Published April 2009
| public
Journal Article
An axiomatization of quantiles on the domain of distribution functions
- Creators
-
Chambers, Christopher P.
Abstract
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 first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.
Additional Information
© 2009 Wiley Periodicals, Inc. Manuscript received December 2006; final revision received September 2007.Additional details
- Eprint ID
- 13999
- Resolver ID
- CaltechAUTHORS:20090416-111322353
- Created
-
2009-04-22Created from EPrint's datestamp field
- Updated
-
2021-11-08Created from EPrint's last_modified field