Can something published on arXiv or optimization-online.org be mentioned in my CV?
Putting non-peer reviewed publications on your CV is perfectly fine, but you should be aware that for research-oriented jobs and admission to academic programs you will be primarily judged by your peer reviewed publications.  I have seen CVs that separately list peer-reviewed works and non-peer reviewed works, and sometimes the non-peer reviewed works are simply listed as "technical reports."

If you believe that the papers you write are worthy of being mentioned on your CV, then list them.  But don't think that by putting a bunch of low-quality non-peer reviewed works will do you any favors when looking for work or when applying for academic positions (whether graduate school or employment).  Obviously, you should avoid putting them on your CV if you are doing so simply to demonstrate that you can write a paper.