Multivariate Portfolio Choice via Quantiles

• Authors: Bernard, C., Perchiazzo, A., and Vanduffel, S.
• Status: in progress
• Presented for the first time at the AMASES 2022 conference (Speaker: Perchiazzo).

Abstract: We first show how the quantile approach used for univariate optimal portfolio choice can be also useful to solve the multivariate case. When the multivariate allocation problem (in the absence of a financial market) can be solved explicitly, the multivariate optimal portfolio choice reduces to a one dimensional problem using the quantile approach. In the general case, we develop a numerical approach to obtain approximate solutions for the multivariate optimal portfolio selection problem.