32 citations · 55 across the 5 of their papers we have counts for
4 papers · 1 filter
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…
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…