G11

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  • Derivative Markets' Impact on Colombian Monetary Policy

    Publicación |

    Derivatives are contingent claims that complete financial markets. Their use allow agents and firms to ameliorate the impact over con-sumption, production and investment given a change in relative prices induced by an active monetary policy. In this sense, derivatives generate in some cases a…

  • The case for active management from the perspective of Complexity Theory

    Publicación |

    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…

  • Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

    Publicación |

    First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix…

  • The Factor-Portfolios Approach to Asset Management using Genetic Algorithms

    Publicación |

    We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these portfolios, allowing for tracking error…