Mahalanobis Distance

Uncertainty & Ambiguity in Finance featured image
Parameter Uncertainty

Uncertainty & Ambiguity in Finance

Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.

Read more
Risk Index

Financial Applications of the Mahalanobis Distance

We describe existing and potential financial applications of the Mahalanobis distance.

Sebastian Stöckl
•
Read more