Multivariate countermonotonicity and the minimal copulas

FrchetHoeffding upper and lower bounds play an important role in various bivariate optimization problems because they are the maximum and minimum of bivariate copulas in concordance order, respectively. However, while the FrchetHoeffding upper bound is the maximum of any multivariate copulas, there is no minimum copula available for dimensions d3. Therefore, multivariate minimization problems with respect to a copula are not straightforward as the corresponding maximization problems. When the minimum copula is absent, minimal copulas are useful for multivariate minimization problems. We illustrate the motivation of generalizing the joint mixability to d-countermonotonicity defined in Lee and Ahn (2014) through variance minimization problems and show that d-countermonotonic copulas are minimal copulas.