Title of article :
Generalized financial ratios
Author/Authors :
Nadarajah، Saralees نويسنده , , Kotz، Samuel نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Pages :
-994
From page :
995
To page :
0
Abstract :
Ratios of random variables are prevalent in finance. Examples include: current ratio, sales margin, changes in capital employed, interest cover, liabilities ratio and financial leverage ratio. In this note, we derive the exact distribution of the ratio X/(X + Y) when X and Y are independent generalized Pareto random variables, Pareto distribution being the first and the most popular distribution used in finance.
Keywords :
financial ratios , generalized Pareto distribution , ratios of random variables
Journal title :
MATHEMATICAL METHODS IN THE APPLIED SCIENCES
Serial Year :
2007
Journal title :
MATHEMATICAL METHODS IN THE APPLIED SCIENCES
Record number :
48659
Link To Document :
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