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

6

DOWNLOADS

754

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (6)

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 515 (68,151)

Abstract:

Loading...

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: 33 Posted: 08 Mar 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 93 (341,683)
Citation 1

Abstract:

Loading...

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

3.

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 67 (413,274)

Abstract:

Loading...

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

4.

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 45 (495,979)

Abstract:

Loading...

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 34 (549,053)

Abstract:

Loading...

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

6.

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

Abstract:

Loading...

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