{"paper":{"title":"Addressing Market Regime Changes and Heavy-Tailed Returns in Portfolio Optimization via Bayesian VAR and Elliptical Black-Litterman","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cs.AI","q-fin.PM"],"primary_cat":"cs.LG","authors_text":"2), (2) Xi'an Jiaotong-Liverpool University), Angelos Stefanidis (2), Daniil Mikriukov (1, Jionglong Su (2), Ruoyu Sun (2), Zhengyong Jiang (2) ((1) University of Liverpool","submitted_at":"2026-06-08T06:58:11Z","abstract_excerpt":"Deep reinforcement learning (DRL) frameworks for portfolio optimization have shown promise for their ability to learn allocation rules dynamically from market data. However, these models fail to account for fat-tailed returns, which characterize actual market behavior with more frequent extreme events. Furthermore, historical data is treated homogeneously, without accounting for temporal importance, leading models to fail during regime changes. We propose a new BAVAR-BLED algorithm that combines methods derived from Bayesian-Averaging Vector Autoregressive (BAVAR) and the Black-Litterman model"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.09104","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.09104/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}