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John M. Mulvey
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- affiliation: Princeton University, USA
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2020 – today
- 2024
- [j36]Ayse Sinem Uysal
, Xiaoyue Li, John M. Mulvey:
End-to-end risk budgeting portfolio optimization with neural networks. Ann. Oper. Res. 339(1-2): 397-426 (2024) - [i4]Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen
A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges. CoRR abs/2406.11903 (2024) - 2023
- [j35]DiJia Su
Optimizing Multidocument Summarization by Blending Reinforcement Learning Policies. IEEE Trans. Artif. Intell. 4(3): 416-427 (2023) - [i3]Zepu Wang, Yuqi Nie, Peng Sun, Nam H. Nguyen, John M. Mulvey, H. Vincent Poor:
ST-MLP: A Cascaded Spatio-Temporal Linear Framework with Channel-Independence Strategy for Traffic Forecasting. CoRR abs/2308.07496 (2023) - 2022
- [j34]Xiaoyue Li
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. Eur. J. Oper. Res. 299(3): 1158-1176 (2022) - [c4]DiJia Su, Jason D. Lee, John M. Mulvey, H. Vincent Poor:
Competitive Multi-Agent Reinforcement Learning with Self-Supervised Representation. ICASSP 2022: 4098-4102 - 2021
- [j33]Xiaoyue Li
Portfolio Optimization Under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs. INFORMS J. Optim. 3(4): 398-417 (2021) - [i2]DiJia Su, Jason D. Lee, John M. Mulvey, H. Vincent Poor:
MUSBO: Model-based Uncertainty Regularized and Sample Efficient Batch Optimization for Deployment Constrained Reinforcement Learning. CoRR abs/2102.11448 (2021) - [i1]DiJia Andy Su, Difei Su, John M. Mulvey, H. Vincent Poor:
PoBRL: Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies. CoRR abs/2105.08244 (2021)
2010 – 2019
- 2016
- [j32]Lorenzo Reus
Dynamic allocations for currency futures under switching regimes signals. Eur. J. Oper. Res. 253(1): 85-93 (2016) - 2015
- [j31]Agnieszka Karolina Konicz
Optimal savings management for individuals with defined contribution pension plans. Eur. J. Oper. Res. 243(1): 233-247 (2015) - 2014
- [j30]Geum Il Bae, Woo Chang Kim
Dynamic asset allocation for varied financial markets under regime switching framework. Eur. J. Oper. Res. 234(2): 450-458 (2014)
2000 – 2009
- 2009
- [r1]John M. Mulvey, Bala Shetty:
Financial Optimization. Encyclopedia of Optimization 2009: 1040-1047 - 2008
- [j29]John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling:
OR PRACTICE - Assisting Defined-Benefit Pension Plans. Oper. Res. 56(5): 1066-1078 (2008) - 2005
- [p3]John M. Mulvey, Hafize G. Erkan:
25. Decentralized Risk Management for Global Property and Casualty Insurance Companies. Applications of Stochastic Programming 2005: 503-530 - 2004
- [j28]John M. Mulvey, Bala Shetty:
Financial planning via multi-stage stochastic optimization. Comput. Oper. Res. 31(1): 1-20 (2004) - 2003
- [c3]John M. Mulvey, Hafize G. Erkan:
Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization. WSC 2003: 364-371 - 2001
- [j27]John M. Mulvey:
Introduction to financial optimization: Mathematical Programming Special Issue. Math. Program. 89(2): 205-216 (2001) - 2000
- [j26]John M. Mulvey, Gordon Gould, Clive Morgan:
An Asset and Liability Management System for Towers Perrin-Tillinghast. Interfaces 30(1): 96-114 (2000) - [j25]Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain:
Stratified filtered sampling in stochastic optimization. Adv. Decis. Sci. 4(1): 17-38 (2000)
1990 – 1999
- 1999
- [j24]John M. Mulvey, Chris Madsen, François Morin:
Linking strategic and tactical planning systemsfor asset and liability management. Ann. Oper. Res. 85: 249-266 (1999) - [j23]John M. Mulvey, Daniel P. Rosenbaum, Bala Shetty:
Parameter estimation in stochastic scenario generation systems. Eur. J. Oper. Res. 118(3): 563-577 (1999) - 1996
- [c2]John M. Mulvey:
Solving robust optimization models in finance. CIFEr 1996: 1-13 - [p2]John M. Mulvey:
