Conditional Comonotonicity

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.

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Year of publication:	2004-12
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Dynamic Comonotonicity \| Comonotonicity

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Decisions in Economics and Finance, 2004, Vol. 27, no. 2. pp. 153-166.Length: 13 pages
Classification:	D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010708033