32 citations · 55 across the 5 of their papers we have counts for
6 papers
Dynamic Factor Allocation Leveraging Regime-Switching Signals
Yizhan Shu, John M. Mulvey
This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe com…
A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges
Yuqi Nie, Yaxuan Kong, Xiaowen Dong +4
Recent advances in large language models (LLMs) have unlocked novel opportunities for machine learning applications in the financial domain. These models have demonstrated remarkab…
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forec…
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We hig…
End-to-End Risk Budgeting Portfolio Optimization with Neural Networks
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. Yet, the two-ste…
PoBRL: Optimizing Multi-Document Summarization by Blending Reinforcement Learning Policies
Andy Su, Difei Su, John M. Mulvey +1
We propose a novel reinforcement learning based framework PoBRL for solving multi-document summarization. PoBRL jointly optimizes over the following three objectives necessary for…