{"title":"A Sharpe-ratio-based measure for currencies","authors":"Javier Prado-Dominguez, Carlos Fernández-Herráiz","doi":"10.17979/EJGE.2015.4.1.4307","DOIUrl":null,"url":null,"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”.","PeriodicalId":37945,"journal":{"name":"European Journal of Government and Economics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2015-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Journal of Government and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17979/EJGE.2015.4.1.4307","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Social Sciences","Score":null,"Total":0}
引用次数: 2
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”.
期刊介绍：
The European Journal of Government and Economics (EJGE) is an international academic journal for peer reviewed research on all aspects of government and economics. EJGE is particularly interested in current issues regarding the interrelationship between the fields of government and economics, from the influence of government on the economy (economic policy) to economic explanations of government (public choice). It is also particularly interested in questions directly or indirectly related to Europe.
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