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Financial Applications of the Mahalanobis Distance

External Documents

Reference

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

Publication type

Refereed Journal Article

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.

Persons

Organizational Units

  • Institute for Financial Services
  • Chair in Finance

DOI

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