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Multivariate comonotonicity

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  • Puccetti, Giovanni
  • Scarsini, Marco

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.

Suggested Citation

  • Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:1:p:291-304
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    References listed on IDEAS

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