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How do I convert LPM this to AFL, then optimize it?
The Lower Partial Moment for discrete data can be defined as...
LPM(m) = 1/N * sum[ max[ L(t) - r(t), 0]^m ]
LPM(m)... Lower Partial Moment of order m
x(t)... helper variable // not sure how to conver this
L... some threshold
r(t)... portfolio returns
Continous definition function...
LPM(m) = int[ {(L(t) - r(t)}^m, dF(r), -inf, L]
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LPM = 1/N * sum( max( L(t) - r(t), 0)^m ); // This is erroring out
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Thanks,
MV
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