This presentation will discuss the current state of research surrounding multiperiod investment models, including their applications, model structures and barriers. Among the topics to be discussed include hybrid algorithms and the state of research in hidden Markov models with T-costs.
Presenter: John M. Mulvey
Dr. John M. Mulvey is a professor at Princeton University's Operations Research and Financial Engineering Department. He is a founding member of Princeton’s Bendheim Center for Finance and the Center for Statistics and Machine Learning. His specialty is financial optimization and dynamic investment strategies. For more than 40 years, he has designed and implemented asset/liability management systems for numerous organizations, including PIMCO, Towers Perrin/Tillinghast, AXA, Siemens, Munich Re-Insurance, Renaissance Re-Insurance and Ant Group/Alibaba. His current research addresses regime identification and factor approaches for long-term investors, with an emphasis on optimizing performance by means of goal-based investing. He has published more than 160 articles and edited five books, including the first implementation of a fully-integrated advisor system for individual investors in 1998.
About this series
The Financial Engineering Seminar Series is a recurring event featuring thought leaders from industry and academia, who bring their experiences to a variety of important topics in this discipline.