J. Mulvey

发表

Formulating Two-Stage Stochastic Programs for Interior Point Methods

John M. Mulvey, Irvin Lustig, Tamra J. Carpenter, 1991, Oper. Res..

Stochastic network optimization models for investment planning

J. Mulvey, H. Vladimirou, 1989 .

Relaxation techniques for strictly convex network problems

S. Zenios, J. Mulvey, 1986 .

Worldwide asset and liability modeling

W. Ziemba, J. Mulvey, 1998 .

SOLVING MULTISTAGE STOCHASTIC PROGRAMS WITH TREE DISSECTION

J. Mulvey, D. Berger, Robert VANDERBEIAbstract, 1991 .

Cluster Analysis: An Application of Lagrangian Relaxation

H. Crowder, J. Mulvey, 1979 .

On Reporting Computational Experiments with Mathematical Software

John M. Mulvey, Ron S. Dembo, Harlan P. Crowder, 1979, TOMS.

Solving Dynamic Stochastic Control Problems in Finance Using Tabu Search with Variable Scaling

John M. Mulvey, Fred Glover, Kjetil Høyland, 1996 .

Generating Scenarios for the Towers Perrin Investment System

J. Mulvey, 1996 .

Simplicial Decomposition for Convex Generalized Networks

S. Zenios, J. Mulvey, D. Ahlfeld, 1990 .

Higher-Order Predictor-Corrector Interior Point Methods with Application to Quadratic Objectives

John M. Mulvey, David F. Shanno, Irvin Lustig, 1993, SIAM J. Optim..

Relaxation techniques for strictly convex network problems

S. Zenios, J. Mulvey, 1986 .

Contaminated groundwater remediation design using simulation, optimization, and sensitivity theory: 2. Analysis of a field site

G. Pinder, J. Mulvey, D. Ahlfeld, 1988 .

Nonlinear programming on generalized networks

John M. Mulvey, Stavros A. Zenios, Ron S. Dembo, 1987, TOMS.

Estimating joint strata weights for poststratification

J. Mulvey, 1986 .

Real-time operational planning for the U. S. air traffic system

S. Zenios, J. Mulvey, 1987 .

A New Scenario Decomposition Method for Large-Scale Stochastic Optimization

John M. Mulvey, Andrzej Ruszczynski, A. Ruszczynski, 1995, Oper. Res..

Financial optimization: Incorporating transaction costs in models for asset allocation

J. Mulvey, 1993 .

OR Practice - Large-Scale Nonlinear Network Models and Their Application

John M. Mulvey, Stavros A. Zenios, Ron S. Dembo, 1989, Oper. Res..

Solving capacitated clustering problems

J. Mulvey, Michael P. Beck, 1984 .

Testing of a large-scale network optimization program

John M. Mulvey, J. Mulvey, 1978, Math. Program..

Nonnuclear Industrial Hazardous Waste: Classifying for Hazard Management

M. Tribus, G. Woodwell, J. Mulvey, 1995 .

Multistage Financial Planning Models: Integrating Stochastic Programs and Policy Simulators

Woo Chang Kim, J. Mulvey, W. Kim, 2010 .

Strategic financial risk management and operations research

J. Mulvey, B. Shetty, D. Rosenbaum, 1997 .

Rebalancing Strategies for Long-Term Investors

J. Mulvey, K. Simsek, 2002 .

4 A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning

J. Mulvey, K. Simsek, Bill Pauling, 2022 .

Advantages of Multiperiod Portfolio Models

William R. Pauling, J. Mulvey, Ronald E. Madey, 2003 .

An Asset-Liability Investment System

J. Mulvey, 1994 .

Multi-Stage Optimization For Long-Term Investors

J. Mulvey, 2002 .

Solving long-term financial planning problems via global optimization

I. Androulakis, C. Floudas, J. Mulvey, 1997 .

Capturing the Correlations of Fixed-income Instruments

S. Zenios, J. Mulvey, 1994 .

Making a case for robust optimization models

J. Mulvey, Tamra J. Carpenter, Dawei Bai, 1997 .

The Towers Perrin Global Capital Market Scenario Generation System

J. Mulvey, Eric Thorlacius, 2002 .

Network Relaxations and Lower Bounds for Multiple Choice Problems

F. Glover, J. Mulvey, 1982 .

Multivariate Stratified Sampling by Optimization

J. Mulvey, 1983 .

An Investment Model via Regime-Switching Economic Indicators

John M. Mulvey, Yonggan Zhao, J. Mulvey, 2010 .

