John M. Mulvey

Princeton University - Bendheim Center for Finance

Professor of Operations Research and Financial Engineering; Founding member Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

  • Princeton University - Bendheim Center for Finance

SCHOLARLY PAPERS

8

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1,284

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (8)

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1.

The Evolution of Asset Classes: Lessons from University Endowments

Journal of Investment Consulting, Vol. 17, No. 2, p. 48-58, 2016
Number of pages: 13 Posted: 07 Feb 2017
John M. Mulvey and Margaret Holen
Princeton University - Bendheim Center for Finance and Goldman Sachs Group, Inc.
Downloads 570 (75,273)

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Asset Allocation, University Endowments, Asset Categories

2.

Multi-period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks

Number of pages: 41 Posted: 08 Mar 2021 Last Revised: 30 Nov 2022
Xiaoyue Li, Sinem Uysal and John M. Mulvey
Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Bendheim Center for Finance
Downloads 202 (232,013)
Citation 2

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multi-period portfolio optimization, model predictive control, risk parity

3.

End-to-End Risk Budgeting Portfolio Optimization with Neural Networks

Number of pages: 47 Posted: 12 Jul 2021
Sinem Uysal, Xiaoyue Li and John M. Mulvey
Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Bendheim Center for Finance
Downloads 189 (246,240)
Citation 2

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end-to-end learning, risk parity, risk budgeting portfolio optimization, asset selection

4.

Applications of Machine Learning in Wealth Management

Journal of Investment Consulting, Vol. 21, No. 1 , pp. 66-82, 2022
Posted: 31 May 2022 Last Revised: 19 Dec 2022
John M. Mulvey, Junhan Gu, Margaret Holen and Yuqi Nie
Princeton University - Bendheim Center for Finance, Independent, Goldman Sachs Group, Inc. and Independent
Downloads 119 (357,799)

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wealth management, machine learning, deep learning

5.

Levered Exchange-Traded Products: Theory and Practice

Journal of Financial Perspectives, Vol. 1, No. 2, 2013
Number of pages: 19 Posted: 29 Nov 2017
John M. Mulvey, Thomas Nadbielny and Woo Chang Kim
Princeton University - Bendheim Center for Finance, Benchmark Advisory Partners and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 89 (435,345)

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6.

On Improving Pension Product Design

Proceedings of 30th International Congress of Actuaries, 30 March - 4 April 2014, Washington, DC
Number of pages: 28 Posted: 06 May 2014
Agnieszka K. Konicz Bell and John M. Mulvey
Independent and Princeton University - Bendheim Center for Finance
Downloads 81 (460,642)

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defined contribution pension plan, multi-stage stochastic programming, stochastic optimal control, CRRA utility, product development

7.

Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks

Number of pages: 32 Posted: 29 Jun 2022 Last Revised: 04 Jul 2022
Afsar Onat Aydinhan, Xiaoyue Li and John M. Mulvey
Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Bendheim Center for Finance
Downloads 34 (678,190)

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financial optimization, Monte Carlo tree search, dynamic programming, neural networks

8.

A Rule-Based Commodity Index

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
John M. Mulvey
Princeton University - Bendheim Center for Finance

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Commodity index, hedge fund replication, overlay strategies, rebalancing gains, portfolio of tactics