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:	2005
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	HAL
Subject:	comonotonicity \| dynamic comonotonicity

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00151516/en/ Published, Decisions in Economics and Finance, 2005, 27, 2, 153-166
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008792629