Evaluating style investment—Does a fund market defined along equity styles add value?

John M. Mulvey, Woo Chang Kim, J. Mulvey, 2009 .

On Improving Pension Product Design

J. Mulvey, Agnieszka K. Konicz Bell, 2013 .

A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties

J. Mulvey, Mehmet Bilgili, Taha M. Vural, 2011 .

A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

J. Mulvey, L. Martellini, Hang-Wei Hao, 2019, The Journal of Portfolio Management.

Levered exchange- traded products: theory and practice1

J. Mulvey, W. Kim, 2013 .

Levered Exchange-Traded Products: Theory and Practice

J. Mulvey, W. Kim, Thomas Nadbielny, 2013 .

Performance Enhancements for Defined Benefit Pension Plans

J. Mulvey, K. Simsek, Thomas Bauerfeind, 2011 .

Chapter 3 Performance Enhancements for Defined Benefit Pension Plans

J. Mulvey, K. Simsek, Thomas Bauerfeind, 2011 .

Improving performance for long-term investors: wide diversification, leverage, and overlay strategies

J. Mulvey, Cenk Ural, Zhuojuan Zhang, 2007 .

Duration-enhancing overlay strategies for defined benefit pension plans

J. Mulvey, W. Kim, Yi Ma, 2010 .

Network models and associated applications

Darwin Klingman, John M. Mulvey, T. E. Baker, 1981 .

Solving Large Scale Generalized Networks

John M. Mulvey, Stavros A. Zenios, S. Zenios, 1985 .

Robust Optimization on PC Supercomputers

John M. Mulvey, J. Mulvey, 1996, Applications on Advanced Architecture Computers.

Applying Multi-Stage Stochastic Programs to Defined-Benefit Pension Plans in the U.S.

John M. Mulvey, Woo Chang Kim, J. Mulvey, 2009 .

Risk management of a P/C insurance company scenario generation, simulation and optimization

J. Mulvey, H. G. Erkan, 2003, Proceedings of the 2003 Winter Simulation Conference, 2003..

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

J. Mulvey, Xiaoyue Li, Afcsar Onat Aydinhan, 2022, SSRN Electronic Journal.

Optimizing a Portfolio of Liquid and Illiquid Assets

J. Mulvey, W. Kim, Changle Lin, 2017 .

Long--short versus long-only commodity funds

J. Mulvey, 2012 .

Applications of Machine Learning in Wealth Management

J. Mulvey, Y. Nie, M. Holen, 2022 .

Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle

J. Mulvey, W. Kim, K. Simsek, 2018, The Journal of Investing.

Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle

J. Mulvey, K. Simsek, Min Jeong Kim, 2018 .

INTEGRATED RISK/COST PLANNING MODELS FOR THE U.S. AIR TRAFFIC SYSTEM THE OS AIE TRAFFIC SYSTEM

J. Mulvey, 2008 .

Multistage stochastic optimization for private equity investments

J. Mulvey, Lorenzo Reus, 2015, Journal of Asset Management.

Setting Realistic Goals for Personal Retirement Planning via Micro–Macro Analyses

J. Mulvey, Hang-Wei Hao, 2020, The Journal of Retirement.

Role of Alternative Assets in Portfolio Construction

J. Mulvey, W. Kim, 2008 .

An Enterprise Risk Management Model for Supply Chains

J. Mulvey, H. G. Erkan, 2009 .

Stochastic network programming for financial planning problems

J. Mulvey, H. Vladimirou, 1992 .

Research on alternative investments at Princeton

J. Mulvey, 2002 .

A Critical Review of Comparisons of Mathematical Programming Algorithms and Software (1953-1977).

J. M. Mulvey, R.H.F. Jackson, J. Mulvey, 1978, Journal of research of the National Bureau of Standards.

Integrative Population Analysis for Better Solutions to Large-Scale Mathematical Programs

John M. Mulvey, Fred Glover, Dawei Bai, 1998 .

Securing Replacement Income with Goal-Based Retirement Investing Strategies

J. Mulvey, L. Martellini, Vincent Milhau, 2020 .

Chapter 15 Asset and liability allocation in a global environment

John M. Mulvey, William T. Ziemba, W. Ziemba, 1995, Finance.

