John Mulvey
Princeton University, ORFE, Faculty Member
... management Ann. Operations Research 81 131–61 Darius D, Ilhan A, Mulvey J, Simsek K and Sircar R 2002 Trend-following hedge funds and multi-period asset allocation Princeton University ORFE Report (January 2002) Dempster ...
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... primal (Gill et al. 1986, Vanderbei, Figure 3. Deterministic equivalent-full splitting representation. Meketon and Freedman 1986, and Barnes 1986), dual (Adler et al., 1986) and primal-dual (Monteiro and Adler 1989, McShane, Monma and... more
... primal (Gill et al. 1986, Vanderbei, Figure 3. Deterministic equivalent-full splitting representation. Meketon and Freedman 1986, and Barnes 1986), dual (Adler et al., 1986) and primal-dual (Monteiro and Adler 1989, McShane, Monma and Shanno 1989, and Lustig, Marsten and ...
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Infinite programming: Proceedings of an international symposium on infinite dimensional linear programming, Churchill College, Cambridge, United Kingdom, September 7–10, 1984 E.J. ANDERSON and A.B. PHILPOTT (eds.) Volume 259 in: Lecture notes in economics and mathematical systems, Springer, Berli...more
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An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster... more
An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster analysis. The goal of stratification is constructing a partition such that observations within a stratum are homogeneous as defined by within-cluster variances for attributes that are deemed
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ABSTRACT
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A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's... more
A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's capital can be interpreted as a buffer that protects the company from insolvency and its inability to pay policyholder losses. Rare events have been simulated over
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A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's... more
A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's capital can be interpreted as a buffer that protects the company from insolvency and its inability to pay policyholder losses. Rare events have been simulated over
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The design of an optimal supply chain rarely considers uncertainty within the modeling framework. This omission is due to several factors, including tradition, model size, and the difficulty in measuring the stochastic parameters. We show... more
The design of an optimal supply chain rarely considers uncertainty within the modeling framework. This omission is due to several factors, including tradition, model size, and the difficulty in measuring the stochastic parameters. We show that a stochastic program provides an ideal framework for optimizing a large supply chain in the face of an uncertain future. The goal is to
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... princeton.edu Koray D. Simsek Associate Professor of Finance at Edhec Business School Research Associate with the Edhec Risk and Asset Management Research Centre koray.simsek@edhec.edu Page 2. Abstract Leading ...
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Alternative investments (hedge funds, commodity pools, private equity, venture capital, timber, and real estate) are particularly valuable when the return characteristics are driven by factors that are different than traditional equity... more
Alternative investments (hedge funds, commodity pools, private equity, venture capital, timber, and real estate) are particularly valuable when the return characteristics are driven by factors that are different than traditional equity and fixed-income investments. See, for ...
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This paper describes the experimental results of testing a “large-scale” program for solving minimum-cost network flow problems. With this program, general structure transshipment problems with over ten thousand nodes and thirty thousand... more
This paper describes the experimental results of testing a “large-scale” program for solving minimum-cost network flow problems. With this program, general structure transshipment problems with over ten thousand nodes and thirty thousand arcs have been easily solved without resorting to auxiliary storage. The algorithm is a variant of the primal revised simplex method; the computer code is called LPNET illustrating
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... Other examples of financial optimization are mentioned ... The overall topic goes by several names, including asset and liability management (Ziemba and Mulvey, 1998), dynamic financial analysis (mostly by the Casualty Actuarial... more
... Other examples of financial optimization are mentioned ... The overall topic goes by several names, including asset and liability management (Ziemba and Mulvey, 1998), dynamic financial analysis (mostly by the Casualty Actuarial Society, Lowe and Stanard 1996), and enterprise ...
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An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster... more
An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster analysis. The goal of stratification is constructing a partition such that observations within a stratum are homogeneous as defined by within-cluster variances for attributes that are deemed
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Page 1. MANAGEMENT SCIENCE Vol. 22, No. 12, August, 1976 Printed in USA AN INTEGRATED OPTIMIZATION/INFORMATION SYSTEM FOR ACADEMIC DEPARTMENTAL PLANNING*t JAMES S. DYERT AND JOHN M. MULVEY? ...
