Abstract
In this paper we propose a generalization of the notion of comonotonicity by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show by examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic settings.
Mathematics Subject Classification (2000): 90A05, 60Gxx
Journal of Economic Literature Classification: D910, C610, G120
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Jouini, E., Napp, C. Conditional comonotonicity. Decisions Econ Finan 27, 153–166 (2004). https://doi.org/10.1007/s10203-004-0049-y
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DOI: https://doi.org/10.1007/s10203-004-0049-y