Since 2014
A Sharpe-ratio-based measure for currencies
European Journal of Government and Economics
View Archive Info| Field | Value | |
| Title |
A Sharpe-ratio-based measure for currencies
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| Creator |
Prado-Dominguez, Javier
Fernández-Herráiz, Carlos |
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| Subject |
Sharpe Ratio; peso problem; carry trade; currency strategies.
G11; G13; G15; G17. |
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| Description |
The Sharpe Ratio offers an excellent summary of the excess return required per unit of risk invested. This work presents an adaptation of the ex-ante Sharpe Ratio for currencies where we consider a random walk approach for the currency behavior and implied volatility as a proxy for market expectations of future realized volatility. The outcome of the proposed measure seems to gauge some information on the expected required return attached to the “peso problem”.
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| Publisher |
Europa Grande
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| Contributor |
—
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| Date |
2015-06-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.ejge.org/index.php/ejge/article/view/77
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| Source |
European Journal of Government and Economics; Vol 4, No 1 (2015); 67-75
2254-7088 |
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| Language |
eng
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| Relation |
http://www.ejge.org/index.php/ejge/article/view/77/54
http://www.ejge.org/index.php/ejge/article/downloadSuppFile/77/29 |
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| Rights |
Copyright (c) 2015 Javier Prado-Dominguez, Carlos Fernández-Herráiz
http://creativecommons.org/licenses/by/4.0 |
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