A new characterization of comonotonicity and its application in behavioral finance
作者: Zuo Quan Xu
作者单位: 1Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong
刊名: Journal of Mathematical Analysis and Applications, 2014, Vol.418 (2), pp.612-625
来源数据库: Elsevier Journal
DOI: 10.1016/j.jmaa.2014.03.053
关键词: ComonotonicityBehavioral financeQuantile formulationAtomless/non-atomicPricing kernelCumulative prospect theoryRank-dependent utility theoryEconomic equilibrium model
原始语种摘要: Abstract(#br)It is well-known that an R n -valued random vector ( X 1 , X 2 , ⋯ , X n ) is comonotonic if and only if ( X 1 , X 2 , ⋯ , X n ) and ( Q 1 ( U ) , Q 2 ( U ) , ⋯ , Q n ( U ) ) coincide in distribution , for any random variable U uniformly distributed on the unit interval ( 0 , 1 ) , where Q k ( ⋅ ) are the quantile functions of X k , k = 1 , 2 , ⋯ , n . It is natural to ask whether ( X 1 , X 2 , ⋯ , X n ) and ( Q 1 ( U ) , Q 2 ( U ) , ⋯ , Q n ( U ) ) can coincide almost surely for some special U . In this paper, we give a positive answer to this question by construction. We then apply this result to a general behavioral investment model with a law-invariant preference measure and develop a universal framework to link the problem to its quantile formulation. We show that any...
全文获取路径: Elsevier  (合作)
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关键词翻译
关键词翻译
  • finance 金融
  • quantile 分位数
  • pricing 定价
  • equilibrium 平衡
  • variable 变量
  • prospect 预料
  • kernel 
  • general 普遍的
  • formulation 配方
  • construction 构造