CaltechAUTHORS
  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 (Unpublished) http://resolver.caltech.edu/CaltechAUTHORS:20170802-104836154

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

168Kb

Use this Persistent URL to link to this item: http://resolver.caltech.edu/CaltechAUTHORS:20170802-104836154

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.


Item Type:Report or Paper (Working Paper)
Group:Social Science Working Papers
Subject Keywords:Ordinal, quantile, median, axiom, risk measure, Value at Risk
Classification Code:JEL: D80, D81
Record Number:CaltechAUTHORS:20170802-104836154
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20170802-104836154
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:79754
Collection:CaltechAUTHORS
Deposited By: Hanna Storlie
Deposited On:02 Aug 2017 18:01
Last Modified:02 Aug 2017 18:01

Repository Staff Only: item control page