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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004566.
Date of creation: 11 Mar 2008
Date of revision:
Contact details of provider:
Other versions of this item:
- Alejandro Revéiz Herault & Sebastian Rojas, . "The case for active management from the perspective of Complexity Theory," Borradores de Economia 495, Banco de la Republica de Colombia.
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-25 (All new papers)
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.:
- J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
- Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
- 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 Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Norma Judith Paternina).
If references are entirely missing, you can add them using this form.