A Sharpe-ratio-based measure for currencies

Artikel

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".

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: 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

Classification and Topics

• Classification: Wirtschaft
• Subject: Sharpe Ratio ; peso problem ; carry trade ; currency strategies.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Prado-Dominguez, Javier ; Fernández-Herráiz, Carlos
• Event: Veröffentlichung
• (who): Universidade da Coruña
• (where): A Coruña
• (when): 2015

Further information

• DOI: doi:10.17979/ejge.2015.4.1.4307
• Handle: http://hdl.handle.net/10419/217738
• Last update: 10.03.2025, 11:41 AM CET