The case for active management from the perspective of Complexity Theory
AbstractThis paper approaches active management of baskets of currencies from the perspectiveof Complexity theory, where the market is analysed as a Complex Adaptive system. Abasket of currencies is constructed using objective probabilities (propensities) and anartificial intelligence optimization technique that allows for implicit learning ofcorrelations dynamics. Statistical tests of the diversification benefit are presented.
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Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004566.
Date of creation: 11 Mar 2008
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Portfolio Management; Complexity Theory; Artificial Intelligence.;
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.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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.:
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- 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,"
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.
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