A New Characterization of Comonotonicity and its Application in Behavioral Finance

Zuo Quan Xu

It is well-known that an $\mathbb{R}$-valued random vector $(X_1,X_2,\cdots ,X_n)$ is comonotonic if and only if $(X_1,X_2,\cdots ,X_n)$ and $(Q_1(U),Q_2(U),\cdots ,Q_n(U))$ c…