John M. Mulvey

According to our database, John M. Mulvey authored at least 48 papers between 1978 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of three.

2024

End-to-end risk budgeting portfolio optimization with neural networks.

Ayse Sinem Uysal, Xiaoyue Li, John M. Mulvey

Ann. Oper. Res., August, 2024

A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges.

Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen, Stefan Zohren

CoRR, 2024

2023

Optimizing Multidocument Summarization by Blending Reinforcement Learning Policies.

DiJia Su, Difei Su, John M. Mulvey, H. Vincent Poor

IEEE Trans. Artif. Intell., June, 2023

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

Zepu Wang, Yuqi Nie, Peng Sun, Nam H. Nguyen, John M. Mulvey, H. Vincent Poor

CoRR, 2023

2022

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

Xiaoyue Li, Ayse Sinem Uysal, John M. Mulvey

Eur. J. Oper. Res., 2022

Competitive Multi-Agent Reinforcement Learning with Self-Supervised Representation.

DiJia Su, Jason D. Lee, John M. Mulvey, H. Vincent Poor

Proceedings of the IEEE International Conference on Acoustics, 2022

2021

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

Xiaoyue Li, John M. Mulvey

INFORMS J. Optim., October, 2021

PoBRL: Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies.

DiJia Andy Su, Difei Su, John M. Mulvey, H. Vincent Poor

CoRR, 2021

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

DiJia Su, Jason D. Lee, John M. Mulvey, H. Vincent Poor

CoRR, 2021

2016

Dynamic allocations for currency futures under switching regimes signals.

Lorenzo Reus, John M. Mulvey

Eur. J. Oper. Res., 2016

2015

Optimal savings management for individuals with defined contribution pension plans.

Agnieszka Karolina Konicz, John M. Mulvey

Eur. J. Oper. Res., 2015

2014

Dynamic asset allocation for varied financial markets under regime switching framework.

Geum Il Bae, Woo Chang Kim, John M. Mulvey

Eur. J. Oper. Res., 2014

2009

Financial Optimization.

John M. Mulvey, Bala Shetty

Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

2008

OR PRACTICE - Assisting Defined-Benefit Pension Plans.

John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling

Oper. Res., 2008

2005

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

John M. Mulvey, Hafize G. Erkan

Proceedings of the Applications of Stochastic Programming, 2005

2004

Financial planning via multi-stage stochastic optimization.

John M. Mulvey, Bala Shetty

Comput. Oper. Res., 2004

2003

Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization.

John M. Mulvey, Hafize G. Erkan

Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2001

Introduction to financial optimization: Mathematical Programming Special Issue.

John M. Mulvey

Math. Program., 2001

2000

Stratified filtered sampling in stochastic optimization.

Robert Rush, John M. Mulvey, John E. Mitchell, Thomas R. Willemain

Adv. Decis. Sci., 2000

An Asset and Liability Management System for Towers Perrin-Tillinghast.

John M. Mulvey, Gordon Gould, Clive Morgan

Interfaces, 2000

1999

Parameter estimation in stochastic scenario generation systems.

John M. Mulvey, Daniel P. Rosenbaum, Bala Shetty

Eur. J. Oper. Res., 1999

Linking strategic and tactical planning systemsfor asset and liability management.

John M. Mulvey, Chris Madsen, François Morin

Ann. Oper. Res., 1999

1996

Solving robust optimization models in finance.

John M. Mulvey

Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, 1996

Robust Optimization on PC Supercomputers.

John M. Mulvey

Proceedings of the Applications on Advanced Architecture Computers, 1996

1995

Robust Optimization of Large-Scale Systems.

John M. Mulvey, Robert J. Vanderbei, Stavros A. Zenios

Oper. Res., 1995

A New Scenario Decomposition Method for Large-Scale Stochastic Optimization.

John M. Mulvey, Andrzej Ruszczynski

Oper. Res., 1995

Accountability and Computer Decision Systems.

Deborah G. Johnson, John M. Mulvey

Commun. ACM, 1995

Chapter 15 Asset and liability allocation in a global environment.

John M. Mulvey, William T. Ziemba

Proceedings of the Finance, 1995

1994

An Extension of the DQA Algorithm to Convex Stochastic Programs.

Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski

SIAM J. Optim., 1994

1993

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

Tamra J. Carpenter, Irvin J. Lustig, John M. Mulvey, David F. Shanno

SIAM J. Optim., 1993

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

Tamra J. Carpenter, Irvin J. Lustig, John M. Mulvey, David F. Shanno

INFORMS J. Comput., 1993

Preface.

Hiroshi Konno, David G. Luenberger, John M. Mulvey

Ann. Oper. Res., 1993

1992

A diagonal quadratic approximation method for large scale linear programs.

John M. Mulvey, Andrzej Ruszczynski

Oper. Res. Lett., 1992

1991

Solving multistage stochastic networks: An application of scenario aggregation.

John M. Mulvey, Hercules Vladimirou

Networks, 1991

Formulating Two-Stage Stochastic Programs for Interior Point Methods.

Irvin J. Lustig, John M. Mulvey, Tamra J. Carpenter

Oper. Res., 1991

Applying the progressive hedging algorithm to stochastic generalized networks.

John M. Mulvey, Hercules Vladimirou

Ann. Oper. Res., 1991

1989

Balancing large social accounting matrices with nonlinear network programming.

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

Networks, 1989

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

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

Oper. Res., 1989

1988

A distributed algorithm for convex network optimization problems.

Stavros A. Zenios, John M. Mulvey

Parallel Comput., 1988

Vectorization and multitasking of nonlinear network programming algorithms.

Stavros A. Zenios, John M. Mulvey

Math. Program., 1988

1987

Nonlinear programming on generalized networks.

David P. Ahlfeld, John M. Mulvey, Ron S. Dembo, Stavros A. Zenios

ACM Trans. Math. Softw., 1987

1986

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

Stavros A. Zenios, John M. Mulvey

Oper. Res., 1986

Nonlinear network programming on a vector supercomputer (abstract).

Stavros A. Zenios, John M. Mulvey

Proceedings of the 14th ACM Annual Conference on Computer Science, 1986

1980

Technical Note - Equivalence of the 0-1 Integer Programming Problem to Discrete Generalized and Pure Networks.

Fred W. Glover, John M. Mulvey

Oper. Res., 1980

1979

On Reporting Computational Experiments with Mathematical Software.

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

ACM Trans. Math. Softw., 1979

1978

Testing of a large-scale network optimization program.

John M. Mulvey

Math. Program., 1978

Reporting computational experiments in mathematical programming.

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

Math. Program., 1978

Pivot Strategies for Primal-Simplex Network Codes.

John M. Mulvey

J. ACM, 1978