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Dynamic correlation multivariate stochastic volatility
Black-Litterman with latent factors
This alternative to the Black-Litterman model includes a stochastic volatility model on the common factors of the returns. In this way, the covariance matrix of the returns is not only random, but also changes with time. This adds another level of complexity to my last paper called "Bayesian Factor Model Alternatives to Black-Litterman".
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