The case for active management from the perspective of Complexity Theory
Alejandro Reveiz () and
Sebastian Rojas ()
BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA
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)
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Working Paper: The case for active management from the perspective of Complexity Theory (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:004566
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