Multivariate countermonotonicity and the minimal copulas

Woojoo Lee, Ka Chun Cheung, Jae Youn Ahn

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


Fréchet–Hoeffding upper and lower bounds play an important role in various bivariate optimization problems because they are the maximum and minimum of bivariate copulas in concordance order, respectively. However, while the Fréchet–Hoeffding upper bound is the maximum of any multivariate copulas, there is no minimum copula available for dimensions d≥3. Therefore, multivariate minimization problems with respect to a copula are not straightforward as the corresponding maximization problems. When the minimum copula is absent, minimal copulas are useful for multivariate minimization problems. We illustrate the motivation of generalizing the joint mixability to d-countermonotonicity defined in Lee and Ahn (2014) through variance minimization problems and show that d-countermonotonic copulas are minimal copulas.

Original languageEnglish
Pages (from-to)589-602
Number of pages14
JournalJournal of Computational and Applied Mathematics
StatePublished - 1 Jun 2017


  • Comonotonicity
  • Countermonotonicity
  • Minimal copula
  • Variance minimization


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