Refereed Publications

Li, Xiaoyue, and John Mulvey. 2021. “Portfolio Optimization under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs”. INFORMS Journal on Optimization 3. INFORMS: 398–417.

Uysal, Sinem, and John Mulvey. 2021. “A Machine Learning Approach in Regime-Switching Risk Parity Portfolios”. The Journal of Financial Data Science 3. Institutional Investor Journals Umbrella: 87–108.

Martellini, Lionel, Vincent Milhau, and John Mulvey. 2020. “Securing Replacement Income With Goal-Based Retirement Investing Strategies”. The Journal of Retirement 7. Institutional Investor Journals Umbrella: 8–26.

Mulvey, John, Yifan Sun, Mengdi Wang, and Jing Ye. 2020. “Optimizing a Portfolio of Mean-Reverting Assets With Transaction Costs via a Feedforward Neural Network”. Quantitative Finance 20. Taylor & Francis: 1239–1261.

Thomas, D, and JM Mulvey. 2020. “Factor Momentum in Retirement Planning.”

Mulvey, John, and Han Hao. 2020. “Setting Realistic Goals for Personal Retirement Planning via Micro–Macro Analyses”. The Journal of Retirement 8. Institutional Investor Journals Umbrella: 23–38.

Mulvey, John, Lionel Martellini, Han Hao, and Nongchao Li. 2019. “A Factor-and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits”. The Journal of Portfolio Management 45. Institutional Investor Journals Umbrella: 165–177.

Mulvey, John. 2019. “Python Machine Learning for Investment Decisions: A Brief Guided Tour”. EDHEC Risk Management.

Martellini, Lionel, Vincent Milhau, and John Mulvey. 2019. “‘Flexicure’ Retirement Solutions: A Part of the Answer to the Pension Crisis?”. The Journal of Portfolio Management 45. Institutional Investor Journals Umbrella: 136–151.

Mulvey, John, Han Hao, and Nongchao Li. 2018. “Machine Learning, Economic Regimes and Portfolio Optimisation”. International Journal of Financial Engineering and Risk Management 2. Inderscience Publishers (IEL): 260–282.

Simsek, Koray, Min Kim, Woo Kim, and John Mulvey. 2018. “Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle”. The Journal of Investing 27. Institutional Investor Journals Umbrella: 38–57.

Giron, K, L Martellini, , J Mulvey, and A Suri. 2018. “Applying Goal-Based Investing Principles to the Retirement Problem”. EDHEC-Risk Institute Publication.

Mulvey, John. 2017. “Machine Learning and Financial Planning”. IEEE Potentials 36. IEEE: 8–13.

Liu, Han, John Mulvey, and Tianqi Zhao. 2016. “A Semiparametric Graphical Modelling Approach for Large-Scale Equity Selection”. Quantitative Finance 16. Taylor & Francis: 1053–1067.

Mulvey, John, and Han Liu. 2016. “Identifying Economic Regimes: Reducing Downside Risks for University Endowments and Foundations”. The Journal of Portfolio Management 43. Institutional Investor Journals Umbrella: 100–108.

Mulvey, John, and Margaret Holen. 2016. “The Evolution of Asset Classes: Lessons from University Endowments”. Journal of Investment Consulting 17: 48–58.

Konicz, Agnieszka, and John Mulvey. 2015. “Optimal Savings Management for Individuals With Defined Contribution Pension Plans”. European Journal of Operational Research 243. Elsevier: 233–247.

Kim, Woo, Jang Kim, John Mulvey, and Frank Fabozzi. 2015. “Focusing on the Worst State for Robust Investing”. International Review of Financial Analysis 39. Elsevier: 19–31.

Reus, Lorenzo, and John Mulvey. 2015. “Multistage Stochastic Optimization for Private Equity Investments”. Journal of Asset Management 16. Springer: 342–362.

Bae, Geum, Woo Kim, and John Mulvey. 2014. “Dynamic Asset Allocation for Varied Financial Markets under Regime Switching Framework”. European Journal of Operational Research 234. Elsevier: 450–458.

Kim, Woo, John Mulvey, Koray Simsek, and Min Kim. 2013. “Longevity Risk Management for Individual Investors”. World Scientific.

Konicz, Agnieszka, and John Mulvey. 2013. “Applying a Stochastic Financial Planning System to an Individual: Immediate or Deferred Life Annuities?”. The Journal of Retirement 1. Institutional Investor Journals Umbrella: 46–60.

Mulvey, John, Frank Fabozzi, and Lionel Martellini. (2013) 2013. “Toward a Fair(er) Valuation of Pension Liabilities”. Supplement to Pensions and Investments, 17-18.

Mulvey, JM. 2013. “A Rule Based Commodity Index”. J. Investment Manage 3: 7.

