysis
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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