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Hellinger distance to normal distribution as market invariant

Author

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  • Mesrop T. Mesropyan

    (Yerevan State University)

  • Vardan G. Bardakhchyan

    (Yerevan State University)

Abstract

Main purpose of distance based portfolio constructions is in portfolio imitation. Here we construct portfolio based on Hellinger distance from normal distribution. We empirically found that minimum of this distance drastically varies from market to market. Thus we suppose that it may be regarded as a form of market invariant, in a sense of helpful tool for market segmentation. We analyze its sensitivity. Though mean sensitivity was small it showed extreme sensitivity in some cases.

Suggested Citation

  • Mesrop T. Mesropyan & Vardan G. Bardakhchyan, 2022. "Hellinger distance to normal distribution as market invariant," Papers 2206.05705, arXiv.org.
    • Handle: RePEc:arx:papers:2206.05705
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    References listed on IDEAS

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    5. Anna, Petrenko, 2016. "Мaркування готової продукції як складова частина інформаційного забезпечення маркетингової діяльності підприємств овочепродуктового підкомплексу," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 2(1), March.
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