The case for active management from the perspective of Complexity Theory

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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Year of publication:	2008-03-11
Authors:	Herault, Aeljandro Reveiz ; Rojas, Sebastian
Institutions:	BANCO DE LA REPÚBLICA
Subject:	Portfolio Management \| Complexity Theory \| Artificial Intelligence

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Series:	BORRADORES DE ECONOMIA.
Type of publication:	Book / Working Paper
Language:	English
Notes:	2 pages long
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/10005466429