Publication: Existence, uniqueness, and stability of optimal payoffs of eligible assets
Existence, uniqueness, and stability of optimal payoffs of eligible assets
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Baes, M., Koch-Medina, P., & Munari, C. (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets. Mathematical Finance, 30, 128–166. https://doi.org/10.1111/mafi.12205
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In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of prespecified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to be able to do so at the lowest possible cost and to identify the corresponding portfolios, or, equivalently, their payoffs. We study the existence and uniqueness of such optimal payoffs as well as their behavior under a perturbation or
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- Baes, Michel
- Munari, Cosimo
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Baes, M., Koch-Medina, P., & Munari, C. (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets. Mathematical Finance, 30, 128–166. https://doi.org/10.1111/mafi.12205