Listar REV - EJGE - Vol. 04, Nº 01, 2015 por autor "Fernández Herráiz, Carlos"
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A Sharpe-Ratio-Based Measure for Currencies
Prado-Domínguez, Antonio Javier; Fernández Herráiz, Carlos (Universidade da Coruña, Servizo de Publicacións, 2015)[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 ...