Optimal Numeraires for Risk Measures

Damir Filipovic
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Damir Filipovic: Department of Mathematics, University of Munich

No 187, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements than any other numeraire.

Pages: 5 pages
Date: 2007-01-01
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Published as: Filipovic, D., 2008, "Optimal Numeraires for Risk Measures", Mathematical Finance, 18(2), 333-336.

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https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp187.pdf (application/pdf)

Related works:
Journal Article: OPTIMAL NUMERAIRES FOR RISK MEASURES (2008)
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