Conditional Comonotonicity

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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Year of publication:	[2015]
Authors:	Jouini, Elyes
Other Persons:	Napp, Clotilde (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Decisions in Economics and Finance, Vol. 27, No. 2, pp. 153-166, 2005 Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012750513