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The standard form of the Omega ratio is a non-convex function, but it is possible to optimize a transformed version using linear programming. [4] To begin with, Kapsos et al. show that the Omega ratio of a portfolio is: = [() +] + The optimization problem that maximizes the Omega ratio is given by: [() +], (), =, The objective function is non-convex, so several ...
Return on capital employed is an accounting ratio used in finance, valuation, and accounting. It is a useful measure for comparing the relative profitability of companies after taking into account the amount of capital used. [1]
The return on equity (ROE) is a measure of the profitability of a business in relation to its equity; [1] where: . ROE = Net Income / Average Shareholders' Equity [1] Thus, ROE is equal to a fiscal year's net income (after preferred stock dividends, before common stock dividends), divided by total equity (excluding preferred shares), expressed as a percentage.
Return on capital (ROC), or return on invested capital (ROIC), is a ratio used in finance, valuation and accounting, as a measure of the profitability and value-creating potential of companies relative to the amount of capital invested by shareholders and other debtholders. [1] It indicates how effective a company is at turning capital into ...
To calculate the capital gain for US income tax purposes, include the reinvested dividends in the cost basis. The investor received a total of $4.06 in dividends over the year, all of which were reinvested, so the cost basis increased by $4.06. Cost Basis = $100 + $4.06 = $104.06; Capital gain/loss = $103.02 − $104.06 = -$1.04 (a capital loss)
A financial ratio or accounting ratio states the relative magnitude of two selected numerical values taken from an enterprise's financial statements. Often used in accounting , there are many standard ratios used to try to evaluate the overall financial condition of a corporation or other organization.
The cyclically adjusted price-to-earnings ratio, commonly known as CAPE, [1] Shiller P/E, or P/E 10 ratio, [2] is a stock valuation measure usually applied to the US S&P 500 equity market. It is defined as price divided by the average of ten years of earnings ( moving average ), adjusted for inflation. [ 3 ]
Broadly speaking, in business enterprises, risk is traded off against benefit. RAROC is defined as the ratio of risk adjusted return to economic capital. The economic capital is the amount of money which is needed to secure the survival in a worst-case scenario, it is a buffer against unexpected shocks in market values.