Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217738 
Year of Publication: 
2015
Citation: 
[Journal:] European Journal of Government and Economics (EJGE) [ISSN:] 2254-7088 [Volume:] 4 [Issue:] 1 [Publisher:] Universidade da Coruña [Place:] A Coruña [Year:] 2015 [Pages:] 67-75
Publisher: 
Universidade da Coruña, A Coruña
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".
Subjects: 
Sharpe Ratio
peso problem
carry trade
currency strategies.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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