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.
Multivariate comonotonicity / Puccetti, G; Scarsini, Marco. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - 101:1(2010), pp. 291-304. [10.1016/j.jmva.2009.08.003]
Multivariate comonotonicity
SCARSINI, MARCO
2010
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.
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