Juan C. Vera

activity

20072023

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

22 citations · 79 across the 19 of their papers we have counts for

collaborators

Showing 2021Show all

2 papers · 1 filter

math.OC2021

Linear convergence of the Douglas-Rachford algorithm via a generic error bound condition

Javier Peña, Juan C. Vera, Luis F. Zuluaga

We provide new insight into the convergence properties of the Douglas-Rachford algorithm for the problem $min_{x} {f (x) + g (x)}$ , where $f$ and $g$ are convex functions. Our approac…

q-fin.PM2021★ 22 cited

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…