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Optimal Coupling of Multivariate Distributions and Stochastic Processes

Author

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  • Cuestaalbertos, J. A.
  • Ruschendorf, L.
  • Tuerodiaz, A.

Abstract

Same explicit optimal coupling results are derived with respect to minimal metrics of lp-type. In particular, the optimality of radial transformations, positive transformations, and monotone transformations of the components is established.

Suggested Citation

  • Cuestaalbertos, J. A. & Ruschendorf, L. & Tuerodiaz, A., 1993. "Optimal Coupling of Multivariate Distributions and Stochastic Processes," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 335-361, August.
    • Handle: RePEc:eee:jmvana:v:46:y:1993:i:2:p:335-361
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    Cited by:

    1. Silvana Pesenti & Sebastian Jaimungal, 2020. "Portfolio Optimisation within a Wasserstein Ball," Papers 2012.04500, arXiv.org, revised Jun 2022.
    2. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
    3. Rüschendorf, Ludger, 1996. "On c-optimal random variables," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 267-270, April.
    4. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
    5. Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.

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