Multivariate portfolio choice via quantiles

Carole Bernard, Andrea Perchiazzo and Steven Vanduffel ()

Quantitative Finance, 2026, vol. 26, issue 1, 15-39

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.

Date: 2026
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DOI: 10.1080/14697688.2025.2594061

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