John Mulvey
Princeton University
H-index: 47
North America-United States
Top articles of John Mulvey
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Regime-Aware Asset Allocation: a Statistical Jump Model Approach | arXiv preprint arXiv:2402.05272 | Yizhan Shu Chenyu Yu John M Mulvey | 2024/2/7 |
389 Long–Short Versus Long-Only Commodity Funds | John M Mulvey | 2023 | |
Continuous Statistical Jump Models for Identifying Financial Regimes | Available at SSRN 4556048 | Afsar Onat Aydinhan Petter N Kolm John M Mulvey Yizhan Shu | 2023/8/29 |
End-to-end risk budgeting portfolio optimization with neural networks | Annals of Operations Research | A Sinem Uysal Xiaoyue Li John M Mulvey | 2023/8/26 |
St-mlp: A cascaded spatio-temporal linear framework with channel-independence strategy for traffic forecasting | arXiv preprint arXiv:2308.07496 | Zepu Wang Yuqi Nie Peng Sun Nam H Nguyen John Mulvey | 2023/8/14 |
Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network | arXiv preprint arXiv:2306.08809 | Xiaoyue Li John M Mulvey | 2023/6/15 |
Competitive Multi-Agent Reinforcement Learning with Self-Supervised Representation | DiJia Su Jason D Lee John M Mulvey H Vincent Poor | 2022/5/23 | |
Long–short versus long-only commodity funds | John M Mulvey | 2022/12/16 | |
Applications of Machine Learning in Wealth Management | Journal of Investment Consulting | John M Mulvey Junhan Gu Margaret Holen Yuqi Nie | 2022/5/15 |
William T. Ziemba and a Brief Look at His Journal of Portfolio Management Legacy. | The Journal of Portfolio Management | John Guerard John M Mulvey | 2022/9/13 |
Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks | Xiaoyue Li John M Mulvey | 2022/5 | |
Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies | IEEE Transactions on Artificial Intelligence | DiJia Su Difei Su John M Mulvey H Vincent Poor | 2022/8/26 |
Improving Portfolio Performance via Natural Language Processing Methods. | Journal of Financial Data Science | Di-Jia Su John M Mulvey H Vincent Poor | 2022/4/1 |
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks | European Journal of Operational Research | Xiaoyue Li A Sinem Uysal John M Mulvey | 2022/6/16 |
MURO: Deployment Constrained Reinforcement Learning with Model-based Uncertainty Regularized Batch Optimization | DiJia Su Jason D Lee John Mulvey H Vincent Poor | 2021/10/6 | |
Portfolio optimization under regime switching and transaction costs: Combining neural networks and dynamic programs | INFORMS Journal on Optimization | Xiaoyue Li John M Mulvey | 2021/10 |
PoBRL: Optimizing Multi-document Summarization by Blending Reinforcement Learning Policies | arXiv preprint arXiv:2105.08244 | Andy Su Difei Su John M Mulvey H Vincent Poor | 2021/5/18 |
A machine learning approach in regime-switching risk parity portfolios | The Journal of Financial Data Science | A Sinem Uysal John M Mulvey | 2021/3/17 |
Musbo: Model-based uncertainty regularized and sample efficient batch optimization for deployment constrained reinforcement learning | arXiv preprint arXiv:2102.11448 | DiJia Su Jason D Lee John M Mulvey H Vincent Poor | 2021/2/23 |
Factor momentum and regime-switching overlay strategy | The Journal of Financial Data Science | Junhan Gu John M Mulvey | 2021/11/1 |
Co-Authors
