AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS

Christopher Chambers

Mathematical Finance, 2009, vol. 19, issue 2, 335-342

Abstract: In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first‐order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9965.2009.00369.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:19:y:2009:i:2:p:335-342

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().