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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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University of California, Santa Barbara

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