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A Note on the E, SL Portfolio Selection Model

Published online by Cambridge University Press:  19 October 2009

James S. Ang
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Extract

The purpose of this note is to present a simple computational algorithm to approximate the E, S portfolio selection model. The essential feature of the model is the utilization of the familiar linear programming framework by representing risks as a series of linear constraints. Suppose we have m states and n securities, and we assume the investor is able to specify the contingent returns for all securities in each state. Following [7], we define risk as being the downside deviation from the investor's target rate of return.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 5 , December 1975 , pp. 849 - 857
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

REFERENCES

[1]Ang, James S. “Reliability of Using the Mean Absolute Deviation to Devise Efficient E. V Farm Plans: Comment.” American Journal of Agricultural Economics (November 1973), pp. 675–677.CrossRefGoogle Scholar
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