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A Perron-Frobenius comonotonic approximation for sums of lognormals
Abstract
In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.
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BibTeX
@misc{huang2026perronfrobenius,
title = {{A Perron-Frobenius comonotonic approximation for sums of lognormals}},
author = {Chunle Huang},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2609.06118},
eprint = {2609.06118},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.06118},
}
RIS
TY - UNPB
TI - A Perron-Frobenius comonotonic approximation for sums of lognormals
AU - Chunle Huang
PY - 2026
DA - 2026/09/05
PB - arXiv
DO - 10.48550/arxiv.2609.06118
UR - https://arxiv.org/abs/2609.06118
AB - In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.
ER -