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.:
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