Conditional comonotonicity
From MaRDI portal
Publication:1770205
DOI10.1007/s10203-004-0049-yzbMath1063.60002OpenAlexW3190347665MaRDI QIDQ1770205
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/
Related Items
Nonlinear bivariate comovements of asset prices: methodology, tests and applications ⋮ Conditional quantiles: an operator-theoretical approach ⋮ Applications of conditional comonotonicity to some optimization problems ⋮ Co-monotonicity of optimal investments and the design of structured financial products ⋮ Pareto efficiency for the concave order and multivariate comonotonicity ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Borch's theorem from the perspective of comonotonicity ⋮ Characterizations of Conditional Comonotonicity ⋮ Improved convex upper bound via conditional comonotonicity ⋮ A quantile correlated random coefficients panel data model ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS ⋮ Consequentialism and dynamic consistency in updating ambiguous beliefs ⋮ Multivariate comonotonicity ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
Cites Work
- Unnamed Item
- Unnamed Item
- Comonotonicity, correlation order and premium principles
- Non-additive measure and integral
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- An exploration of the effects of pessimism and doubt on asset returns.
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- The Dual Theory of Choice under Risk
- Robust Permanent Income and Pricing
