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The case for active management from the perspective of Complexity Theory


  • Aeljandro Reveiz Herault


  • Sebastian Rojas



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.

Suggested Citation

  • 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.
  • Handle: RePEc:col:000094:004566

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    References listed on IDEAS

    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.
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    Cited by:

    1. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," Borradores de Economia 511, Banco de la Republica de Colombia.
    2. 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.

    More about this item


    Portfolio Management; Complexity Theory; Artificial Intelligence.;

    JEL classification:

    • 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

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