The numeraire e-variable

We consider testing a composite null hypothesis $\mathcal{P}$ against a point alternative $\mathsf{Q}$. This paper establishes a powerful and general result: under no conditions whatsoever on $\mathcal{P}$ or $\mathsf{Q}$, there exists a special e-variable $X^*$ that we call the numeraire. It is strictly positive and for every $\mathsf{P} \in \mathcal{P}$, $\mathbb{E}_\mathsf{P}[X^*] \le 1$ (the e-variable property), while for every other e-variable $X$, we have $\mathbb{E}_\mathsf{Q}[X/X^*] \le 1$ (the numeraire property). In particular, this implies $\mathbb{E}_\mathsf{Q}[\log(X/X^*)] \le 0$ (log-optimality). $X^*$ also identifies a particular sub-probability measure $\mathsf{P}^*$ via the density $d \mathsf{P}^*/d \mathsf{Q} = 1/X^*$. As a result, $X^*$ can be seen as a generalized likelihood ratio of $\mathsf{Q}$ against $\mathcal{P}$. We show that $\mathsf{P}^*$ coincides with the reverse information projection (RIPr) when additional assumptions are made that are required for the latter to exist. Thus $\mathsf{P}^*$ is a natural definition of the RIPr in the absence of any assumptions on $\mathcal{P}$ or $\mathsf{Q}$. In addition to the abstract theory, we provide several tools for finding the numeraire in concrete cases. We discuss several nonparametric examples where we can indeed identify the numeraire, despite not having a reference measure. We end with a more general optimality theory that goes beyond the ubiquitous logarithmic utility. We focus on certain power utilities, leading to reverse R\'enyi projections in place of the RIPr, which also always exist.