Conditional Comonotonicity

Clotilde Napp and Elyès Jouini ()

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Abstract: 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.

Keywords: comonotonicity; dynamic comonotonicity (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00151516v1
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Published in Decisions in Economics and Finance, 2005, 27 (2), pp.153-166

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Journal Article: Conditional comonotonicity (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00151516

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