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

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 30,984

SSRN RANKINGS

Top 30,984

in Total Papers Downloads

2,960

SSRN CITATIONS

9

CROSSREF CITATIONS

1

Scholarly Papers (10)

1.

Identifying Patterns in Financial Markets: Extending the Statistical Jump Model for Regime Identification

Number of pages: 37 Posted: 07 Sep 2023 Last Revised: 22 Sep 2023
Princeton University - Department of Operations Research & Financial Engineering (ORFE), New York University (NYU) - Courant Institute of Mathematical Sciences, Princeton University - Bendheim Center for Finance and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 1,323 (27,523)

Abstract:

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Regime Switching; Temporal Clustering; Statistical Jump Models; Probabilistic Modeling; Times Series; Unsupervised Learning

2.

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 611 (79,285)

Abstract:

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Asset Allocation, University Endowments, Asset Categories

3.

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 265 (205,463)

Abstract:

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wealth management, machine learning, deep learning

4.

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 259 (210,240)
Citation 7

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

5.

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 235 (231,313)
Citation 5

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

6.

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 99 (470,931)

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7.

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 93 (490,521)

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

8.

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 67 (593,656)
Citation 1

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

9.

Regime-Aware Asset Allocation: a Statistical Jump Model Approach

Number of pages: 23 Posted: 19 Feb 2024
Yizhan Shu, Chenyu Yu and John M. Mulvey
Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University and Princeton University - Bendheim Center for Finance
Downloads 8 (1,028,392)

Abstract:

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Dynamic Asset Allocation, Statistical Jump Models, Regime Switching, Temporal Clustering

10.

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