A Sharpe-ratio-based measure for currencies
2015 ◽
Vol 4
(1)
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pp. 67
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Keyword(s):
Ex Ante
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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”.
Keyword(s):
2011 ◽
Vol 160
(1)
◽
pp. 48-57
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Keyword(s):
2019 ◽
Vol 55
(13)
◽
pp. 2997-3022
2017 ◽
Vol 48
(5)
◽
pp. 1503-1515
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Keyword(s):
Keyword(s):