22 citations · 29 across the 5 of their papers we have counts for
12 papers
Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques
Onur Babat, Juan C. Vera, Luis F. Zuluaga
Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-rewa…
Static Hedging of Weather and Price Risks in Electricity Markets
Javier Pantoja Robayo, Juan C. Vera
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather…
The maximum -colorable subgraph problem and related problems
Renata Sotirov, Olga Kuryatnikova, Juan Vera
The maximum -colorable subgraph (MCS) problem is to find an induced -colorable subgraph with maximum cardinality in a given graph. This paper is an in-depth analysis of th…
Equivalence and invariance of the chi and Hoffman constants of a matrix
Javier F. Pena, Juan C. Vera, Luis F. Zuluaga
We show that the following two condition measures of a full column rank matrix are identical: the chi constant and a signed Hoffman constant. This id…
New characterizations of Hoffman constants for systems of linear constraints
Javier Pena, Juan Vera, Luis Zuluaga
We give a characterization of the Hoffman constant of a system of linear constraints in {\em relative} to a {\em reference polyhedron} . The reference polyhe…
Generalizations of Schoenberg's theorem on positive definite kernels
Olga Kuryatnikova, Juan C. Vera
The seminal theorem of I.J. Schoenberg characterizes positive definite (p.d.) kernels on the unit sphere invariant under the automorphisms of the sphere. We obtain two ge…