Moreno, David; Nawrocki, David; Olmeda, Ignacio - Society for Computational Economics - SCE - 2006
a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investorâ … portfolio optimization framework based on minimizing the Lower-Partial-Moment (LPM) and maximizing the upper-partial-moment (UPM … the complexity of the optimization problem, and the high nonlinearities and discontinuities, we use a metaheuristic …