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Financial management requires a systematic approach for generating scenarios of future capital markets. Today's global environment demands that the scenarios link the economies of individual countries within a common framework. We... more
Financial management requires a systematic approach for generating scenarios of future capital markets. Today's global environment demands that the scenarios link the economies of individual countries within a common framework. We describe a global scenario system, developed by Towers Perrin, based on a cascading set of stochastic differential equations. The system applies to financial systems for pension plans and insurance companies throughout the world. A case study illustrates the process. La gestion tinanciere demande une approche systematique pour gbnerer des scenarios pour les marches futurs des capitaux. L'environement global de nos jours demande que les scenarios relient les economies des pays darts une approche commune. Nous d6crivons un model de scenario global developpt5 par Towers Perrin base sur une cascade d't?quation differentielles al6atoires. Le model s 'applique aux portefeuilles de pension et d 'assurance dans le monde entier. Un example ...
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... the prime periods (9A.M.12 and 1 PM 3 PM) to the exclusion of alternative time slots ... The author has devised a networkbased opti mizing approach to the classroom time model which rapidly approximates ... (See Dantzig [3].) The... more
... the prime periods (9A.M.12 and 1 PM 3 PM) to the exclusion of alternative time slots ... The author has devised a networkbased opti mizing approach to the classroom time model which rapidly approximates ... (See Dantzig [3].) The details of the general methodology are summarized ...
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Page 1. Annals of Operations Research, 21 (1989) 275-300 275 INTEGRATING EXPERT SYSTEMS AND MATHEMATICAL PROGRAMMING: AN EXAMPLE IN INFRASTRUCTURE MANAGEMENT t Hans H. Erickson, John ...
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Abstract. One component of every multi-stage stochastic program is a filtration that determines the notion of which random events are observable at each stage of the evolution. Within the context of interior-point methods, we describe an... more
Abstract. One component of every multi-stage stochastic program is a filtration that determines the notion of which random events are observable at each stage of the evolution. Within the context of interior-point methods, we describe an e cient pre-ordering technique, called filtered dissection, that takes advantage of the filtration's structure to dramatically reduce fill-in in the factorization as compared with methods such as the default methods employed by cplex-barrier and loqo. We have implemented this technique as a minor ...
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The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise to overcome the... more
The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise to overcome the computational complexity of certain classes of stochastic programs. In this paper we examine the progressive hedging algorithm for solving multi-scenario generalized networks. We present computational results demonstrating the effect
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Total enterprise risk management involves a systematic approach for evaluating/controlling risks within a large firm such as a property-casualty insurance company. Thebasic idea is to coordinate planning throughout the organization, from... more
Total enterprise risk management involves a systematic approach for evaluating/controlling risks within a large firm such as a property-casualty insurance company. Thebasic idea is to coordinate planning throughout the organization, from traders and underwritersto the CFO, in order to maximize the company's economic surplus at the desiredlevel of enterprise risk. At present, it is difficult to link strategic systems, such
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The problem of designing contaminated groundwater remediation systems using hydraulic control is addressed. Two nonlinear optimization formulations are proposed which model the design process for the location and pump rates of injection... more
The problem of designing contaminated groundwater remediation systems using hydraulic control is addressed. Two nonlinear optimization formulations are proposed which model the design process for the location and pump rates of injection and extraction wells in an aquifer ...
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... JON SWEEMER is a visiting collabora-tor in the department of operations research and financial engineer-ing at Princeton Uni-versity in Princeton, NJ. ... Rather, we turn to multi-period opti-mization models; see Ziemba and Mulvey... more
... JON SWEEMER is a visiting collabora-tor in the department of operations research and financial engineer-ing at Princeton Uni-versity in Princeton, NJ. ... Rather, we turn to multi-period opti-mization models; see Ziemba and Mulvey [1998] for a sur-vey of asset and liability ...