Mulvey, J. 2012. “The Role of Managed Futures and Commodity Funds: Protecting Wealth During Turbulent Periods”. J. Indexes 15: 38–45.

Mulvey, John. 2012. “Long–short versus Long-only Commodity Funds”. Quantitative Finance 12. Taylor & Francis: 1779–1785.

“Werkzeuge Fur Absolute-Return-Strategien”. (2012) 2012. Organon 2: 1-23.

Mulvey, John. 2012. “Advantages of Long-Short Commodity Funds for Long-Term Investors”. Investment and Pensions Europe 98: 3.

Mulvey, John, and Woo Kim. 2011. “Multistage Financial Planning Models: Integrating Stochastic Programs and Policy Simulators”. In , edited by Gerd Infanger, 257–275. New York, NY: Springer New York. doi:10.1007/978-1-4419-1642-6_12.

Mulvey, John, and Woo Kim. 2011. “Multistage Financial Planning Models: Integrating Stochastic Programs and Policy Simulators”. In , 257–275. Springer New York LLC. doi:10.1007/978-1-4419-1642-6_12.

Mulvey, John, Mehmet Bilgili, and Taha Vural. 2011. “A Dynamic Portfolio of Investment Strategies: Applying Capital Growth With Drawdown Penalties”. World Scientific.

Mulvey, John, Woo Kim, and Mehmet Bilgili. 2010. “Linking Momentum Strategies With Single-Period Portfolio Models”. Springer.

Mulvey, John, and Hafize Erkan. 2009. “An Enterprise Risk Management Model for Supply Chains”. Springer.

Kim, Woo, and John Mulvey. 2009. “Evaluating Style Investment—Does a Fund Market Defined Along Equity Styles Add Value?”. Quantitative Finance 9. Taylor & Francis: 637–651.

Floudas, Christodoulos, and Panos Pardalos. 2008. Encyclopedia of Optimization. Springer Science & Business Media.

Mulvey, John, Bill Pauling, Stephen Britt, and François Morin. 2008. “Dynamic Financial Analysis for Multinational Insurance Companies”. Elsevier.

Mulvey, JM, and WC Kim. 2008. “The Role of Alternative Assets for Optimal Portfolio Construction”. Wiley, New York, NY.

Mulvey, John, W Kim, and Mehmet Bilgili. 2008. “Dynamic Investment Strategies and Rebalancing Gains”. The Euromoney Algorithmic Trading Handbook 2007 2008.

Mulvey, John, and Woo Kim. 2008. “Active Equity Managers in the US: Do the Best Follow Momentum Strategies?”. The Journal of Portfolio Management 34. Institutional Investor Journals Umbrella: 126–134.

Mulvey, John, Koray Simsek, Zhuojuan Zhang, Frank Fabozzi, and William Pauling. 2008. “OR Practice—assisting Defined-Benefit Pension Plans”. Operations Research 56. INFORMS: 1066–1078.

Mulvey, John, and W Kim. 2008. “Constantly Rebalanced Portfolios-Is Mean-Reverting Necessary.”

Mulvey, John, Cenk Ural, and Zhuojuan Zhang. 2007. “Improving Performance for Long-Term Investors: Wide Diversification, Leverage, and Overlay Strategies”. Quantitative Finance 7. Taylor & Francis: 175–187.

Mulvey, John, and Hafize Erkan. 2006. “Applying CVaR for Decentralized Risk Management of Financial Companies”. Journal of Banking & Finance 30. Elsevier: 627–644.

Mulvey, John, Koray Simsek, and Zhuojuan Zhang. 2006. “Improving Investment Performance for Pension Plans”. Journal of Asset Management 7. Springer: 93–108.

Mulvey, John, and AJ Thompson. 2005. “Statistical Learning Theory in Equity Return Forecasting”. Springer.

Mulvey, John, Frank Fabozzi, William Pauling, Koray Simsek, and Zhuojuan Zhang. 2005. “Modernizing the Defined-Benefit Pension System”. The Journal of Portfolio Management 31. Institutional Investor Journals Umbrella: 73–82.

Mulvey, John, and Hafize Erkan. 2005. “Decentralized Risk Management for Global Property and Casualty Insurance Companies”. SIAM.

Mulvey, John. (2005) 2005. “Modernizing the Defined-Benefit Pension System”. Journal of Portfolio Management 31: 73–82. doi:10.3905/jpm.2005.470580.

Mulvey, John, and Bala Shetty. 2004. “Financial Planning via Multi-Stage Stochastic Optimization”. Computers & Operations Research 31. Elsevier: 1–20.

Mulvey, John, Shiv Kaul, and Koray Simsek. 2004. “Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation”. The Journal of Alternative Investments 7. Institutional Investor Journals Umbrella: 54–69.