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The case for active management from the perspective of Complexity Theory

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  • Aeljandro Reveiz Herault

    ()

  • Sebastian Rojas

    ()

Abstract

This 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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File URL: http://www.banrep.gov.co/docum/ftp/borra495.pdf
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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004566.

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Length: 22
Date of creation: 11 Mar 2008
Date of revision:
Handle: RePEc:col:000094:004566

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Keywords: Portfolio Management; Complexity Theory; Artificial Intelligence.;

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  1. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
  2. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
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Cited by:
  1. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA.
  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.

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