Andrew E. B. Lim - researchr alias

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Viewing Publication 1 - 37 from 37

2025

Estimating policy effects in a social network with independent set samplingEugene T. Y. Ang, Prasanta Bhattacharya, Andrew E. B. Lim. socnet, 81:17-30, 2025. [doi]

Technical Note - A Data-Driven Approach to Beating SAA Out of SampleJun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. ior, 73(2):829-841, 2025. [doi]

2021

Calibration of Distributionally Robust Empirical Optimization ModelsJun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. ior, 69(5):1630-1650, 2021. [doi]

2020

A Generalized Black-Litterman ModelShea D. Chen, Andrew E. B. Lim. ior, 68(2):381-410, 2020. [doi]

2018

Machine Learning and Portfolio OptimizationGah-Yi Ban, Noureddine El Karoui, Andrew E. B. Lim. mansci, 64(3):1136-1154, 2018. [doi]

Robust empirical optimization is almost the same as mean-variance optimizationJun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. orl, 46(4):448-452, 2018. [doi]

2016

Robust Multiarmed Bandit ProblemsMichael Jong Kim, Andrew E. B. Lim. mansci, 62(1):264-285, 2016. [doi]

2014

Dynamic portfolio selection with market impact costsAndrew E. B. Lim, Poomyos Wimonkittiwat. orl, 42(5):299-306, 2014. [doi]

2012

2011

Decentralized control of a multi-agent stochastic dynamic resource allocation problemHuaning Cai, Andrew E. B. Lim. cdc 2010: 6400-6406 [doi]

Dynamic portfolio choice with market impact costsAndrew E. B. Lim, Poomyos Wimonkittiwat. cdc 2010: 6413-6420 [doi]

Conditional value-at-risk in portfolio optimization: Coherent but fragileAndrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn. orl, 39(3):163-171, 2011. [doi]

2010

On the optimality of threshold control in queues with model uncertaintyA. Jain, Andrew E. B. Lim, J. George Shanthikumar. questa, 65(2):157-174, 2010. [doi]

Decentralized control of a stochastic dynamic resource allocation problemPeng Li, Andrew E. B. Lim, J. George Shanthikumar. cdc 2010: 4553-4558 [doi]

Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problemAndrew E. B. Lim, J. George Shanthikumar, Thaisiri Watewai. cdc 2010: 4305-4310 [doi]

2007

Relative Entropy, Exponential Utility, and Robust Dynamic PricingAndrew E. B. Lim, J. George Shanthikumar. ior, 55(2):198-214, 2007. [doi]

2006

Pricing American-Style Derivatives with European Call OptionsScott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang. mansci, 52(1):95-110, 2006. [doi]

2005

A new risk-sensitive maximum principleAndrew E. B. Lim, Xun Yu Zhou. tac, 50(7):958-966, 2005. [doi]

Mean-Variance Hedging When There Are JumpsAndrew E. B. Lim. siamco, 44(5):1893-1922, 2005. [doi]

2004

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete MarketAndrew E. B. Lim. mor, 29(1):132-161, 2004. [doi]

2003

A maximum principle for risk-sensitive controlAndrew E. B. Lim, Xun Yu Zhou. cdc 2003: 5819-5824 [doi]

Multiple-objective risk-sensitive control and its small noise limitAndrew E. B. Lim, Xun Yu Zhou, John B. Moore. automatica, 39(3):533-541, 2003. [doi]

2002

Dynamic Mean-Variance Portfolio Selection with No-Shorting ConstraintsXun Li, Xun Yu Zhou, Andrew E. B. Lim. siamco, 40(5):1540-1555, 2002. [doi]

Mean-Variance Portfolio Selection with Random Parameters in a Complete MarketAndrew E. B. Lim, Xun Yu Zhou. mor, 27(1):101-120, 2002. [doi]

2001

A new approach to pricing American-style derivativesScott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim. wsc 2001: 329-337 [doi]

Sensor scheduling in continuous timeH. W. J. Lee, K. L. Teo, Andrew E. B. Lim. automatica, 37(12):2017-2023, 2001. [doi]

Mean-variance portfolio selection via LQ optimal controlAndrew E. B. Lim, Xun Yu Zhou. cdc 2001: 4553-4558 [doi]

Risk-sensitive control with HARA utilityAndrew E. B. Lim, Xun Yu Zhou. tac, 46(4):563-578, 2001. [doi]

Linear-Quadratic Control of Backward Stochastic Differential EquationsAndrew E. B. Lim, Xun Yu Zhou. siamco, 40(2):450-474, 2001. [doi]

2000

Optimal control with HARA utility functionsAndrew E. B. Lim, Xun Yu Zhou. cdc 2000: 228-233 [doi]

Optimal control of backward stochastic differential equations: The linear-quadratic caseAndrew E. B. Lim, Xun Yu Zhou. cdc 2000: 2890-2895 [doi]

1999

Stochastic optimal LQR control with integral quadratic constraints and indefinite control weightsAndrew E. B. Lim, Xun Yu Zhou. tac, 44(7):1359-1369, 1999. [doi]

1998

On LQG Control of Linear Stochastic Systems with Control Dependent NoiseJ. B. Moore, Xun Yu Zhou, Andrew E. B. Lim. ifip7-2 1999: 247-254

1996

Solutions to the combined sensitivity and complementary sensitivity problem in control systemsAndrew E. B. Lim, Wei-Yong Yan, Kok Lay Teo. tac, 41(12):1836-1840, 1996. [doi]

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