Multivariate comonotonicity

Marco Scarsini (1) , Giovanni Puccetti (2)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Department of Mathematics for Decisions

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.

Keywords: Cyclical monotonicity; Rearrangements; Optimal coupling; Copula; Supermodular function.; Supermodular function

Domains: Economy and decision science

Marco Scarsini, Giovanni Puccetti. Multivariate comonotonicity. Journal of Multivariate Analysis, 2010, 101 (1), pp.291-304. ⟨10.1016/j.jmva.2009.08.003⟩. ⟨hal-00528400⟩