J. George Shanthikumar

University of California, Berkeley

Professor

310 Barrows Hall

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 39,347

in Total Papers Downloads

1,555

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.
Downloads 873 ( 34,864)
Citation 2

Robust Asset Allocation with Benchmarked Objectives

Number of pages: 45 Posted: 22 Sep 2006 Last Revised: 24 Sep 2009
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 873 (34,526)

Abstract:

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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
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 589 (59,232)
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.

Technical Appendix: Robust Asset Allocation with Benchmarked Objectives

Number of pages: 4 Posted: 30 Sep 2009
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 93 (349,913)
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