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The case for active management from the perspective of Complexity Theory

Alejandro Reveiz () and Sebastian Rojas ()

BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA

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.

Keywords: Portfolio Management; Complexity Theory; Artificial Intelligence. (search for similar items in EconPapers)
JEL-codes: G11 G14 G32 (search for similar items in EconPapers)
Pages: 22
Date: 2008-03-11
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