The case for active management from the perspective of Complexity Theory

This paper approaches active management of baskets of currencies from the perspective of Complexity theory, where the market is analysed as a Complex Adaptive system. A basket of currencies is constructed using objective probabilities (propensities) and an artificial intelligence optimization technique that allows for implicit learning of correlations dynamics. Statistical tests of the diversification benefit are presented.

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Authors:	Herault, Alejandro Revéiz ; Rojas, Sebastian
Institutions:	Banco de la Republica de Colombia
Subject:	Portfolio Management \| Complexity Theory \| Artificial Intelligence

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Extent:	application/pdf
Series:	Borradores de Economia.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005035884