Andrew E. B. Lim

Publication Activity (10 Years)

Years Active: 1996-2021
Publications (10 Years): 8

Top Topics

Portfolio Optimization

Problems Involving

Portfolio Selection

Top Venues

Oper. Res. Lett.

Publications

Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Calibration of Distributionally Robust Empirical Optimization Models. Oper. Res. 69 (5) (2021)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
A data-driven approach to beating SAA out-of-sample. CoRR (2021)
Shea D. Chen, Andrew E. B. Lim
A Generalized Black-Litterman Model. Oper. Res. 68 (2) (2020)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Worst-case sensitivity. CoRR (2020)
Gah-Yi Ban, Noureddine El Karoui, Andrew E. B. Lim
Machine Learning and Portfolio Optimization. Manag. Sci. 64 (3) (2018)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Robust empirical optimization is almost the same as mean-variance optimization. Oper. Res. Lett. 46 (4) (2018)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Calibration of Distributionally Robust Empirical Optimization Models. CoRR (2017)
Michael Jong Kim, Andrew E. B. Lim
Robust Multiarmed Bandit Problems. Manag. Sci. 62 (1) (2016)
Andrew E. B. Lim, Poomyos Wimonkittiwat
Dynamic portfolio selection with market impact costs. Oper. Res. Lett. 42 (5) (2014)
Martin Haugh, Andrew E. B. Lim
Linear-quadratic control and information relaxations. Oper. Res. Lett. 40 (6) (2012)
Shea D. Chen, Andrew E. B. Lim
Dynamic portfolio choice with Bayesian regret. CDC (2012)
Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case. Manag. Sci. 58 (9) (2012)
Peng Li, Andrew E. B. Lim, J. George Shanthikumar
Decentralized Control of a Stochastic Multi-Agent Queueing System. IEEE Trans. Autom. Control. 57 (11) (2012)
Huaning Cai, Andrew E. B. Lim
Decentralized control of a multi-agent stochastic dynamic resource allocation problem. CDC/ECC (2011)
Andrew E. B. Lim, Poomyos Wimonkittiwat
Dynamic portfolio choice with market impact costs. CDC/ECC (2011)
Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
Conditional value-at-risk in portfolio optimization: Coherent but fragile. Oper. Res. Lett. 39 (3) (2011)
Andrew E. B. Lim, J. George Shanthikumar, Thaisiri Watewai
Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem. CDC (2010)
Peng Li, Andrew E. B. Lim, J. George Shanthikumar
Decentralized control of a stochastic dynamic resource allocation problem. CDC (2010)
A. Jain, Andrew E. B. Lim, J. George Shanthikumar
On the optimality of threshold control in queues with model uncertainty. Queueing Syst. Theory Appl. 65 (2) (2010)
Andrew E. B. Lim, J. George Shanthikumar
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing. Oper. Res. 55 (2) (2007)
Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang
Pricing American-Style Derivatives with European Call Options. Manag. Sci. 52 (1) (2006)
Andrew E. B. Lim
Mean-Variance Hedging When There Are Jumps. SIAM J. Control. Optim. 44 (5) (2005)
Andrew E. B. Lim, Xun Yu Zhou
A new risk-sensitive maximum principle. IEEE Trans. Autom. Control. 50 (7) (2005)
Ron Alterovitz, Andrew E. B. Lim, Kenneth Y. Goldberg, Gregory S. Chirikjian, Allison M. Okamura
Steering flexible needles under Markov motion uncertainty. IROS (2005)
Andrew E. B. Lim
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. Math. Oper. Res. 29 (1) (2004)
Andrew E. B. Lim, Xun Yu Zhou
A maximum principle for risk-sensitive control. CDC (2003)
Andrew E. B. Lim, Xun Yu Zhou, John B. Moore
Multiple-objective risk-sensitive control and its small noise limit. Autom. 39 (3) (2003)
Andrew E. B. Lim, Xun Yu Zhou
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. Math. Oper. Res. 27 (1) (2002)
Xun Li, Xun Yu Zhou, Andrew E. B. Lim
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40 (5) (2002)
Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim
A new approach to pricing American-style derivatives. WSC (2001)
H. W. Joseph Lee, Kok Lay Teo, Andrew E. B. Lim
Sensor scheduling in continuous time. Autom. 37 (12) (2001)
Andrew E. B. Lim, Xun Yu Zhou
Mean-variance portfolio selection via LQ optimal control. CDC (2001)
Andrew E. B. Lim, Xun Yu Zhou
Linear-Quadratic Control of Backward Stochastic Differential Equations. SIAM J. Control. Optim. 40 (2) (2001)
Andrew E. B. Lim, Xun Yu Zhou
Risk-sensitive control with HARA utility. IEEE Trans. Autom. Control. 46 (4) (2001)
Andrew E. B. Lim, Xun Yu Zhou
Optimal control of backward stochastic differential equations: The linear-quadratic case. CDC (2000)
Andrew E. B. Lim, Xun Yu Zhou
Optimal control with HARA utility functions. CDC (2000)
Andrew E. B. Lim, Xun Yu Zhou
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights. IEEE Trans. Autom. Control. 44 (7) (1999)
John B. Moore, Xun Yu Zhou, Andrew E. B. Lim
On LQG Control of Linear Stochastic Systems with Control Dependent Noise. Control of Distributed Parameter and Stochastic Systems (1998)
Andrew E. B. Lim, Wei-Yong Yan, Kok Lay Teo
Solutions to the combined sensitivity and complementary sensitivity problem in control systems. IEEE Trans. Autom. Control. 41 (12) (1996)