Journal of Financial and Quantitative Analysis Vol. 10 No. 5 1975
A Note on the E, SL Portfolio Selection Model
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.
- DOI
- 10.2307/2330276
- Volume
- 10
- Issue
- 5
- Pages
- 849
- Sources
- openalex crossref