AbstractIn 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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Date of creation: 2005
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Publication status: Published, Decisions in Economics and Finance, 2005, 27, 2, 153-166
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comonotonicity; dynamic comonotonicity;
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