  In this paper we briefly review the recently inrtroduced Multifractal Random
Walk (MRW) that is able to reproduce most of recent empirical findings
concerning financial time-series : no correlation between price variations,
long-range volatility correlations and multifractal statistics. We then focus
on its extension to a multivariate context in order to model portfolio
behavior. Empirical estimations on real data suggest that this approach can be
pertinent to account for the nature of both linear and non-linear correlation
between stock returns at all time scales.
