# Andrew E. B. Lim

According to our database

Collaborative distances:

^{1}, Andrew E. B. Lim authored at least 29 papers between 1998 and 2018.Collaborative distances:

## Timeline

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## Bibliography

2018

Robust empirical optimization is almost the same as mean-variance optimization.

Oper. Res. Lett., 2018

Machine Learning and Portfolio Optimization.

Management Science, 2018

2017

Calibration of Distributionally Robust Empirical Optimization Models.

CoRR, 2017

2016

Robust Multiarmed Bandit Problems.

Management Science, 2016

2014

Dynamic portfolio selection with market impact costs.

Oper. Res. Lett., 2014

2012

Decentralized Control of a Stochastic Multi-Agent Queueing System.

IEEE Trans. Automat. Contr., 2012

Linear-quadratic control and information relaxations.

Oper. Res. Lett., 2012

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case.

Management Science, 2012

Dynamic portfolio choice with Bayesian regret.

Proceedings of the 51th IEEE Conference on Decision and Control, 2012

2011

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

Oper. Res. Lett., 2011

Dynamic portfolio choice with market impact costs.

Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference, 2011

Decentralized control of a multi-agent stochastic dynamic resource allocation problem.

Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference, 2011

2010

On the optimality of threshold control in queues with model uncertainty.

Queueing Syst., 2010

Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem.

Proceedings of the 49th IEEE Conference on Decision and Control, 2010

Decentralized control of a stochastic dynamic resource allocation problem.

Proceedings of the 49th IEEE Conference on Decision and Control, 2010

2007

Relative Entropy, Exponential Utility, and Robust Dynamic Pricing.

Operations Research, 2007

2006

Pricing American-Style Derivatives with European Call Options.

Management Science, 2006

2005

A new risk-sensitive maximum principle.

IEEE Trans. Automat. Contr., 2005

Mean-Variance Hedging When There Are Jumps.

SIAM J. Control and Optimization, 2005

2004

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market.

Math. Oper. Res., 2004

2003

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

Automatica, 2003

2002

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints.

SIAM J. Control and Optimization, 2002

Mean-Variance Portfolio Selection with Random Parameters in a Complete Market.

Math. Oper. Res., 2002

2001

Risk-sensitive control with HARA utility.

IEEE Trans. Automat. Contr., 2001

Linear-Quadratic Control of Backward Stochastic Differential Equations.

SIAM J. Control and Optimization, 2001

Sensor scheduling in continuous time.

Automatica, 2001

A new approach to pricing American-style derivatives.

Proceedings of the 33nd conference on Winter simulation, 2001

1999

Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights.

IEEE Trans. Automat. Contr., 1999

1998

On LQG Control of Linear Stochastic Systems with Control Dependent Noise.

Proceedings of the Control of Distributed Parameter and Stochastic Systems, 1998