Convex risk minimization via proximal splitting methods
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Publication:2355313
DOI10.1007/S11590-014-0809-8zbMATH Open1331.91157arXiv1304.7694OpenAlexW2027048374MaRDI QIDQ2355313FDOQ2355313
Authors: Radu I. Boţ, Christopher Hendrich 
Publication date: 22 July 2015
Published in: Optimization Letters (Search for Journal in Brave)
Abstract: In this paper we investigate the applicability of a recently introduced primal-dual splitting method in the context of solving portfolio optimization problems which assume the minimization of risk measures associated to different convex utility functions. We show that, due to the splitting characteristic of the used primal-dual method, the main effort in implementing it constitutes in the calculation of the proximal points of the utility functions, which assume explicit expressions in a number of cases. When quantifying risk via the meanwhile classical Conditional Value-at-Risk, an alternative approach relying on the use of its dual representation is presented as well. The theoretical results are finally illustrated via some numerical experiments on real and synthetic data sets.
Full work available at URL: https://arxiv.org/abs/1304.7694
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