Pivot Strategies for Primal-Simplex Network Codes

John M. Mulvey, J. Mulvey, 1978, JACM.

Stratified filtered sampling in stochastic optimization

John E. Mitchell, John M. Mulvey, Thomas R. Willemain, 2000, Adv. Decis. Sci..

Balancing large social accounting matrices with nonlinear network programming

John M. Mulvey, Stavros A. Zenios, Arne Drud, 1989, Networks.

Financial planning via multi-stage stochastic optimization

Bala Shetty, John M. Mulvey, J. Mulvey, 2004, Comput. Oper. Res..

Accountability and computer decision systems

John M. Mulvey, Deborah G. Johnson, Deborah G. Johnson, 1995, CACM.

Applying CVaR for decentralized risk management of financial companies

John M. Mulvey, Hafize G. Erkan, J. Mulvey, 2006 .

Contaminated groundwater remediation design using simulation, optimization, and sensitivity theory: 1. Model development

John M. Mulvey, Eric F. Wood, George F. Pinder, 1988 .

A diagonal quadratic approximation method for large scale linear programs

John M. Mulvey, Andrzej Ruszczynski, A. Ruszczynski, 1992, Oper. Res. Lett..

Applying the progressive hedging algorithm to stochastic generalized networks

John M. Mulvey, Hercules Vladimirou, J. Mulvey, 1991, Ann. Oper. Res..

Combining physical containment with optimal withdrawal for contaminated groundwater remediation

John M. Mulvey, George F. Pinder, David P. Ahlfeld, 1987 .

Designing optimal strategies for contaminated groundwater remediation

John M. Mulvey, George F. Pinder, David P. Ahlfeld, 1986 .

Robust Optimization of Large-Scale Systems

Robert J. Vanderbei, John M. Mulvey, Stavros A. Zenios, 1995, Oper. Res..

MUSBO: Model-based Uncertainty Regularized and Sample Efficient Batch Optimization for Deployment Constrained Reinforcement Learning

J. Lee, H. Poor, J. Mulvey, 2021, ArXiv.

Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks

J. Mulvey, Xiaoyue Li, A. Uysal, 2021, Eur. J. Oper. Res..

Dynamic Financial Analysis for Multinational Insurance Companies

John M. Mulvey, François Morin, J. Mulvey, 2008 .

Integrated Financial Risk Management : Capital Allocation Issues Professor

J. Mulvey, Michael J. Belfatti, 1999 .

Dynamic asset allocation for varied financial markets under regime switching framework

John M. Mulvey, Woo Chang Kim, Geum Il Bae, 2014, Eur. J. Oper. Res..

OR PRACTICE - Assisting Defined-Benefit Pension Plans

Frank J. Fabozzi, John M. Mulvey, Koray D. Simsek, 2008, Oper. Res..

An Asset and Liability Management System for Towers Perrin-Tillinghast

John M. Mulvey, Gordon Gould, Clive Morgan, 2000, Interfaces.

25. Decentralized Risk Management for Global Property and Casualty Insurance Companies

John M. Mulvey, John M. Mulvey, Hafize G. Erkan, 2005, Applications of Stochastic Programming.

Capital A dequacy and Allocation Using Dynamic Financial Analysis

J. Mulvey, D. Spiegler, D. Mango, 2000 .

What Causes the Volatility Asymmetry? – A Clue to the Volatilities Puzzle

J. Mulvey, W. Kim, 2007 .

Dynamic allocations for currency futures under switching regimes signals

John M. Mulvey, Lorenzo Reus, J. Mulvey, 2016, Eur. J. Oper. Res..

Improving investment performance for pension plans

J. Mulvey, K. Simsek, Zhuojuan Zhang, 2006 .

Modernizing the Defined-Benefit Pension System

William R. Pauling, J. Mulvey, F. Fabozzi, 2005 .

Long–short versus long-only commodity funds

J. Mulvey, 2012 .

Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

J. Mulvey, K. Simsek, Shivangi Kaul, 2004 .

Vectorization and multitasking of nonlinear network programming algorithms

John M. Mulvey, Stavros A. Zenios, S. Zenios, 1988, Math. Program..

Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP

John M. Mulvey, Stavros A. Zenios, S. Zenios, 1986, Oper. Res..