Robust Optimization on PC Supercomputers. Applications on Advanced Architecture Computers 1996: 319-330 - 1995
- [j22]Deborah G. Johnson, John M. Mulvey:
Accountability and Computer Decision Systems. Commun. ACM 38(12): 58-64 (1995) - [j21]John M. Mulvey, Robert J. Vanderbei, Stavros A. Zenios
Robust Optimization of Large-Scale Systems. Oper. Res. 43(2): 264-281 (1995) - [j20]John M. Mulvey, Andrzej Ruszczynski:
A New Scenario Decomposition Method for Large-Scale Stochastic Optimization. Oper. Res. 43(3): 477-490 (1995) - [p1]John M. Mulvey, William T. Ziemba:
Chapter 15 Asset and liability allocation in a global environment. Finance 1995: 435-463 - 1994
- [j19]Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski:
An Extension of the DQA Algorithm to Convex Stochastic Programs. SIAM J. Optim. 4(4): 735-753 (1994) - 1993
- [j18]Hiroshi Konno, David G. Luenberger, John M. Mulvey:
Preface. Ann. Oper. Res. 45(1): i-ii (1993) - [j17]Tamra J. Carpenter, Irvin J. Lustig
Separable Quadratic Programming via a Primal-Dual Interior Point Method and its Use in a Sequential Procedure. INFORMS J. Comput. 5(2): 182-191 (1993) - [j16]Tamra J. Carpenter, Irvin J. Lustig, John M. Mulvey, David F. Shanno:
Higher-Order Predictor-Corrector Interior Point Methods with Application to Quadratic Objectives. SIAM J. Optim. 3(4): 696-725 (1993) - 1992
- [j15]John M. Mulvey, Andrzej Ruszczynski:
A diagonal quadratic approximation method for large scale linear programs. Oper. Res. Lett. 12(4): 205-215 (1992) - 1991
- [j14]John M. Mulvey, Hercules Vladimirou:
Applying the progressive hedging algorithm to stochastic generalized networks. Ann. Oper. Res. 31(1): 399-424 (1991) - [j13]Irvin J. Lustig, John M. Mulvey, Tamra J. Carpenter:
Formulating Two-Stage Stochastic Programs for Interior Point Methods. Oper. Res. 39(5): 757-770 (1991) - [j12]John M. Mulvey, Hercules Vladimirou:
Solving multistage stochastic networks: An application of scenario aggregation. Networks 21(6): 619-643 (1991)
1980 – 1989
- 1989
- [j11]Ron S. Dembo, John M. Mulvey, Stavros A. Zenios
OR Practice - Large-Scale Nonlinear Network Models and Their Application. Oper. Res. 37(3): 353-372 (1989) - [j10]Stavros A. Zenios
Balancing large social accounting matrices with nonlinear network programming. Networks 19(5): 569-585 (1989) - 1988
- [j9]Stavros A. Zenios
Vectorization and multitasking of nonlinear network programming algorithms. Math. Program. 42(1-3): 449-470 (1988) - [j8]Stavros A. Zenios
A distributed algorithm for convex network optimization problems. Parallel Comput. 6(1): 45-56 (1988) - 1987
- [j7]David P. Ahlfeld, John M. Mulvey, Ron S. Dembo, Stavros A. Zenios
Nonlinear programming on generalized networks. ACM Trans. Math. Softw. 13(4): 350-367 (1987) - 1986
- [j6]Stavros A. Zenios
Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP. Oper. Res. 34(5): 667-682 (1986) - [c1]Stavros A. Zenios, John M. Mulvey:
Nonlinear network programming on a vector supercomputer (abstract). ACM Conference on Computer Science 1986: 497 - 1980
- [j5]Fred W. Glover, John M. Mulvey:
Technical Note - Equivalence of the 0-1 Integer Programming Problem to Discrete Generalized and Pure Networks. Oper. Res. 28(3-Part-II): 829-836 (1980)
1970 – 1979
- 1979
- [j4]Harlan P. Crowder, Ron S. Dembo, John M. Mulvey:
On Reporting Computational Experiments with Mathematical Software. ACM Trans. Math. Softw. 5(2): 193-203 (1979) - 1978
- [j3]John M. Mulvey:
Pivot Strategies for Primal-Simplex Network Codes. J. ACM 25(2): 266-270 (1978) - [j2]John M. Mulvey:
Testing of a large-scale network optimization program. Math. Program. 15(1): 291-314 (1978) - [j1]Harlan P. Crowder, Ron S. Dembo, John M. Mulvey:
Reporting computational experiments in mathematical programming. Math. Program. 15(1): 316-329 (1978)
Coauthor Index
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