• Title of article

    Multivariate comonotonicity

  • Author/Authors

    Puccetti، نويسنده , , Giovanni and Scarsini، نويسنده , , Marco، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 2010
  • Pages
    14
  • From page
    291
  • To page
    304
  • 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
    Copula , Supermodular function , Cyclical monotonicity , Rearrangements , Optimal coupling
  • Journal title
    Journal of Multivariate Analysis
  • Serial Year
    2010
  • Journal title
    Journal of Multivariate Analysis
  • Record number

    1565352

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1565352