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Journal articles

Conditional Comonotonicity

Abstract : 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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https://halshs.archives-ouvertes.fr/halshs-00151516
Contributor : Clotilde Napp Connect in order to contact the contributor
Submitted on : Wednesday, June 6, 2007 - 10:17:21 AM
Last modification on : Tuesday, January 18, 2022 - 3:24:12 PM
Long-term archiving on: : Monday, June 27, 2011 - 4:14:37 PM

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  • HAL Id : halshs-00151516, version 1

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Clotilde Napp, Elyès Jouini. Conditional Comonotonicity. Decisions in Economics and Finance, Springer-Verlag, 2005, 27 (2), pp.153-166. ⟨halshs-00151516⟩

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