Andrew E. B. Lim

44 papers A 1Misc 1Journal 32Unranked 10
YearRankTypeTitle / Venue / Authors
2026 J jnl
Dynamic Black-Litterman.
Oper. Res.
Anas Abdelhakmi, Andrew E. B. Lim
2025 J jnl
Distributionally Robust Optimization is a Multi-Objective Problem.
CoRR
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2025 J jnl
Estimating policy effects in a social network with independent set sampling.
Soc. Networks
Eugene T. Y. Ang, Prasanta Bhattacharya, Andrew E. B. Lim
2025 J jnl
Technical Note - A Data-Driven Approach to Beating SAA Out of Sample.
Oper. Res.
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2023 J jnl
Estimating Policy Effects in a Social Network with Independent Set Sampling.
CoRR
Eugene T. Y. Ang, Prasanta Bhattacharya, Andrew E. B. Lim
2021 J jnl
A data-driven approach to beating SAA out-of-sample.
CoRR
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2021 J jnl
Calibration of Distributionally Robust Empirical Optimization Models.
Oper. Res.
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2020 J jnl
A Generalized Black-Litterman Model.
Oper. Res.
Shea D. Chen, Andrew E. B. Lim
2020 J jnl
Worst-case sensitivity.
CoRR
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2018 J jnl
Machine Learning and Portfolio Optimization.
Manag. Sci.
Gah-Yi Ban, Noureddine El Karoui, Andrew E. B. Lim
2018 J jnl
Robust empirical optimization is almost the same as mean-variance optimization.
Oper. Res. Lett.
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2017 J jnl
Calibration of Distributionally Robust Empirical Optimization Models.
CoRR
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
2016 J jnl
Robust Multiarmed Bandit Problems.
Manag. Sci.
Michael Jong Kim, Andrew E. B. Lim
2014 J jnl
Dynamic portfolio selection with market impact costs.
Oper. Res. Lett.
Andrew E. B. Lim, Poomyos Wimonkittiwat
2012 J jnl
Decentralized Control of a Stochastic Multi-Agent Queueing System.
IEEE Trans. Autom. Control.
Peng Li, Andrew E. B. Lim, J. George Shanthikumar
2012 — conf
Dynamic portfolio choice with Bayesian regret.
CDC
Shea D. Chen, Andrew E. B. Lim
2012 J jnl
Linear-quadratic control and information relaxations.
Oper. Res. Lett.
Martin Haugh, Andrew E. B. Lim
2012 J jnl
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case.
Manag. Sci.
Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
2011 J jnl
Conditional value-at-risk in portfolio optimization: Coherent but fragile.
Oper. Res. Lett.
Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn
2011 — conf
Decentralized control of a multi-agent stochastic dynamic resource allocation problem.
CDC/ECC
Huaning Cai, Andrew E. B. Lim
2011 — conf
Dynamic portfolio choice with market impact costs.
CDC/ECC
Andrew E. B. Lim, Poomyos Wimonkittiwat
2010 — conf
Decentralized control of a stochastic dynamic resource allocation problem.
CDC
Peng Li, Andrew E. B. Lim, J. George Shanthikumar
2010 J jnl
On the optimality of threshold control in queues with model uncertainty.
Queueing Syst. Theory Appl.
A. Jain, Andrew E. B. Lim, J. George Shanthikumar
2010 — conf
Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem.
CDC
Andrew E. B. Lim, J. George Shanthikumar, Thaisiri Watewai
2007 J jnl
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing.
Oper. Res.
Andrew E. B. Lim, J. George Shanthikumar
2006 J jnl
Pricing American-Style Derivatives with European Call Options.
Manag. Sci.
Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang
2005 J jnl
A new risk-sensitive maximum principle.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
2005 J jnl
Mean-Variance Hedging When There Are Jumps.
SIAM J. Control. Optim.
Andrew E. B. Lim
2005 A conf
Steering flexible needles under Markov motion uncertainty.
IROS
Ron Alterovitz, Andrew E. B. Lim, Kenneth Y. Goldberg, Gregory S. Chirikjian, Allison M. Okamura
2004 J jnl
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market.
Math. Oper. Res.
Andrew E. B. Lim
2003 — conf
A maximum principle for risk-sensitive control.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2003 J jnl
Multiple-objective risk-sensitive control and its small noise limit.
Autom.
Andrew E. B. Lim, Xun Yu Zhou, John B. Moore
2002 J jnl
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints.
SIAM J. Control. Optim.
Xun Li, Xun Yu Zhou, Andrew E. B. Lim
2002 J jnl
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market.
Math. Oper. Res.
Andrew E. B. Lim, Xun Yu Zhou
2001 Misc conf
A new approach to pricing American-style derivatives.
WSC
Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim
2001 J jnl
Linear-Quadratic Control of Backward Stochastic Differential Equations.
SIAM J. Control. Optim.
Andrew E. B. Lim, Xun Yu Zhou
2001 — conf
Mean-variance portfolio selection via LQ optimal control.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2001 J jnl
Risk-sensitive control with HARA utility.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
2001 J jnl
Sensor scheduling in continuous time.
Autom.
H. W. Joseph Lee, Kok Lay Teo, Andrew E. B. Lim
2000 — conf
Optimal control of backward stochastic differential equations: The linear-quadratic case.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2000 — conf
Optimal control with HARA utility functions.
CDC
Andrew E. B. Lim, Xun Yu Zhou
1999 J jnl
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
1998 — conf
On LQG Control of Linear Stochastic Systems with Control Dependent Noise.
Control of Distributed Parameter and Stochastic Systems
John B. Moore, Xun Yu Zhou, Andrew E. B. Lim
1996 J jnl
Solutions to the combined sensitivity and complementary sensitivity problem in control systems.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Wei-Yong Yan, Kok Lay Teo