An Extension of the DQA Algorithm to Convex Stochastic Programs

John M. Mulvey, Andrzej Ruszczynski, Adam J. Berger, 1994, SIAM J. Optim..

Separable Quadratic Programming via a Primal-Dual Interior Point Method and its Use in a Sequential Procedure

John M. Mulvey, David F. Shanno, Irvin Lustig, 1993, INFORMS J. Comput..

Integrating Assets and Liabilities for Large Financial Organizations

John M. Mulvey, J. Mulvey, 1994 .

Preface

Hiroshi Konno, David G. Luenberger, John M. Mulvey, 1993, Annals of Operations Research.

A Rule-Based Commodity Index

J. Mulvey, 2014 .

“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?

J. Mulvey, L. Martellini, Vincent Milhau, 2019, The Journal of Portfolio Management.

Identifying Economic Regimes: Reducing Downside Risks for University Endowments and Foundations

John M. Mulvey, Han Liu, Han Liu, 2016, The Journal of Portfolio Management.

Maintaining large planning systems during rapid technological change

J. M. Mulvey, S. Zenois, J. Mulvey, 1988 .

Large-Scale Optimization Modeling at the US Treasury Department: An Update

John M. Mulvey, J. Mulvey, 1985 .

Reducing the US Treasury's Taxpayer Data Base by Optimization

John M. Mulvey, J. Mulvey, 1980 .

A diagonal quadratic approximation method for linear multistage stochastic programming problems

John M. Mulvey, Andrzej Ruszczyński, A. Ruszczynski, 1992 .

Evaluating Mathematical Programming Techniques

John M. Mulvey, J. Mulvey, 1982 .

Coal Conference Participants

John M. Mulvey, J. Mulvey, 1982 .

Introduction to financial optimization: Mathematical Programming Special Issue

John M. Mulvey, J. Mulvey, 2001, Math. Program..

Guidelines for Reporting Computational Experiments in Mathematical Programming

John M. Mulvey, Ron S. Dembo, Harlan Crowder, 1978 .

Dynamic Diversification of Fixed Income Portfolios

John M. Mulvey, Stavros A. Zenios, S. Zenios, 1994 .

Solving robust optimization models in finance

John M. Mulvey, J. Mulvey, 1996, IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr).

Computer Modeling for State Use: Implications for Professional Responsibility

John M. Mulvey, J. Mulvey, 1983, IEEE technology & society magazine.

Strategies in Modeling: A Personnel Scheduling Example

John M. Mulvey, J. Mulvey, 1979 .

How should We Compare Forecasting Models When They Differ

John M. Mulvey, J. Mulvey, 1980 .

SOLVING MULTISTAGE STOCHASTIC PROGRAMS WITH TREE DISSECTION

J. Mulvey, D. Berger, Robert VANDERBEIAbstract, 1991 .

Optimal savings management for individuals with defined contribution pension plans

John M. Mulvey, Agnieszka Karolina Konicz, J. Mulvey, 2015, Eur. J. Oper. Res..

Applying a Stochastic Financial Planning System to an Individual: Immediate or Deferred Life Annuities?

John M. Mulvey, Agnieszka Karolina Konicz, J. Mulvey, 2013, The Journal of Retirement.

Rebalancing Strategies for Multi-Period Asset Allocation

J. Mulvey, Nan Lu, Jon Sweemer, 2001 .

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

J. Mulvey, S. Uysal, Xiaoyue Li, 2021, SSRN Electronic Journal.

Linking Momentum Strategies with Single-Period Portfolio Models

Woo Chang Kim, J. Mulvey, W. Kim, 2010 .

ST-MLP: A Cascaded Spatio-Temporal Linear Framework with Channel-Independence Strategy for Traffic Forecasting

J. Mulvey, Zepu Wang, Peng Sun, 2023, ArXiv.

Portfolio Optimization Under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs

J. Mulvey, Xiaoyue Li, 2021, INFORMS Journal on Optimization.

Machine Learning and Financial Planning

John M. Mulvey, J. Mulvey, 2017, IEEE Potentials.

A Machine Learning Approach in Regime-Switching Risk Parity Portfolios

John M. Mulvey, A. Sinem Uysal, J. Mulvey, 2021 .

Generating scenarios for global financial planning systems

J. Mulvey, J. Sweeney, R. Rush, 1998 .