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Multivariate comonotonicity

Listed author(s):
  • Puccetti, Giovanni
  • Scarsini, Marco

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.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 101 (2010)
Issue (Month): 1 (January)
Pages: 291-304

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Handle: RePEc:eee:jmvana:v:101:y:2010:i:1:p:291-304
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