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The Sortino Framework for Constructing Portfolios

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Hello Welcome to the website for Sortino, F: The Sortino Framework for Constructing Portfolios: Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk.

The latest version of the optimizer, developed at the Pension Research Institute by Professors Forsey and Sortino is available for download. It ranks assets in three sections of the world in a downside risk framework. The source code is included.