论文标题
Hellinger距离正态分布的距离为市场不变
Hellinger distance to normal distribution as market invariant
论文作者
论文摘要
基于距离的投资组合结构的主要目的是投资组合模仿。在这里，我们根据与正态分布的距离构建投资组合。我们从经验上发现，这一距离的最低限度因市场而异。因此，我们认为它可以被视为市场细分工具的一种市场不变的形式。我们分析了它的敏感性。尽管平均灵敏度很小，但在某些情况下显示出极端灵敏度。
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.
