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Conditional comonotonicity

  • Elyès Jouini

    ()

  • Clotilde Napp

    ()

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.

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File URL: http://hdl.handle.net/10.1007/s10203-004-0049-y
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Article provided by Associazione per la Matematica in its journal Decisions in Economics and Finance.

Volume (Year): 27 (2004)
Issue (Month): 2 (December)
Pages: 153-166

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Handle: RePEc:spr:decfin:v:27:y:2004:i:2:p:153-166
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