Improved Fréchet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance

Thibaut Lux, Antonis Papapantoleon

We derive upper and lower bounds on the expectation of $f(\mathbf{S})$ under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dot…