A Note on the E, SL Portfolio Selection Model

James S. Ang

Journal of Financial and Quantitative Analysis, 1975, vol. 10, issue 5, 849-857

Abstract: 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.

Date: 1975
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