Conditional Comonotonicity

Clotilde Napp (1, 2) , Elyès Jouini (1)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CREST - Centre de Recherche en Économie et Statistique

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.

Mots clés: comonotonicity; dynamic comonotonicity

Domaines: Economies et finances; Méthodes et statistiques

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