Multivariate Portfolio Choice via Quantiles

This course aims to teach learners how to solve multivariate optimal portfolio problems using a quantile approach. The course covers topics such as cost efficiency, multivariate risk sharing, and correlation aversion. By the end of the course, students will have the skills to numerically solve multivariate optimal portfolio problems and understand the implications of different preferences in portfolio choice. The teaching method involves a virtual talk series with a focus on mathematical finance and engineering. This course is intended for individuals interested in financial mathematics, portfolio optimization, and quantitative finance.