Conditional comonotonicity

DOI10.1007/S10203-004-0049-YMaRDI QIDQ1770205zbMATH OpenOpenAlexFDO

Authors Elyès Jouini, Clotilde Napp

Publication date 11 April 2005

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL http://halshs.archives-ouvertes.fr/halshs-00151516/en/

zbMATH Keywords

conditional comonotonicitydynamic settings

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Probabilistic measure theory (60A10)

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Cites work

• An exploration of the effects of pessimism and doubt on asset returns.
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Comonotonicity, correlation order and premium principles
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Non-additive measure and integral
• Robust Permanent Income and Pricing
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The Dual Theory of Choice under Risk

Cited in

(24)

• Minimal Hellinger martingale measures of order \(q\)
• Multivariate comonotonicity
• Comonotonic processes
• A quantile correlated random coefficients panel data model
• Borch's theorem from the perspective of comonotonicity
• Weak comonotonicity
• Consequentialism and dynamic consistency in updating ambiguous beliefs
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• On the multidimensional extension of countermonotonicity and its applications
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Simple characterizations of comonotonicity and countermonotonicity by extremal correlations
• An overview of conditional comonotonicity and its applications
• Co-monotonicity of optimal investments and the design of structured financial products
• Comonotonic stochastic processes and generalized mean-square stochastic integral with applications
• Characterizations of Conditional Comonotonicity
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Conditional quantiles: an operator-theoretical approach
• A note on the induction of comonotonic additive risk measures from acceptance sets
• Random distortion risk measures
• Applications of conditional comonotonicity to some optimization problems
• Pareto efficiency for the concave order and multivariate comonotonicity
• Generalizing comonotonicity: new insights and dual perspectives
• Improved convex upper bound via conditional comonotonicity

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