Optimal Numeraires for Risk Measures

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.


Published in:
Mathematical Finance, 18, 333-336
Year:
2008
Publisher:
Wiley-Blackwell
ISSN:
0960-1627
Laboratories:




 Record created 2013-08-12, last modified 2018-03-17

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