Andrew E. B. Lim

Oper. Res., 2021

A data-driven approach to beating SAA out-of-sample.

[BibT_eX]

[DOI]

CoRR, 2021

2020

A Generalized Black-Litterman Model.

[BibT_eX]

[DOI]

Shea D. Chen

Oper. Res., 2020

Worst-case sensitivity.

[BibT_eX]

[DOI]

CoRR, 2020

2018

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

[BibT_eX]

[DOI]

Oper. Res. Lett., 2018

Machine Learning and Portfolio Optimization.

[BibT_eX]

[DOI]

Gah-Yi Ban

Noureddine El Karoui

Manag. Sci., 2018

2016

Robust Multiarmed Bandit Problems.

[BibT_eX]

[DOI]

Manag. Sci., 2016

2014

Dynamic portfolio selection with market impact costs.

[BibT_eX]

[DOI]

Poomyos Wimonkittiwat

Oper. Res. Lett., 2014

2012

Decentralized Control of a Stochastic Multi-Agent Queueing System.

[BibT_eX]

[DOI]

Peng Li

IEEE Trans. Autom. Control., 2012

Linear-quadratic control and information relaxations.

[BibT_eX]

[DOI]

Martin Haugh

Oper. Res. Lett., 2012

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

[BibT_eX]

[DOI]

Gah-Yi Vahn

Manag. Sci., 2012

Dynamic portfolio choice with Bayesian regret.

[BibT_eX]

[DOI]

Shea D. Chen

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

2011

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

[BibT_eX]

[DOI]

Gah-Yi Vahn

Oper. Res. Lett., 2011

Dynamic portfolio choice with market impact costs.

[BibT_eX]

[DOI]

Poomyos Wimonkittiwat

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.

[BibT_eX]

[DOI]

Huaning Cai

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.

[BibT_eX]

[DOI]

A. Jain

Queueing Syst. Theory Appl., 2010

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

[BibT_eX]

[DOI]

Thaisiri Watewai

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

Decentralized control of a stochastic dynamic resource allocation problem.

[BibT_eX]

[DOI]

Peng Li

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

2007

Relative Entropy, Exponential Utility, and Robust Dynamic Pricing.

[BibT_eX]

[DOI]

Oper. Res., 2007

2006

Pricing American-Style Derivatives with European Call Options.

[BibT_eX]

[DOI]

Manag. Sci., 2006

2005

A new risk-sensitive maximum principle.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2005

Mean-Variance Hedging When There Are Jumps.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2005

Steering flexible needles under Markov motion uncertainty.

[BibT_eX]

[DOI]

Ron Alterovitz

Kenneth Y. Goldberg

Gregory S. Chirikjian

Allison M. Okamura

Proceedings of the 2005 IEEE/RSJ International Conference on Intelligent Robots and Systems, 2005

2004

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

[BibT_eX]

[DOI]

Math. Oper. Res., 2004

2003

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

[BibT_eX]

[DOI]

John B. Moore

Autom., 2003

A maximum principle for risk-sensitive control.

[BibT_eX]

[DOI]

Proceedings of the 42nd IEEE Conference on Decision and Control, 2003

2002

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

[BibT_eX]

[DOI]

Xun Li

SIAM J. Control. Optim., 2002

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

[BibT_eX]

[DOI]

Math. Oper. Res., 2002

2001

Risk-sensitive control with HARA utility.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2001

Linear-Quadratic Control of Backward Stochastic Differential Equations.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2001

Sensor scheduling in continuous time.

[BibT_eX]

[DOI]

H. W. Joseph Lee

Kok Lay Teo

Autom., 2001

A new approach to pricing American-style derivatives.

[BibT_eX]

[DOI]

Proceedings of the 33nd conference on Winter simulation, 2001

Mean-variance portfolio selection via LQ optimal control.

[BibT_eX]

[DOI]

Proceedings of the 40th IEEE Conference on Decision and Control, 2001

2000

Optimal control of backward stochastic differential equations: The linear-quadratic case.

[BibT_eX]

[DOI]

Proceedings of the 39th IEEE Conference on Decision and Control, 2000

Optimal control with HARA utility functions.

[BibT_eX]

[DOI]

Proceedings of the 39th IEEE Conference on Decision and Control, 2000

1999

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

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1999

1998

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

[BibT_eX]

John B. Moore

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

1996

Solutions to the combined sensitivity and complementary sensitivity problem in control systems.

[BibT_eX]

[DOI]