no code implementations • 7 Feb 2024 • Yizhan Shu, Chenyu Yu, John M. Mulvey
This article investigates the impact of regime switching on asset allocation decisions, with a primary focus on comparing different regime identification models.
no code implementations • 15 Jun 2023 • Xiaoyue Li, John M. Mulvey
Here, we propose a four-step numerical framework for the optimal portfolio execution problem where multiple market regimes exist, with the underlying regime switching based on a Markov process.
no code implementations • 15 Feb 2022 • Afşar Onat Aydınhan, Xiaoyue Li, John M. Mulvey
This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search algorithm with a deep neural network.
no code implementations • 9 Jul 2021 • Ayse Sinem Uysal, Xiaoyue Li, John M. Mulvey
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem.
no code implementations • 18 May 2021 • Andy Su, Difei Su, John M. Mulvey, H. Vincent Poor
We propose a novel reinforcement learning based framework PoBRL for solving multi-document summarization.
no code implementations • 19 Mar 2021 • Xiaoyue Li, A. Sinem Uysal, John M. Mulvey
We employ model predictive control for a multi-period portfolio optimization problem.
no code implementations • 23 Feb 2021 • DiJia Su, Jason D. Lee, John M. Mulvey, H. Vincent Poor
We consider a setting that lies between pure offline reinforcement learning (RL) and pure online RL called deployment constrained RL in which the number of policy deployments for data sampling is limited.