Multivariate comonotonicity
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.
Year of publication: |
2010
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---|---|
Authors: | Puccetti, Giovanni ; Scarsini, Marco |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 1, p. 291-304
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Publisher: |
Elsevier |
Keywords: | Cyclical monotonicity Rearrangements Optimal coupling Copula Supermodular function |
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