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ORCIDAndrew E. B. Lim
Person information
- affiliation: University of California, Department of Industrial Engineering and Operations Research, Berkeley, CA, USA
- affiliation: National University of Singapore, Business School, Singapore
- affiliation (PhD): Australian National University, Canberra, ACT, Australia
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2020 – today
- 2021
[j24]Jun-ya Gotoh
, Michael Jong Kim, Andrew E. B. Lim:
Calibration of Distributionally Robust Empirical Optimization Models. Oper. Res. 69(5): 1630-1650 (2021)- [i3]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
A data-driven approach to beating SAA out-of-sample. CoRR abs/2105.12342 (2021) - 2020
- [j23]Shea D. Chen, Andrew E. B. Lim:
A Generalized Black-Litterman Model. Oper. Res. 68(2): 381-410 (2020) - [i2]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Worst-case sensitivity. CoRR abs/2010.10794 (2020)
2010 – 2019
- 2018
- [j22]Gah-Yi Ban, Noureddine El Karoui, Andrew E. B. Lim:
Machine Learning and Portfolio Optimization. Manag. Sci. 64(3): 1136-1154 (2018) - [j21]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): 448-452 (2018) - 2017
- [i1]Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Calibration of Distributionally Robust Empirical Optimization Models. CoRR abs/1711.06565 (2017) - 2016
- [j20]Michael Jong Kim, Andrew E. B. Lim:
Robust Multiarmed Bandit Problems. Manag. Sci. 62(1): 264-285 (2016) - 2014
- [j19]Andrew E. B. Lim, Poomyos Wimonkittiwat:
Dynamic portfolio selection with market impact costs. Oper. Res. Lett. 42(5): 299-306 (2014) - 2012
- [j18]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): 1732-1746 (2012) - [j17]Martin Haugh, Andrew E. B. Lim:
Linear-quadratic control and information relaxations. Oper. Res. Lett. 40(6): 521-528 (2012) - [j16]Peng Li, Andrew E. B. Lim, J. George Shanthikumar:
Decentralized Control of a Stochastic Multi-Agent Queueing System. IEEE Trans. Autom. Control. 57(11): 2762-2777 (2012) - [c12]Shea D. Chen, Andrew E. B. Lim:
Dynamic portfolio choice with Bayesian regret. CDC 2012: 160-165 - 2011
- [j15]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): 163-171 (2011) - [c11]Huaning Cai, Andrew E. B. Lim:
Decentralized control of a multi-agent stochastic dynamic resource allocation problem. CDC/ECC 2011: 6400-6406 - [c10]Andrew E. B. Lim, Poomyos Wimonkittiwat:
Dynamic portfolio choice with market impact costs. CDC/ECC 2011: 6413-6420 - 2010
- [j14]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): 157-174 (2010) - [c9]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: 4305-4310 - [c8]Peng Li, Andrew E. B. Lim, J. George Shanthikumar:
Decentralized control of a stochastic dynamic resource allocation problem. CDC 2010: 4553-4558
2000 – 2009
- 2007
- [j13]Andrew E. B. Lim, J. George Shanthikumar:
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing. Oper. Res. 55(2): 198-214 (2007) - 2006
- [j12]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): 95-110 (2006) - 2005
- [j11]Andrew E. B. Lim:
Mean-Variance Hedging When There Are Jumps. SIAM J. Control. Optim. 44(5): 1893-1922 (2005) - [j10]Andrew E. B. Lim, Xun Yu Zhou:
A new risk-sensitive maximum principle. IEEE Trans. Autom. Control. 50(7): 958-966 (2005) - [c7]Ron Alterovitz, Andrew E. B. Lim, Kenneth Y. Goldberg, Gregory S. Chirikjian, Allison M. Okamura:
Steering flexible needles under Markov motion uncertainty. IROS 2005: 1570-1575 - 2004
- [j9]Andrew E. B. Lim:
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. Math. Oper. Res. 29(1): 132-161 (2004) - 2003
- [j8]Andrew E. B. Lim, Xun Yu Zhou, John B. Moore:
Multiple-objective risk-sensitive control and its small noise limit. Autom. 39(3): 533-541 (2003) - [c6]Andrew E. B. Lim, Xun Yu Zhou:
A maximum principle for risk-sensitive control. CDC 2003: 5819-5824 - 2002
- [j7]Andrew E. B. Lim, Xun Yu Zhou:
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. Math. Oper. Res. 27(1): 101-120 (2002) - [j6]Xun Li, Xun Yu Zhou, Andrew E. B. Lim:
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40(5): 1540-1555 (2002) - 2001
- [j5]H. W. Joseph Lee, Kok Lay Teo, Andrew E. B. Lim:
Sensor scheduling in continuous time. Autom. 37(12): 2017-2023 (2001) - [j4]Andrew E. B. Lim, Xun Yu Zhou:
Linear-Quadratic Control of Backward Stochastic Differential Equations. SIAM J. Control. Optim. 40(2): 450-474 (2001) - [j3]Andrew E. B. Lim, Xun Yu Zhou:
Risk-sensitive control with HARA utility. IEEE Trans. Autom. Control. 46(4): 563-578 (2001) - [c5]Andrew E. B. Lim, Xun Yu Zhou:
Mean-variance portfolio selection via LQ optimal control. CDC 2001: 4553-4558 - [c4]Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim:
A new approach to pricing American-style derivatives. WSC 2001: 329-337 - 2000
- [c3]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control with HARA utility functions. CDC 2000: 228-233 - [c2]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control of backward stochastic differential equations: The linear-quadratic case. CDC 2000: 2890-2895
1990 – 1999
- 1999
- [j2]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): 1359-1369 (1999) - 1998
- [c1]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: 247-254 - 1996
- [j1]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): 1836-1840 (1996)
Coauthor Index
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