Robust portfolio choice with learning in the framework of regret: Single period case

Journal Articles
Lim, Andrew, Shanthikumar J. G., and Vahn G. Y.
Management Science, 58, (9), 1747-1760

Year
2016

Robust multi-armed bandit problems

Journal Articles
Kim M. J., and Lim, Andrew
Management Science, 264-285

Year
2015

Optimal investment and consumption when regime transitions cause price shocks

Journal Articles
Lim, Andrew with and Thaisiri Watewai
Insurance: Mathematics and Economics, 51(3), 551-566

Year
2012

Robust asset allocation with benchmarked objectives

Journal Articles
Lim, Andrew, and Thaisiri Watewai
Mathematical Finance, 21(4), 643-679

Year
2011

Conditional value-at-risk in portfolio optimization: Coherent but fragile

Journal Articles
Lim, Andrew, J. George Shanthikumar, and Gah-Yi Vahn
Operations Research Letters, 39(3), 163-171

Year
2011

Optimal risk transfer for agents with germs

Journal Articles
Peng Li, Lim, Andrew, and J. George Shanthikumar
Insurance: Mathematics and Economics, 47(1), 1-12

Year
2010

On the optimality of threshold control in queues with model uncertainty

Journal Articles
Ankit Jain, Lim, Andrew, and J. George Shanthikumar
Queueing Systems, 65(2), 157-174

Year
2010

A benchmarking approach to optimal asset allocation for insurers and pension funds

Journal Articles
Lim, Andrew, and Bernard Wong
Insurance: Mathematics and Economics, 46(2), 317-327

Year
2010

Pricing American-style derivatives with European call options.

Journal Articles
Lim, Andrew with S.B. Laprise, M.C. Fu, and S.I. Marcus
Management Science, 52(1), 95-110

Year
2006

Model Uncertainty, Robust Optimization, and Learning

Journal Articles
Lim, Andrew, J.G. Shanthikumar, and Z.J. (Max) Shen
TutORials in Operations Research, 3, 66-94

Year
2006

A new risk-sensitive maximum principle.

Journal Articles
Lim, Andrew with and X.Y. Zhou
IEEE Transactions on Automatic Control, 50(7), 947-958

Year
2005

Mean-variance hedging when there are jumps

Journal Articles
Lim, Andrew
Siam Journal on Control and Optimization, 44(5), 1893-1922

Year
2005

Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market

Journal Articles
Lim, Andrew
Mathematics of Operations Research, 29(1), 132-161

Year
2004

Multiple-objective risk-sensitive control and its small noise limit.

Journal Articles
Lim, Andrew with and X.Y. Zhou
Automatica, 39(3), 533-541

Year
2003

Mean-variance portfolio selection with random parameters in a complete market

Journal Articles
Lim, Andrew with and X.Y.Zhou
Mathematics of Operations Research, 27(1), 101-120

Year
2002

The state-space approach to the combined sensitivity and complementary sensitivity problem

Journal Articles
Lim, Andrew, W.Y. Yan, and K.L. Teo
Optimal Control Applications and Methods, 18(5), 363-370

Year
1997

Separation theorem for linearly constrained LQG optimal control

Journal Articles
Lim, Andrew, J.B. Moore, and L. Faybusovich
Systems & Control Letters, 28, 227-235

Year
1996