Artikel
A Sharpe-ratio-based measure for currencies
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".
- Sprache
-
Englisch
- Erschienen in
-
Journal: European Journal of Government and Economics (EJGE) ; ISSN: 2254-7088 ; Volume: 4 ; Year: 2015 ; Issue: 1 ; Pages: 67-75 ; A Coruña: Universidade da Coruña
- Klassifikation
-
Wirtschaft
- Thema
-
Sharpe Ratio
peso problem
carry trade
currency strategies.
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Prado-Dominguez, Javier
Fernández-Herráiz, Carlos
- Ereignis
-
Veröffentlichung
- (wer)
-
Universidade da Coruña
- (wo)
-
A Coruña
- (wann)
-
2015
- DOI
-
doi:10.17979/ejge.2015.4.1.4307
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Prado-Dominguez, Javier
- Fernández-Herráiz, Carlos
- Universidade da Coruña
Entstanden
- 2015
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