The case for active management from the perspective of complexity theory
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Borradores de Economía; No. 495
Date published
2008-03-08
Date
2008-03-08
Authors
Reveiz-Herault, Alejandro
Rojas-Moreno, Juan Sebastián
Rojas-Moreno, Juan Sebastián
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
Abstract
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 a
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JEL Codes
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions
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Keywords
Inteligencia artificial, Gestión de portafolios, Teoría de la complejidad
Keywords
Portfolio management, Complexity theory, Artificial intelligence
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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