A complex system consists of a lot of interactive individuals, agents, or units. It occurs widely but is hard to model in both natural and social sciences. Its behavior is neither regular nor random. However, it has some kinds of structures which capture our interesting to study. We can apply...

We propose a model of portfolio selection that adjusts an investors' portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market...

We present several active strategies for combining value and momentum strategies in a tactical asset allocation (TAA) framework. We refine the basic yield approach to valuation by standardizing the value signal using the Z-score. Such standardization not only enables us to directly compare...