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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
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.
Keywords : Supermodular function Cyclical monotonicity Rearrangements Optimal coupling Copula Supermodular function.
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Journal articles
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https://hal-hec.archives-ouvertes.fr/hal-00528400
Contributor : Antoine Haldemann <>
Submitted on : Thursday, October 21, 2010 - 4:32:33 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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

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