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.

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Year of publication:	2007-01-01
Authors:	Filipovic, Damir
Institutions:	Finance Discipline Group, Business School

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 187 5 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005073661