Andrew Lim

National University of Singapore (NUS) - Department of Decision Sciences

NUS Business School

Mochtar Riady Building, 15 Kent Ridge

Singapore, 119245

Singapore

National University of Singapore (NUS) - Department of Finance

Mochtar Riady Building

15 Kent Ridge Drive

Singapore, 119245

Singapore

National University of Singapore (NUS) - Institute for Operations Research and Analytics

Singapore

SCHOLARLY PAPERS

10

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2,762

SSRN CITATIONS
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SSRN RANKINGS

Top 30,369

in Total Papers Citations

17

CROSSREF CITATIONS

11

Scholarly Papers (10)

1.
Downloads 879 ( 37,475)
Citation 2

Robust Asset Allocation with Benchmarked Objectives

Number of pages: 45 Posted: 22 Sep 2006 Last Revised: 24 Sep 2009
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 876 (37,134)

Abstract:

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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models.

Robust Asset Allocation with Benchmarked Objectives

Mathematical Finance, Vol. 21, Issue 4, pp. 643-679, 2011
Number of pages: 37 Posted: 23 Aug 2011
National University of Singapore (NUS) - Department of Decision Sciences, Purdue University - Krannert School of Management and Chulalongkorn University - Department of Banking & Finance
Downloads 3 (866,921)

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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models

2.

Robust Multi-Product Pricing

Number of pages: 45 Posted: 24 Dec 2007 Last Revised: 07 Apr 2008
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 605 (61,460)
Citation 9

Abstract:

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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

3.

A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds

Australian School of Business Research Paper No. 2009ACTL07
Number of pages: 30 Posted: 14 Aug 2009 Last Revised: 07 Apr 2010
Bernard Wong and Andrew Lim
UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 529 (72,862)
Citation 2

Abstract:

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Asset-Liability Management, Portfolio Optimization, Benchmarking

Robust Empirical Optimization is Almost the Same As Mean-Variance Optimization

Number of pages: 21 Posted: 22 Aug 2016 Last Revised: 17 Nov 2017
Jun-ya Gotoh, Michael Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, University of Toronto - Department of Mechanical and Industrial Engineering and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 352 (116,495)
Citation 7

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robust empirical optimization, mean-variance optimization, data-driven optimization, relative entropy, φ-divergence, robust cross-validation

Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization

Number of pages: 21 Posted: 21 Nov 2017 Last Revised: 29 Nov 2017
Jun-ya Gotoh, Michael Jong Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, Sauder School of Business, University of British Columbia and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 66 (456,875)
Citation 4

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robust empirical optimization, mean-variance optimization, φ-divergence, data-driven optimization

5.

Technical Appendix: Robust Asset Allocation with Benchmarked Objectives

Number of pages: 4 Posted: 30 Sep 2009
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 94 (368,411)
Citation 2

Abstract:

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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models

6.

Worst-Case Sensitivity

Number of pages: 39 Posted: 03 Dec 2020
Jun-ya Gotoh, Michael Jong Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, Sauder School of Business, University of British Columbia and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 70 (437,263)

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Distributionally robust optimization, worst-case sensitivity, generalized measure of deviation, model uncertainty, uncertainty sets, regularizer

7.

Calibration of Distributionally Robust Empirical Optimization Models

Forthcoming, Operations Research
Number of pages: 51 Posted: 18 Jun 2020 Last Revised: 23 Jun 2020
Jun-ya Gotoh, Michael Jong Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, Sauder School of Business, University of British Columbia and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 65 (454,371)
Citation 1

Abstract:

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distributionally robust optimization, data driven optimization, out-of-sample performance, variance reduction, calibration, worst-case sensitivity

8.

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

Number of pages: 22 Posted: 26 May 2021 Last Revised: 24 Jul 2021
Jun-ya Gotoh, Michael Jong Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, Sauder School of Business, University of British Columbia and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 55 (492,090)

Abstract:

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Distributionally Optimistic Optimization (DOO), Distributionally Robust Optimization (DRO), Sample Average Approximation (SAA), data-driven optimization, model uncertainty, worst-case sensitivity, out-of-sample performance

9.

Calibration of Distributionally Robust Empirical Optimization Models

Number of pages: 36 Posted: 27 Nov 2017
Jun-ya Gotoh, Michael Jong Kim and Andrew Lim
Chuo University - Department of Data Science for Business Innovation, Sauder School of Business, University of British Columbia and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 47 (526,353)
Citation 5

Abstract:

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robust empirical optimization, data driven optimization, out-of-sample performance, variance reduction, calibration

10.

Optimal Investment and Consumption When Regime Transitions Cause Price Shocks

Insurance: Mathematics and Economics, Vol. 51, No. 3, November 2012
Posted: 07 Nov 2016
Andrew Lim and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences and Chulalongkorn University - Department of Banking & Finance

Abstract:

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Event Risk, Regime Switching, Defaultable Bonds, Jump Processes, Optimal Investment and Consumption, Stochastic Control