OPTIMAL NUMERAIRES FOR RISK MEASURES

Damir Filipović

Mathematical Finance, 2008, vol. 18, issue 2, 333-336

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.

Date: 2008
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