A Sharpe-ratio-based measure for currencies

• Autores: Antonio Javier Prado-Domínguez , Carlos Fernández Herráiz
• Localización: European Journal of Government and Economics, ISSN-e 2254-7088, Vol. 4, No. 1, 2015, págs. 67-75
• Idioma: inglés
• DOI: 10.17979/ejge.2015.4.1.4307
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• Dialnet Métricas: 1 Cita
• Resumen

  • 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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