John M. Mulvey

According to our database1, John M. Mulvey authored at least 39 papers between 1978 and 2016.

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Bibliography

2016
Dynamic allocations for currency futures under switching regimes signals.
Eur. J. Oper. Res., 2016

2015
Optimal savings management for individuals with defined contribution pension plans.
Eur. J. Oper. Res., 2015

2014
Dynamic asset allocation for varied financial markets under regime switching framework.
Eur. J. Oper. Res., 2014

2009
Financial Optimization.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

2008
OR PRACTICE - Assisting Defined-Benefit Pension Plans.
Oper. Res., 2008

2005
25. Decentralized Risk Management for Global Property and Casualty Insurance Companies.
Proceedings of the Applications of Stochastic Programming, 2005

2004
Financial planning via multi-stage stochastic optimization.
Comput. Oper. Res., 2004

2003
Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization.
Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2001
Introduction to financial optimization: Mathematical Programming Special Issue.
Math. Program., 2001

2000
Stratified filtered sampling in stochastic optimization.
Adv. Decis. Sci., 2000

An Asset and Liability Management System for Towers Perrin-Tillinghast.
Interfaces, 2000

1999
Parameter estimation in stochastic scenario generation systems.
Eur. J. Oper. Res., 1999

Linking strategic and tactical planning systemsfor asset and liability management.
Ann. Oper. Res., 1999

1996
Solving robust optimization models in finance.
Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, 1996

Robust Optimization on PC Supercomputers.
Proceedings of the Applications on Advanced Architecture Computers, 1996

1995
Robust Optimization of Large-Scale Systems.
Oper. Res., 1995

A New Scenario Decomposition Method for Large-Scale Stochastic Optimization.
Oper. Res., 1995

Accountability and Computer Decision Systems.
Commun. ACM, 1995

Chapter 15 Asset and liability allocation in a global environment.
Proceedings of the Finance, 1995

1994
An Extension of the DQA Algorithm to Convex Stochastic Programs.
SIAM J. Optim., 1994

1993
Higher-Order Predictor-Corrector Interior Point Methods with Application to Quadratic Objectives.
SIAM J. Optim., 1993

Separable Quadratic Programming via a Primal-Dual Interior Point Method and its Use in a Sequential Procedure.
INFORMS J. Comput., 1993

Preface.
Ann. Oper. Res., 1993

1992
A diagonal quadratic approximation method for large scale linear programs.
Oper. Res. Lett., 1992

1991
Solving multistage stochastic networks: An application of scenario aggregation.
Networks, 1991

Formulating Two-Stage Stochastic Programs for Interior Point Methods.
Oper. Res., 1991

Applying the progressive hedging algorithm to stochastic generalized networks.
Ann. Oper. Res., 1991

1989
Balancing large social accounting matrices with nonlinear network programming.
Networks, 1989

OR Practice - Large-Scale Nonlinear Network Models and Their Application.
Oper. Res., 1989

1988
A distributed algorithm for convex network optimization problems.
Parallel Comput., 1988

Vectorization and multitasking of nonlinear network programming algorithms.
Math. Program., 1988

1987
Nonlinear programming on generalized networks.
ACM Trans. Math. Softw., 1987

1986
Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP.
Oper. Res., 1986

Nonlinear network programming on a vector supercomputer (abstract).
Proceedings of the 14th ACM Annual Conference on Computer Science, 1986

1980
Technical Note - Equivalence of the 0-1 Integer Programming Problem to Discrete Generalized and Pure Networks.
Oper. Res., 1980

1979
On Reporting Computational Experiments with Mathematical Software.
ACM Trans. Math. Softw., 1979

1978
Testing of a large-scale network optimization program.
Math. Program., 1978

Reporting computational experiments in mathematical programming.
Math. Program., 1978

Pivot Strategies for Primal-Simplex Network Codes.
J. ACM, 1978


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