Multivariate portfolio choice via quantiles
Abstract
We first show how the quantile approach used for univariate optimal portfolio choice can also be useful when dealing with the multivariate case. Specifically, when a related multivariate risk-sharing problem (in the absence of a financial market) can be solved explicitly, then the multivariate optimal portfolio choice is shown to reduce to a one-dimensional problem that can be dealt with using the quantile approach. We then use this finding to develop an efficient algorithm to determine optimal portfolios. We also develop a numerical approach that makes it possible to obtain approximate solutions for general multivariate portfolio selection problems.
Fields of Study & Subjects
Risk and Portfolio Optimization
Advanced Bandit Algorithms Research
Financial Markets and Investment Strategies
Publication details
- Journal / source
- Quantitative Finance
- Volume
- 26
- Issue
- 1
- Pages
- 15–39
- Publication date
- 2 January 2026
- Language
- EN