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The case for active management from the perspective of Complexity Theory

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Author Info
Alejandro Revéiz Herault ()
Sebastian Rojas ()

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Abstract

This 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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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 495.

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Handle: RePEc:bdr:borrec:495

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Related research
Keywords: Portfolio Management; Complexity Theory; Artificial Intelligence. Classification JEL: G11; G14; G32.;

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References listed on IDEAS
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.:
  1. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
  2. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA. [Downloadable!]
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  2. Alejandro Reveiz & Carlos León, . "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-20.

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