A Sharpe-ratio-based measure for currencies
| Autor: | Javier Prado-Domínguez, Carlos Fernández-Herraiz |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
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 |
| Zdroj: | 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) |
| Popis: | 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”. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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