Suivre
Andrew Lim
Andrew Lim
Department of Analytics and Operations, Institute for Operations Research and Analytics, National
Adresse e-mail validée de nus.edu.sg
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Année
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
3652002
Mean-variance portfolio selection with random parameters in a complete market
AEB Lim, XY Zhou
Mathematics of Operations Research 27 (1), 101-120, 2002
3352002
Machine learning and portfolio optimization
GY Ban, N El Karoui, AEB Lim
Management Science 64 (3), 1136-1154, 2018
2832018
Relative entropy, exponential utility, and robust dynamic pricing
AEB Lim, JG Shanthikumar
Operations Research 55 (2), 198-214, 2007
2162007
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
2142004
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
1692005
Conditional value-at-risk in portfolio optimization: Coherent but fragile
AEB Lim, JG Shanthikumar, GY Vahn
Operations Research Letters 39 (3), 163-171, 2011
1652011
Linear-quadratic control of backward stochastic differential equations
AEB Lim, XY Zhou
SIAM journal on control and optimization 40 (2), 450-474, 2001
1302001
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
1182018
Mean-variance hedging when there are jumps
AEB Lim
SIAM Journal on Control and Optimization 44 (5), 1893-1922, 2005
1022005
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
1021999
Model uncertainty, robust optimization, and learning
AEB Lim, JG Shanthikumar, ZJM Shen
TutORials in Operations Research 3, 66-94, 2006
812006
Model uncertainty, robust optimization, and learning
AEB Lim, JG Shanthikumar, ZJM Shen
Models, Methods, and Applications for Innovative Decision Making, 66-94, 2006
782006
A new risk-sensitive maximum principle
AEB Lim, XY Zhou
IEEE transactions on automatic control 50 (7), 958-966, 2005
702005
Sensor scheduling in continuous time
HWJ Lee, KL Teo, AEB Lim
Automatica 37 (12), 2017-2023, 2001
672001
Robust multiarmed bandit problems
MJ Kim, AEB Lim
Management Science 62 (1), 264-285, 2016
572016
Calibration of Distributionally Robust Empirical Optimization Models
J Gotoh, MJ Kim, AEB Lim
Operations Research 69 (5), 1630--1650, 2021
542021
Discrete time LQG controls with control dependent noise
JB Moore, XY Zhou, AEB Lim
Systems & Control Letters 36 (3), 199-206, 1999
541999
Robust asset allocation with benchmarked objectives
AEB Lim, JG Shanthikumar, T Watewai
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
452011
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
382012
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