Addressing Market Regime Changes and Heavy-Tailed Returns in Portfolio Optimization via Bayesian VAR and Elliptical Black-Litterman

By Daniil Mikriukov, Ruoyu Sun, Angelos Stefanidis, Jionglong Su, Zhengyong Jiang

Published 2026-06-08

Everscope rating

1427.8

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: BAVAR-BLED. Problem types: Portfolio Optimization, Reinforcement Learning, Time Series Forecasting, Risk Management, Optimization.

arXiv:2606.09104 · Paper rankings

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