We extend the powerful smoothing techniques of Yu. Nesterov to the framework of Euclidean Jordan algebras. This study allows us to design a new scheme for minimizing the largest eigenvalue of an affine function on a Euclidean Jordan algebra. We prove that its complexity is in the order of O(1/...

A spectral function on a formally real Jordan algebra is a real-valued function which depends only on the eigenvalues of its argument. One convenient way to create them is to start from a function f : Rexp.r [arrow] R which is symmetric in the components of its argument, and to define the...

A spectral function on a formally real Jordan algebra is a real-valued function which depends only on the eigenvalues of its argument. One convenient way to create them is to start from a function f : IRr - IR which is symmetric in the components of its argument, and to define the function F(u)...

Despite substantial regulatory reforms, MMFs exposed to private assets experienced severe stress in March 2020. In the EU, Low Volatility Net Asset Value (LVNAVs) MMFs faced acute challenges to meet regulatory requirements while facing high redemptions. Such funds have to maintain their...

We propose a systematic algorithmic reverse-stress testing methodology to create ``worst case" scenarios for regulatory stress tests by accounting for losses that arise from distressed portfolio liquidations. First, we derive the optimal bank response for any given shock. Then, we introduce an...

We extend the powerful smoothing techniques of Yu. Nesterov to the framework of Euclidean Jordan algebras. This study allows us to design a new scheme for minimizing the largest eigenvalue of an affine function on a Euclidean Jordan algebra. We prove that its complexity is in the order of O...