IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v18y2008i2p333-336.html

Optimal Numeraires For Risk Measures

Author

Listed:
  • Damir Filipović

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.

Suggested Citation

  • Damir Filipović, 2008. "Optimal Numeraires For Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 333-336, April.
    • Handle: RePEc:bla:mathfi:v:18:y:2008:i:2:p:333-336
    DOI: 10.1111/j.1467-9965.2007.00336.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9965.2007.00336.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9965.2007.00336.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
    2. Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo, 2014. "Capital requirements with defaultable securities," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 58-67.
    3. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Capital requirements with defaultable securities," Papers 1203.4610, arXiv.org, revised Jan 2014.
    4. Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:18:y:2008:i:2:p:333-336. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.