Mulvey John M.

John M. Mulvey

Information about the author John M. Mulvey will soon be added to the site.
Found 23 papers in total
Financial planning via a multi-stage stochastic optimization
Financial planning via a multi-stage stochastic optimization
2004
This paper describes a framework for modeling significant financial planning problems...
Introduction to financial optimization: Mathematical Programming special issue
Introduction to financial optimization: Mathematical Programming special issue
2001
Optimization models are effective for solving significant problems in finance,...
Stratified filtered sampling in stochastic optimization
Stratified filtered sampling in stochastic optimization
2000
We develop a methodology for evaluating a decision strategy generated by a stochastic...
An asset and liability management system for Towers Perrin-Tillinghast
An asset and liability management system for Towers Perrin-Tillinghast
2000
Towers Perrin-Tillinghast employs a stochastic asset-and-liability management system...
Parameter estimation in stochastic scenario generation systems
Parameter estimation in stochastic scenario generation systems
1999
Scenario analysis offers an effective tool for addressing the stochastic elements in...
Linking strategic and tactical planning systems for asset and liability management
Linking strategic and tactical planning systems for asset and liability management
1999
Total enterprise risk management involves a systematic approach for...
Strategic financial risk management and operations research
Strategic financial risk management and operations research
1997
Risk management has become a vital topic for financial institutions in the 1990s....
Making a case for robust optimization models
Making a case for robust optimization models
1997
Robust optimization searches for recommendations that are relatively immune to...
Robust optimization of large-scale systems
Robust optimization of large-scale systems
1995
Mathematical programming models with noisy, erroneous, or incomplete data are common...
A new scenario decomposition method for large-scale stochastic optimization
A new scenario decomposition method for large-scale stochastic optimization
1995
A novel parallel decomposition algorithm is developed for large, multistage stochastic...
Robust optimization of large-scale systems
Robust optimization of large-scale systems
1995
Mathematical programming models with noisy, erroneous, or incomplete data are common...
Generating scenarios for the Towers Perrin investment system
Generating scenarios for the Towers Perrin investment system
1996
The Towers Perrin company applies integrative asset-liability planning to the problem...
Capturing the correlations of fixed-income instruments
Capturing the correlations of fixed-income instruments
1994
This paper develops a framework for managing portfolios of fixed income instruments...
An asset-liability investment system
An asset-liability investment system
1994
The Pacific Financial Asset Management Company uses stochastic optimization to...
Stochastic network programming for financial planning problems
Stochastic network programming for financial planning problems
1992
Several financial planning problems are posed as dynamic generalized network models...
Formulating two-stage stochastic programs for interior point methods
Formulating two-stage stochastic programs for interior point methods
1991
This paper describes an approach for modeling two-stage stochastic programs that...
A diagonal quadratic approximation method for large scale linear programs
A diagonal quadratic approximation method for large scale linear programs
1992
An augmented Lagrangian method is proposed for handling the common rows in large scale...
Applying the progressive hedging algorithm to stochastic generalized networks
Applying the progressive hedging algorithm to stochastic generalized networks
1991
The introduction of uncertainty to mathematical programs greatly increases the size of...
Simplicial decomposition for convex generalized networks
Simplicial decomposition for convex generalized networks
1990
The simplicial decomposition algorithm is specialized to solve nonlinear programs with...
Integrating expert systems and mathematical programming: An example in infrastructure management
Integrating expert systems and mathematical programming: An example in infrastructure management
1989
This report describes the integration of an integer programming model and an expert...
Stochastic network optimization models for investment planning
Stochastic network optimization models for investment planning
1989
The authors describe and compare stochastic network optimization models for investment...
Large-scale nonlinear network models and their application
Large-scale nonlinear network models and their application
1989
Nonlinear network applications arise in a variety of contexts: hydroelectric power...
Vectorization and multitasking of nonlinear network programming algorithms
Vectorization and multitasking of nonlinear network programming algorithms
1988
Vector supercomputers are designed with two levels of parallelism in order to achieve...
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