Financial Applications of the Mahalanobis Distance

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Referenz

Stöckl, S., & Hanke, M. (2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance, 1(2), 78-84. (ABDC: A)

Publikationsart

Artikel in wissenschaftlicher Zeitschrift

Abstract

We describe existing and potential financial applications of the Mahalanobis distance. After a short motivation and a discussion of important properties of this multivariate distance measure, we classify its applications in finance according to the source and nature of its input parameters. Examples illustrate the usefulness of these applications of the Mahalanobis distance for financial market participants.

Mitarbeiter

Einrichtungen

  • Institut für Finanzdienstleistungen
  • Lehrstuhl für Finance

DOI

http://dx.doi.org/10.11114/aef.vli2.511