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A Sharpe-ratio-based measure for currencies
- Source :
- RUC. Repositorio da Universidade da Coruña, instname, European Journal of Government and Economics, Vol 4, Iss 1 (2015), European Journal of Government and Economics, Vol 4, Iss 1, Pp 67-75 (2015)
- Publication Year :
- 2015
-
Abstract
- 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”.
- Subjects :
- Economics and Econometrics
Public Administration
Realized variance
Financial economics
Sharpe ratio
carry trade
lcsh:Political science
Implied volatility
Measure (mathematics)
Peso problem
ddc:330
Econometrics
Economics
sharpe Ratio
peso problem
currency strategies
Proxy (statistics)
Sharpe Ratio
Sortino ratio
Random walk
jel:G13
lcsh:Political institutions and public administration (General)
jel:G11
jel:G17
jel:G15
Currency
lcsh:JF20-2112
lcsh:J
Carry trade
Currency strategies
Subjects
Details
- Volume :
- 4
- Issue :
- 1
- Database :
- OpenAIRE
- Journal :
- European Journal of Government and Economics
- Accession number :
- edsair.doi.dedup.....268a96762e9cb2b303fe5c69af68e519