Record Details

A Sharpe-ratio-based measure for currencies

European Journal of Government and Economics

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Field Value
Title A Sharpe-ratio-based measure for currencies
Creator Prado-Dominguez, Javier
Fernández-Herráiz, Carlos
Subject Sharpe Ratio; peso problem; carry trade; currency strategies.
G11; G13; G15; G17.
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”.
Publisher Europa Grande
Date 2015-06-29
Type info:eu-repo/semantics/article
Peer-reviewed Article
Format application/pdf
Source European Journal of Government and Economics; Vol 4, No 1 (2015); 67-75
Language eng
Rights Copyright (c) 2015 Javier Prado-Dominguez, Carlos Fernández-Herráiz