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An axiomatization of quantiles on the domain of distribution functions

Chambers, Christopher P. (2009) An axiomatization of quantiles on the domain of distribution functions. Mathematical Finance, 19 (2). pp. 335-342. ISSN 0960-1627.

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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.

Item Type:Article
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Chambers, Christopher P.0000-0001-8253-0328
Additional Information:© 2009 Wiley Periodicals, Inc. Manuscript received December 2006; final revision received September 2007.
Subject Keywords:risk measure; VaR; quantile; axiom
Issue or Number:2
Record Number:CaltechAUTHORS:20090416-111322353
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:13999
Deposited By: Jason Perez
Deposited On:22 Apr 2009 18:35
Last Modified:09 Mar 2020 13:18

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