Dhruv Desai

Quantifying Outlierness of Funds from their Categories using Supervised Similarity

2023 · arXiv (Cornell University)

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 …

Enhanced Local Explainability and Trust Scores with Random Forest Proximities

2023 · arXiv (Cornell University)

We initiate a novel approach to explain the predictions and out of sample performance of random forest (RF) regression and classification models by exploiting the fact that any RF can be mathematically formulated as an …

Open Set Recognition for Random Forest

2024 · arXiv (Cornell University)

In many real-world classification or recognition tasks, it is often difficult to collect training examples that exhaust all possible classes due to, for example, incomplete knowledge during training or ever changing regimes. Therefore, samples from …

Can an unsupervised clustering algorithm reproduce a categorization system?

2024

Peer analysis is a critical component of investment management, often relying on expert-provided categorization systems. These systems’ consistency is questioned when they do not align with cohorts from unsupervised clustering algorithms optimized for various metrics. …