Andrew E. B. Lim

Management Science and Operations Research · 2001–2018

A researcher in the Science corpus: 2 papers; trusts 5 researchers and is trusted by 7 researchers here, as inferred from the citation graph.

Subfields

• Management Science and Operations Research — 8 citations into it; #4,555 of 11,946 by trust here, #5,092 by citations

Whom Andrew E. B. Lim trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Duan Li
2. Xun Yu Zhou
3. Dimitris J. Bertsimas

Who trusts Andrew E. B. Lim overall

1. Peter A. Forsyth
2. Xun Yu Zhou
3. Xiang Lin

Papers from Andrew E. B. Lim's perspective

Ordered by how strongly the researchers Andrew E. B. Lim trusts endorse each paper. Same corpus, a different order for every researcher.

1. Controlled Markov processes and viscosity solutions
2. Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (SIAM Journal of Control and Optimization)
3. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
4. Data-driven robust optimization
5. Portfolio Selection
6. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
7. Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
8. Optimization by Vector Space Methods
9. Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (Operational Research)
10. Robust Portfolio Selection Problems (Mathematics of Operations Research)

Their papers

• Robust empirical optimization is almost the same as mean-variance optimization (2018) — 115 citations
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2001) — 327 citations