Development of an efficient method to approximate the risk measure of Lower Partial Moment of the first order

In this paper after a review on the best known risk measures, the focus is on a particular shape of Lower Partial Moments (LPM). The measure in spite of its practical definition, has not been applied in portfolio optimization models as was expected. The main reason is its computational complexity. This is the challenge this paper is about to meet. After considering some statistical facts, several distinct relations for estimation of LPM of the...