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On Hoeffding-Fréchet bounds and cyclic monotone relations

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  • Smith, Cyril
  • Knott, Martin

Abstract

A large amount of work has been carried out on finding joint distributions of X and Y with given margins which maximise the expected value of various returns c(X, Y). This paper connects the solution of such problems to a special class of relations, and obtains some specific and interesting solutions for the case c = -X - Yp.

Suggested Citation

  • Smith, Cyril & Knott, Martin, 1992. "On Hoeffding-Fréchet bounds and cyclic monotone relations," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 328-334, February.
    • Handle: RePEc:eee:jmvana:v:40:y:1992:i:2:p:328-334
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    Cited by:

    1. Malamud, Semyon & Cieslak, Anna & Schrimpf, Paul, 2021. "Optimal Transport of Information," CEPR Discussion Papers 15859, C.E.P.R. Discussion Papers.
    2. Rüschendorf, Ludger, 1996. "On c-optimal random variables," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 267-270, April.

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    Keywords

    minimum correlation general cost;

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