Externe Links
- Link: Financial Applications of the Mahalanobis Distance (2014)
- Stöckl_Hanke-2014-Financial_Applications_of_the_Mahalanobis_Distance
Referenz
Stöckl, S., & Hanke, M. (2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance, 1(2), 78-84.
Publikationsart
Beitrag in wissenschaftlicher Fachzeitschrift
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
- Lehrstuhl für Finance
- Institut für Finance