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math.PR2019
Commonotonicity and Random Variables
Freddy Delbaen
It is proved that in suitable filtrations every pair of integrable random variables is the conditional expectation of a pair of commonotone integrable random variables.
math.PR2019
Commonotonicity and time consistency for Lebesgue continuous monetary utility functions
Freddy Delbaen
It is proved that commonotonicity and time consistence for monetary utility functions do not go together. I also gives additional results on atomless and conditionally atomless pro…