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Research Output

Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

Mulvey, J. M., Sun, Y., Wang, M. & Ye, J., Jan 1 2020, (Accepted/In press) In : Quantitative Finance.

Princeton University

Research output: Contribution to journalArticle

  • Machine Learning and Financial Planning

    Mulvey, J. M., Nov 1 2017, In : IEEE Potentials. 36, 6, p. 8-13 6 p., 8103126.

    Princeton University

    Research output: Contribution to journalArticle

  • 3 Scopus citations

    Optimizing a portfolio of liquid and illiquid assets

    Mulvey, J. M., Kim, W. C. & Lin, C., Jan 1 2017, International Series in Operations Research and Management Science. Springer New York LLC, p. 151-175 25 p. (International Series in Operations Research and Management Science; vol. 245).

    Princeton University

    Research output: Chapter in Book/Report/Conference proceedingChapter

  • 1 Scopus citations

    A semiparametric graphical modelling approach for large-scale equity selection

    Liu, H., Mulvey, J. & Zhao, T., Jul 2 2016, In : Quantitative Finance. 16, 7, p. 1053-1067 15 p.

    Princeton University

    Research output: Contribution to journalArticle

  • 1 Scopus citations

    Dynamic allocations for currency futures under switching regimes signals

    Reus, L. & Mulvey, J. M., Aug 16 2016, In : European Journal of Operational Research. 253, 1, p. 85-93 9 p.

    Princeton University

    Research output: Contribution to journalArticle

  • 3 Scopus citations