End-to-End Python implementation of STRAPSim: a novel portfolio similarity metric from Li et al. (2025). Combines Random Forest proximity learning with residual-aware bipartite matching to quantify economic substitutability between ETF baskets. Full replication pipeline included.
python machine-learning random-forest scikit-learn jupyter-notebook pandas statistical-analysis supervised-learning portfolio-optimization quantitative-finance numba fixed-income asset-management proximity-matrix bipartite-matching similarity-metrics research-replication portfolio-similarity etf-analysis corporate-bonds
-
Updated
Oct 2, 2025 - Jupyter Notebook