A Sharpe-ratio-based measure for currencies
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 expectatio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of A Coruna
2015-06-01
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| Series: | European Journal of Government and Economics |
| Subjects: | |
| Online Access: | http://www.ejge.org/index.php/ejge/article/view/77 |