The case for active management from the perspective of Complexity Theory
AbstractThis paper approaches active management of baskets of currencies from the perspective of Complexity theory, where the market is analysed as a Complex Adaptive system. A basket of currencies is constructed using objective probabilities (propensities) and an artificial intelligence optimization technique that allows for implicit learning of correlations dynamics. Statistical tests of the diversification benefit are presented.
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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 495.
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Portfolio Management; Complexity Theory; Artificial Intelligence. Classification JEL: G11; G14; G32.;
Other versions of this item:
- Aeljandro Reveiz Herault & Sebastian Rojas, 2008. "The case for active management from the perspective of Complexity Theory," BORRADORES DE ECONOMIA 004566, BANCO DE LA REPÚBLICA.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
- J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
- Alejandro Reveiz Herault, 2008.
"The Factor-Portfolios Approach to Asset Management using Genetic Algorithms,"
BORRADORES DE ECONOMIA
004626, BANCO DE LA REPÚBLICA.
- Alejandro Reveiz Herault, . "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," Borradores de Economia 511, Banco de la Republica de Colombia.
- Alejandro Reveiz & Carlos León, .
"Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space,"
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- Alejandro Reveiz & Carlos Eduardo León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," BORRADORES DE ECONOMIA 004732, BANCO DE LA REPÚBLICA.
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