Multivariate comonotonicity

Marco Scarsini and Giovanni Puccetti

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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: Cyclical monotonicity; Rearrangements; Optimal coupling; Copula; Supermodular function.; Supermodular function (search for similar items in EconPapers)
Date: 2010-01
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Citations: View citations in EconPapers (23)

Published in Journal of Multivariate Analysis, 2010, 101 (1), pp.291-304. ⟨10.1016/j.jmva.2009.08.003⟩

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Journal Article: Multivariate comonotonicity (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00528400

DOI: 10.1016/j.jmva.2009.08.003

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