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On Hoeffding-Fréchet bounds and cyclic monotone relations

A large amount of work has been carried out on finding joint distributions of X and Y with given margins which maximise the expected value of various returns c(X, Y). This paper connects the solution of such problems to a special class of relations, and obtains some specific and interesting solutions for the case c = -X - Yp.
Year of publication:
1992
Authors: Smith, Cyril ; Knott, Martin
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 40.1992, 2, p. 328-334
Publisher: Elsevier
Subject: minimum correlation general cost
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005221498
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