We present the most general model of the type considered by Black and Litterman (1991) after fully clarifying the duality between Black-Litterman optimization and Bayesian regression. Our generalization is itself a special case of a Bayesian network or graphical model. As an example, we work out...

We apply the statistical sparse jump model, a recently developed, interpretable and robust regime switching model, to infer key features that drive the return dynamics of the largest cryptocurrencies. The algorithm jointly performs feature selection, parameter estimation, and state...