John Mulvey

John M. Mulvey is a professor in the Department of Operations Research and Financial Engineering (ORFE) at Princeton University, working on financial optimisation, dynamic portfolio strategy and regime-switching asset allocation. He is a co-author (with Yizhan Shu and Chenyu Yu) of the Shu Yu and Mulvey 2024 paper on 0/1 regime-switching strategies and the follow-up Shu Yu and Mulvey 2024 Dynamic Allocation paper on multi-asset regime-aware allocation. He appears in this vault as a central named researcher behind the Statistical Jump Model line of work applied to Regime-Based Asset Allocation.

Connections

• Shu Yu and Mulvey 2024 — relates, source: https://arxiv.org/html/2402.05272v2
• Shu Yu and Mulvey 2024 Dynamic Allocation — proposes_model, source: https://arxiv.org/html/2406.09578v1
• Shu and Mulvey 2024 Dynamic Factor Allocation — proposes_model, source: https://arxiv.org/abs/2410.14841
• Bosancic Nie Mulvey 2024 — relates, co-author of the regime-aware factor-allocation predecessor paper, source: https://arxiv.org/html/2410.14841v1
• Statistical Jump Model — proposes_model, source: https://arxiv.org/html/2406.09578v1

Sources

• Shu, Y., Yu, C. & Mulvey, J. M. (2024). arXiv:2402.05272; arXiv:2406.09578. https://arxiv.org/html/2406.09578v1