Year: 2026
Type: preprint
Abstract: Motivated by a recent paper where a convex portfolio optimization problem formulated by means of the entropic value-at-risk is solved via a primal-dual interior-point method, we propose an alternative way of dealing with such problems by means of splitting proximal point methods and making use of Lagrange duality. Numerical experiments where the new method is implemented for solving some portfolio optimization problems are presented as well. As byproducts, we also provide formulae for the projection on the epigraph of the weighted Shannon entropy, and the conjugate function and subdifferential of entropic value-at-risk.
Source: arXiv (Cornell University)
Authors: Baloul, Nail, Grad, Sorin-Mihai, Wilfer, Oleg
Institution: Chemnitz University of Technology
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7160460782