A Caltech Library Service

A Simple Axiomatization of Quantiles on the Domain of Distribution Functions

Chambers, Christopher P. (2006) A Simple Axiomatization of Quantiles on the Domain of Distribution Functions. Social Science Working Paper, 1246. California Institute of Technology , Pasadena, CA. (Unpublished)

[img] PDF (SSWP 1246 - Jan. 2006) - Submitted Version
See Usage Policy.


Use this Persistent URL to link to this item:


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:Report or Paper (Working Paper)
Chambers, Christopher P.0000-0001-8253-0328
Group:Social Science Working Papers
Subject Keywords:Ordinal, quantile, median, axiom, risk measure, Value at Risk
Series Name:Social Science Working Paper
Issue or Number:1246
Classification Code:JEL: D80, D81
Record Number:CaltechAUTHORS:20170802-104836154
Persistent URL:
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:79754
Deposited By: Hanna Storlie
Deposited On:02 Aug 2017 18:01
Last Modified:09 Mar 2020 13:18

Repository Staff Only: item control page