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

N. Baloul, S. Grad, O. Wilfer

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: semanticscholar

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