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National University of Singapore (NUS) - Department of Decision Sciences
NUS Business School
Mochtar Riady Building, 15 Kent Ridge
Singapore, 119245
Singapore
email address
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National University of Singapore (NUS) - Department of Finance
Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore
email address
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Lim, Andrew's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,575 |
Total
Citations
7 |
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1.
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Robust Asset Allocation with Benchmarked Objectives
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Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences Shanthikumar, J. George
University of California, Berkeley Watewai, Thaisiri
University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR)
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Posted:
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22 Sep 06
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Last Revised:
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23 Aug 11
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754
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3
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Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences Shanthikumar, J. George
Purdue University - Krannert School of Management Watewai, Thaisiri
Chulalongkorn University - Department of Banking & Finance
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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models
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Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences Shanthikumar, J. George
University of California, Berkeley Watewai, Thaisiri
University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR)
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22 Sep 06
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Last Revised:
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24 Sep 09
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752
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3
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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models.
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2.
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Wong, Bernard
University of New South Wales (UNSW) - School of Actuarial Studies Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences
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14 Aug 09
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Last Revised:
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07 Apr 10
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391
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Asset-Liability Management, Portfolio Optimization, Benchmarking
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3.
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Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences Shanthikumar, J. George
University of California, Berkeley Watewai, Thaisiri
University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR)
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24 Dec 07
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Last Revised:
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07 Apr 08
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356
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multi-product pricing, dynamic pricing, revenue management, model ambiguity, model uncertainty, multiple levels of model uncertainty, relative entropy, revenue sharing, risk-sensitive control, robust control, intensity control, decentralization
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4.
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Lim, Andrew
National University of Singapore (NUS) - Department of Decision Sciences Shanthikumar, J. George
University of California, Berkeley Watewai, Thaisiri
University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR)
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74
(164,147)
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2
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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models
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Records 1 -
4
of 4 matches
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