Multivariate Portfolio Choice via Quantiles

Explore a 58-minute virtual talk on multivariate portfolio choice using quantiles, presented by Carole Bernard as part of the SIAM Activity Group on Financial Mathematics and Engineering series. Delve into the extension of He and Zhou's quantile approach to solve multivariate optimal portfolios for various preferences, including multivariate expected utility and inf-convolution of tail risk measures. Discover a novel numerical approach for solving multivariate optimal portfolio problems. Examine topics such as cost efficiency, risk sharing, mutual exclusivity, and correlation aversion in portfolio management. Gain insights into the latest research in mathematical finance and engineering, with opportunities for questions and discussion.

Introduction
Joint work
Outline
References
Cost Efficiency
Quantile Approach
Multivariate Risk Sharing
Mutual Exclusivity
Open Questions
Original Problem
Super Modular Preferences
Correlation Aversion
Conclusion
Question