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Multivariate comonotonicity

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Giovanni Puccetti

    (Department of Mathematics for Decisions - UniFI - Università degli Studi di Firenze = University of Florence = Université de Florence)

Abstract

In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties, more structures are needed than in the univariate case.

Suggested Citation

  • Marco Scarsini & Giovanni Puccetti, 2010. "Multivariate comonotonicity," Post-Print hal-00528400, HAL.
    • Handle: RePEc:hal:journl:hal-00528400
    DOI: 10.1016/j.jmva.2009.08.003
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    References listed on IDEAS

    as
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