I finally came up with the solution and I think it is detailed enough to become a generic answer.
Visual Studio searches for dynamic libraries so we need to compile Boost libraries as shared, multithreaded, debug and release, and runtime-link shared. In windows using bjam.exe all commands have the prefix "--" except link, so the right way to build the libraries is:
bjam.exe link=shared --threading=multi --variant=debug --variant=release --with-chrono --with-regex --with-thread stage
This will generate the libs and DLLs in the folder Boost/stage/lib, so we need to set an environment variable Boost_LIBRARY_DIR C:/Boost/stage/lib, for example.
There are more options that may come in hand:
runtime-link = shared/static
toolset= msvc-11.0
The libraries will have a name like this for release:
boost_chrono-vc110-mt-1_58.lib
boost_chrono-vc110-mt-1_58.dll
And for debug:
boost_chrono-vc110-mt-gd-1_58.lib
boost_chrono-vc110-mt-gd-1_58.dll
In order for CMake to link them properly we need to write the following in the CMakeLists.txt:
add_definitions( -DBOOST_ALL_DYN_LINK ) //If not VS will give linking errors of redefinitions
set(Boost_USE_STATIC_LIBS OFF )
set(Boost_USE_MULTITHREADED ON)
set(Boost_USE_STATIC_RUNTIME OFF)
find_package(Boost COMPONENTS thread chrono regex REQUIRED )
INCLUDE_DIRECTORIES(${Boost_INCLUDE_DIRS})
TARGET_LINK_LIBRARIES( ${PROJ_NAME} ${Boost_LIBRARIES} )