It is well-known that an \R^n-valued random vector (X_1, X_2, \cdots, X_n) is comonotonic if and only if (X_1, X_2, \cdots, X_n) and (Q_1(U), Q_2(U),\cdots, Q_n(U)) coincide in distribution, for any uniformly distributed random variable U  on the unit interval , where Q_k is the quantile function of X_k, k=1,2,\cdots, n. It is natural to ask whether (X_1, X_2, \cdots, X_n) and (Q_1(U), Q_2(U),\cdots, Q_n(U)) can coincide almost surely for some special U. In this paper, we give a positive answer to this question via construction. We then apply this result to consider a general investment problem with a law-invariant preference measure in a financial market . We show that any optimal  output should be anti-comonotonic with the market pricing kernel. Unlike previous studies, our approach avoids making the assumption that the pricing kernel is atomless, and  we overcome one of the major difficulties encountered when one considers general economic equilibrium models in which the pricing kernel is a yet-to-be-determined unknown random variable  .
It is well-known that an \R^n-valued random vector (X_1, X_2, \cdots, X_n) is comonotonic if and only if (X_1, X_2, \cdots, X_n) and (Q_1(U), Q_2(U),\cdots, Q_n(U)) coincide in distribution, for any random variable U uniformly distributed on the unit interval (0,1), where Q_k (\cdot) are the quantile functions of X_k, k=1,2,\cdots, n. It is natural to ask whether (X_1, X_2, \cdots, X_n) and (Q_1(U), Q_2(U),\cdots, Q_n(U)) can coincide almost surely for some special U. In this paper, we give a positive answer to this question by construction. We then apply this result to a general behavioral investment model with a law-invariant preference measure and develop a universal framework to link the problem to its quantile formulation . We show that any optimal investment output should be anti-comonotonic with the market pricing kernel. Unlike previous studies, our approach avoids making the assumption that the pricing kernel is atomless, and consequently, we overcome one of the major difficulties encountered when one considers behavioral economic equilibrium models in which the pricing kernel is a yet-to-be-determined unknown random variable . The method is applicable to many other models such as risk sharing model .
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uniformly distributed
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uniformly distributed
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is the quantile function
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via
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consider a general investment problem
a general behavioral investment model
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in a financial market
and develop a universal framework to link the problem to its quantile formulation
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investment
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consequently,
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general
behavioral
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. The method is applicable to many other models such as risk sharing model