Zobrazeno 1 - 10
of 142
pro vyhledávání: '"John M. Mulvey"'
Publikováno v:
IEEE Transactions on Artificial Intelligence. 4:416-427
Publikováno v:
The Journal of Financial Data Science. 4:37-49
Autor:
John M. Mulvey, Xiaoyue Li
Publikováno v:
INFORMS Journal on Optimization. 3:398-417
The contributions of this paper are threefold. First, by combining dynamic programs and neural networks, we provide an efficient numerical method to solve a large multiperiod portfolio allocation problem under regime-switching market and transaction
Autor:
John M. Mulvey, Junhan Gu
Publikováno v:
The Journal of Financial Data Science. 3:101-129
Investors are faced with challenges in diversifying risks and protecting capital during crash periods. In this article, the authors incorporate regime information in the portfolio optimization context by identifying regimes for historical time period
Autor:
John M. Mulvey
Publikováno v:
Commodities ISBN: 9781003265399
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee3460f27bf94dc9bb37e05320c79349
https://doi.org/10.1201/9781003265399-21
https://doi.org/10.1201/9781003265399-21
Publikováno v:
ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP).
Autor:
A. Sinem Uysal, John M. Mulvey
Publikováno v:
The Journal of Financial Data Science. 3:87-108
The authors present a machine learning approach to regime-based asset allocation. The framework consists of two primary components: (1) regime modeling and prediction and (2) identifying a regime-based strategy to enhance the performance of a risk pa
This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search algorithm with a deep neural network. The MCTS provides an advanced start
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8d21cb4e51f820165f084dd6d51df739
http://arxiv.org/abs/2202.07734
http://arxiv.org/abs/2202.07734
Autor:
John M. Mulvey, Han Hao
Publikováno v:
The Journal of Retirement. 8:23-38
The vulnerability of individuals planning for retirement has been growing as a result of the conversion from defined benefit plans to defined contribution plans, the steady increase in life longevity, and the uncertainty of asset returns under an eve
Publikováno v:
Quantitative Finance. 20:1239-1261
Optimizing a portfolio of mean-reverting assets under transaction costs and a finite horizon is severely constrained by the curse of high dimensionality. To overcome the exponential barrier, we dev...