no code implementations • 19 Oct 2023 • Joshua Rosaler, Dhruv Desai, Bhaskarjit Sarmah, Dimitrios Vamvourellis, Deran Onay, Dhagash Mehta, Stefano Pasquali
We initiate a novel approach to explain the out of sample performance of random forest (RF) models by exploiting the fact that any RF can be formulated as an adaptive weighted K nearest-neighbors model.
no code implementations • 15 Aug 2023 • Dimitrios Vamvourellis, Máté Toth, Snigdha Bhagat, Dhruv Desai, Dhagash Mehta, Stefano Pasquali
Identifying companies with similar profiles is a core task in finance with a wide range of applications in portfolio construction, asset pricing and risk attribution.
no code implementations • 14 Aug 2023 • Dhruv Desai, Ashmita Dhiman, Tushar Sharma, Deepika Sharma, Dhagash Mehta, Stefano Pasquali
Mutual fund categorization has become a standard tool for the investment management industry and is extensively used by allocators for portfolio construction and manager selection, as well as by fund managers for peer analysis and competitive positioning.
no code implementations • 11 Jul 2022 • Dimitrios Vamvourellis, Mate Attila Toth, Dhruv Desai, Dhagash Mehta, Stefano Pasquali
Categorization of mutual funds or Exchange-Traded-funds (ETFs) have long served the financial analysts to perform peer analysis for various purposes starting from competitor analysis, to quantifying portfolio diversification.
no code implementations • 10 Jul 2022 • Jerinsh Jeyapaulraj, Dhruv Desai, Peter Chu, Dhagash Mehta, Stefano Pasquali, Philip Sommer
Financial literature consists of ample research on similarity and comparison of financial assets and securities such as stocks, bonds, mutual funds, etc.
no code implementations • 24 Jun 2021 • Vipul Satone, Dhruv Desai, Dhagash Mehta
Identifying similar mutual funds with respect to the underlying portfolios has found many applications in financial services ranging from fund recommender systems, competitors analysis, portfolio analytics, marketing and sales, etc.
no code implementations • 29 May 2020 • Dhagash Mehta, Dhruv Desai, Jithin Pradeep
Given the surge in popularity of mutual funds (including exchange-traded funds (ETFs)) as a diversified financial investment, a vast variety of mutual funds from various investment management firms and diversification strategies have become available in the market.