An axiomatization of quantiles on the domain of distribution functions
نویسنده
چکیده
In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to rst order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.
منابع مشابه
A simple axiomatization of quantiles on the domain of distribution functions
In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to rst order stochastic dominance, and continuity. We show how to characterize the VAR in a similar manner.
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تاریخ انتشار 2006