Hostname: page-component-6898cfcb55-th4rj Total loading time: 0 Render date: 2026-11-11T20:46:50.596Z Has data issue: false hasContentIssue false
  • English
  • Français

A Note on the E, SL Portfolio Selection Model

Published online by Cambridge University Press:  19 October 2009

James S. Ang
Get accessRights & Permissions [Opens in a new window]

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.

Information

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

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
[2]Box, G. E. P., and Jenkins, G. M.. Time Series Analysis Forecasting and Control. Holden Day (1970).Google Scholar
[3]Davies, O. L., and Pearson, E. S.. “Methods of Estimating from Samples the Population Standard Deviation.” Journal of Royal Statistical Society (Suppl. 1934), pp. 76–93.Google Scholar
[4]Hazell, P. B. R. “Linear Alternative to Quadratic and Semi-variance Programming for Farm Planning under Uncertainty.” American Journal of Agricultural Economics (February 1971), pp. 53–62.CrossRefGoogle Scholar
[5]Herry, Erna M. J. “Confidence Intervals Based on the Mean Absolute Deviation of a Normal Sample.” Journal of American Statistical Association (March 1965), pp. 257–270.CrossRefGoogle Scholar
[6]Hogan, William W., and Warren, James W.. “Computations of the Efficient Boundary in the E, S Portfolio Selection Model.” Journal of Financial and Quantitative Analysis (September 1972), pp. 1881–1896.CrossRefGoogle Scholar
[7]Mao, J. C. T. “Models of Capital Budgeting, E-V vs. E-S.” Journal of Financial and Quantitative Analysis (January 1970), pp. 657–675.CrossRefGoogle Scholar