Multivariate portfolio choice via quantiles
展示了分位数方法如何从单变量扩展到多变量投资组合选择，通过将问题简化为单维问题，并开发了高效算法和数值近似方法，适用于一般多元投资组合优化。
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.