Andrew Lim
Andrew Lim
Unknown affiliation
Verified email at ieor.berkeley.edu
Title
Cited by
Cited by
Year
Dynamic mean-variance portfolio selection with no-shorting constraints
X Li, XY Zhou, AEB Lim
SIAM Journal on Control and Optimization 40 (5), 1540-1555, 2002
2952002
Mean-variance portfolio selection with random parameters in a complete market
AEB Lim, XY Zhou
Mathematics of Operations Research 27 (1), 101-120, 2002
2762002
Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market
AEB Lim
Mathematics of Operations Research 29 (1), 132-161, 2004
1762004
Relative entropy, exponential utility, and robust dynamic pricing
AEB Lim, JG Shanthikumar
Operations Research 55 (2), 198-214, 2007
1732007
Steering flexible needles under Markov motion uncertainty
R Alterovitz, A Lim, K Goldberg, GS Chirikjian, AM Okamura
2005 IEEE/RSJ International Conference on Intelligent Robots and Systems …, 2005
1452005
Conditional value-at-risk in portfolio optimization: Coherent but fragile
AEB Lim, JG Shanthikumar, GY Vahn
Operations Research Letters 39 (3), 163-171, 2011
1112011
Linear-quadratic control of backward stochastic differential equations
AEB Lim, XY Zhou
SIAM journal on control and optimization 40 (2), 450-474, 2001
942001
Machine learning and portfolio optimization
GY Ban, N El Karoui, AEB Lim
Management Science 64 (3), 1136-1154, 2018
93*2018
Mean-variance hedging when there are jumps
AEB Lim
SIAM Journal on Control and Optimization 44 (5), 1893-1922, 2005
862005
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
AEB Lim, XY Zhou
IEEE Transactions on Automatic Control 44 (7), 1359-1369, 1999
801999
Sensor scheduling in continuous time
HWJ Lee, KL Teo, AEB Lim
Automatica 37 (12), 2017-2023, 2001
612001
Robust empirical optimization is almost the same as mean–variance optimization
J Gotoh, MJ Kim, AEB Lim
Operations Research Letters 46 (4), 448-452, 2018
542018
Model uncertainty, robust optimization, and learning
AEB Lim, JG Shanthikumar, ZJM Shen
Models, Methods, and Applications for Innovative Decision Making, 66-94, 2006
532006
A new risk-sensitive maximum principle
AEB Lim, XY Zhou
IEEE transactions on automatic control 50 (7), 958-966, 2005
482005
Discrete time LQG controls with control dependent noise
JB Moore, XY Zhou, AEB Lim
Systems & Control Letters 36 (3), 199-206, 1999
451999
Robust asset allocation with benchmarked objectives
AEB Lim, JG Shanthikumar, T Watewai
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
382011
Robust multiarmed bandit problems
MJ Kim, AEB Lim
Management Science 62 (1), 264-285, 2016
362016
Pricing American-style derivatives with European call options
SB Laprise, MC Fu, SI Marcus, AEB Lim, H Zhang
Management Science 52 (1), 95-110, 2006
332006
Robust portfolio choice with learning in the framework of regret: Single-period case
AEB Lim, JG Shanthikumar, GY Vahn
Management Science 58 (9), 1732-1746, 2012
272012
On the optimality of threshold control in queues with model uncertainty
A Jain, AEB Lim, JG Shanthikumar
Queueing Systems 65 (2), 157-174, 2010
252010
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