Andrew
LIM, Andrew Professor of Decision Sciences and Finance Department:  Analytics & Operations, Finance Office:  BIZ1 8-70 Contact:  (65) 6601 3141 Email:  andrewlim@nus.edu.sg Curriculum Vitae
Research
Interests
Selected
Publications
Educational
Qualifications
Academic
Experience
Membership &
Professional Activities
    • Stochastic Models, Decision Making Under Uncertainty, Optimisation And Application
    • Journal Articles
      • Lim, Andrew, Shanthikumar J. G. and Vahn G. Y. (2016), "Robust portfolio choice with learning in the framework of regret: Single period case", Management Science, 58, 9, 1747-1760
      • Kim M. J. and Lim, Andrew (2015), "Robust multi-armed bandit problems", Management Science, 264-285
      • Lim, Andrew and M. Haugh (2012), "Linear-quadratic control and information relaxations.", Operations Research Letters, 40(6), 521-528
      • Lim, Andrew (2012), "Optimal investment and consumption when regime transitions cause price shocks", Insurance: Mathematics and Economics, 51(3), 551-566
      • Lim, Andrew (2012), "Robust portfolio choice with learning in the framework of regret: Single period case.", Management Science, 58(9), 1747-1760
      • Lim, Andrew (2012), "Decentralized control of a stochastic multi-agent queueing system", IEEE Transactions on Automatic Control, 57(11), 2762-2777
      • Lim, Andrew and T. Watewai (2011), "Robust asset allocation with benchmarked objectives", Mathematical Finance, 21(4), 643-679
      • G.Y. Vahn, Lim, Andrew and ANDREW EE BENG LIM (2011), "Conditional value-at-risk in portfolio optimization: Coherent but fragile", Operations Research Letters, 39(3), 163-171
      • P. Li and Lim, Andrew (2010), "Optimal risk transfer for agents with germs", Insurance: Mathematics and Economics, 47(1), 1-12
      • Lim, Andrew and A. Jain (2010), "On the optimality of threshold control in queues with model uncertainty", Queueing Systems, 65(2), 157-174
      • Lim, Andrew and B. Wong (2010), "A benchmarking approach to optimal asset allocation for insurers and pension funds", Insurance: Mathematics and Economics, 46(2), 317-327
      • Lim, Andrew (2007), "Relative entropy, exponential utility, and robust dynamic pricing.", Operations Research, 55(2), 198-214
      • Lim, Andrew, S.B. Laprise, M.C. Fu and S.I. Marcus (2006), "Pricing American-style derivatives with European call options.", Management Science, 52(1), 95-110
      • J.G. Shanthikumar, Lim, Andrew and Z.J. (Max) Shen (2006), "Model Uncertainty, Robust Optimization, and Learning", TutORials in Operations Research, 3, 66-94
      • Lim, Andrew and X.Y. Zhou (2005), "A new risk-sensitive maximum principle.", IEEE Transactions on Automatic Control, 50(7), 947-958
      • Lim, Andrew (2005), "Mean-variance hedging when there are jumps", Siam Journal on Control and Optimization, 44(5), 1893-1922
      • Lim, Andrew (2004), "Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market", Mathematics of Operations Research, 29(1), 132-161
      • X.Y. Zhou and Lim, Andrew (2003), "Multiple-objective risk-sensitive control and its small noise limit.", Automatica, 39(3), 533-541
      • Lim, Andrew and X.Y.Zhou (2002), "Mean-variance portfolio selection with random parameters in a complete market", Mathematics of Operations Research, 27(1), 101-120
      • Lim, Andrew and X. Li (2002), "Dynamic mean-variance portfolio selection with no-shorting constraints", Siam Journal on Control and Optimization, 40(5), 1540-1555
      • Lim, Andrew and H.J.W. Lee (2001), "Sensor scheduling in continuous time", Automatica, 37(12), 2017-2023
      • Lim, Andrew (2001), "Risk-sensitive control with HARA utility", IEEE Transactions on Automatic Control, 46(4), 563- 578
      • Lim, Andrew (2001), "Linear-quadratic control of backward stochastic differential equations", Siam Journal on Control and Optimization, 40(2), 450-474
      • Lim, Andrew (1999), "Stochastic optimal LQR control with integral quadratic constraints and indefi nite control weights", IEEE Transactions on Automatic Control, 44(7), 1359-1369
      • Lim, Andrew and Y.Q. Liu (1999), "Linear-quadratic optimal control with integral quadratic constraints", Optimal Control Applications and Methods, 20(2), 79-92
      • Lim, Andrew (1999), "Discrete time LQG controls with control dependent noise", Systems & Control Letters, 36(3), 199-206
      • Lim, Andrew (1998), "A path following algorithm for in finite quadratic programming on a Hilbert space", Discrete and Continuous Dynamical Systems, 4(4), 653-670
      • Lim, Andrew (1997), "The state-space approach to the combined sensitivity and complementary sensitivity problem", Optimal Control Applications and Methods, 18(5), 363-370
      • Lim, Andrew (1997), "A quasi-Separation theorem for LQG optimal control with integral quadratic constraints", Systems & Control Letters, 32, 21-33
      • J.B. Moore, Lim, Andrew and L. Faybusovich (1996), " Separation theorem for linearly constrained LQG optimal control", Systems & Control Letters, 28, 227-235
      • Lim, Andrew (1996), "The combined sensitivity and complementary sensitivity problem in control systems", IEEE Transactions on Automatic Control, 41(12), 1836-1840
      • K.L. Teo, W.-Y. Yan and Lim, Andrew (1996), "The combined sensitivity and complementary sensitivity problem in control systems", IEEE Transactions on Automatic Control, 41(12), 1836-1840
    • PhD, Australian National University, Australia, 1998
    • Bachelor of Science (Honours 1), University of Western Australia, Australia, 1995
    • Professor, National University of Singapore, 2013 - current
    • Associate Professor, University of California (Berkeley), 2005 - current
    • Assistant Professor, University of California (Berkeley), 2002 - 2005
    • Assistant Professor, Columbia University, 2001 - 2002
    • Research Associate, University of Maryland, 2001
    • Postdoctoral Research Fellow, Columbia University, 2000 - 2001
    • Postdoctoral Research Fellow, Chinese University of Hong Kong, 1999 - 2000
    • Research Fellow, University of Melbourne, 1997 - 1998
    • Institute for Operations Research an Management Science (INFORMS)

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