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Conditional Comonotonicity

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Date
2004
Link to item file
http://halshs.archives-ouvertes.fr/halshs-00151516/en/
Dewey
Economie financière
Sujet
Dynamic Comonotonicity; Comonotonicity
JEL code
D91; C61; G12
Journal issue
Decisions in Economics and Finance
Volume
27
Number
2
Publication date
12-2004
Article pages
153-166
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s10203-004-0049-y
URI
https://basepub.dauphine.fr/handle/123456789/344
Collections
  • DRM : Publications
  • CEREMADE : Publications
Metadata
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Author
Napp, Clotilde
Jouini, Elyès
Type
Article accepté pour publication ou publié
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.

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