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Financial Applications of the Mahalanobis Distance

Applied Economics and Finance

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Field Value
 
Title Financial Applications of the Mahalanobis Distance
 
Creator Stöckl, Sebastian; Institute of Financial Services, University of Liechtenstein
Hanke, Michael; Institute of Financial Services, University of Liechtenstein
 
Description 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.
 
Publisher Redfame Publishing
 
Date 2014-10-11
 
Type info:eu-repo/semantics/article
Peer-reviewed Article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/aef/article/view/511
10.11114/aef.v1i2.511
 
Source Applied Economics and Finance; Vol 1, No 2 (2014); 78-84
 
Language eng
 
Relation http://redfame.com/journal/index.php/aef/article/view/511/497
 
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