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PreprintCC BY 4.0arXiv

A splitting proximal method in portfolio optimization with entropic value-at-risk

  • Nail Baloul
  • Sorin-Mihai Grad
  • Oleg Wilfer
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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.

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Cite

BibTeXRIS
BibTeX
@misc{baloul2026splitting,
  title = {{A splitting proximal method in portfolio optimization with entropic value-at-risk}},
  author = {Nail Baloul and Sorin-Mihai Grad and Oleg Wilfer},
  howpublished = {arXiv},
  year = {2026},
  month = oct,
  doi = {10.48550/arxiv.2610.14364},
  eprint = {2610.14364},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2610.14364},
  note = {CC BY 4.0},
}
RIS
TY  - UNPB
TI  - A splitting proximal method in portfolio optimization with entropic value-at-risk
AU  - Nail Baloul
AU  - Sorin-Mihai Grad
AU  - Oleg Wilfer
PY  - 2026
DA  - 2026/10/09
PB  - arXiv
DO  - 10.48550/arxiv.2610.14364
UR  - https://arxiv.org/abs/2610.14364
AB  - 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.
ER  -