Before revision: We study the existence of portfolios of traded assets making a given financial institution pass some pre-specified (internal or external) regulatory test. In particular, we are interested in the existence of optimal portfolios , i.e. portfolios that allow to pass the test at the lowest cost, and in their sensitivity to changes in the underlying capital position.
After revision: We study the existence of portfolios of traded assets making a given financial institution pass some pre-specified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to identify the set of portfolios of eligible assets that allow to pass the test at the lowest cost, and in their sensitivity to changes in the underlying capital position.