Financial Applications of the Mahalanobis Distance

External Documents

• Link: Financial Applications of the Mahalanobis Distance (2014)
• Stöckl_Hanke-2014-Financial_Applications_of_the_Mahalanobis_Distance

Reference

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

Publication type

Article in Scientific Journal

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

• Prof. Dr. Michael Hanke
• Ass.-Prof. Dr. Sebastian Stöckl

Organizational Units

• Chair in Finance
• Institute for Finance

DOI