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20072023
most citedComputing near-optimal Value-at-Risk portfolios using Integer Programming techniques

22 citations · 29 across the 5 of their papers we have counts for

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7 papers · 1 filter

math.OC2020

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…

math.OC2019

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…

math.OC2019

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…

math.OC2018

Positive semidefinite approximations to the cone of copositive kernels

Olga Kuryatnikova, Juan C. Vera

It has been shown that the maximum stable set problem in some infinite graphs, and the kissing number problem in particular, reduces to a minimization problem over the cone of copo…

math.OC2018

Using Column Generation to Solve Extensions to the Markowitz Model

Lorenz M. Roebers, Aras Selvi, Juan C. Vera

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz m…

math.OC2018

An algorithm to compute the Hoffman constant of a system of linear constraints

Javier Pena, Juan Vera, Luis Zuluaga

We propose a combinatorial algorithm to compute the Hoffman constant of a system of linear equations and inequalities. The algorithm is based on a characterization of the Hoffman c…