Melvyn Sim

National University of Singapore (NUS) - NUS Business School

1 Business Link

Singapore, 117592

Singapore

SCHOLARLY PAPERS

12

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Top 27,127

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18

CROSSREF CITATIONS

14

Scholarly Papers (12)

Aspirational Preferences and Their Representation by Risk Measures

Swiss Finance Institute Research Paper No. 09-19, U. of St. Gallen Law & Economics Working Paper No. 2009-07
Number of pages: 34 Posted: 22 May 2009 Last Revised: 23 Feb 2012
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 983 (25,693)
Citation 6

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

Aspirational Preferences and Their Representation by Risk Measures (Online Appendix)

Number of pages: 7 Posted: 15 Feb 2012
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 96 (313,125)

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

2.

Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns

European Journal of Operational Research, 2012, Vol 221, 397-406
Number of pages: 31 Posted: 27 Apr 2009 Last Revised: 04 Jan 2017
National University of Singapore, Singapore Management University - Lee Kong Chian School of Business, National University of Singapore (NUS) - NUS Business School and Department of Finance, National University of Singapore
Downloads 356 (96,695)

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Asymmetric Distributions, Markowitz Mean-Variance Optimization, Partitioned Value-at-Risk, Portfolio Optimization, Robust Risk Measures

3.

Robust Pricing and Production with Information Partitioning and Adaptation

Number of pages: 51 Posted: 04 Jan 2019 Last Revised: 23 Mar 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, National University of Singapore (NUS) - NUS Business School, Nanyang Technological University (NTU) - Nanyang Business School and National University of Singapore (NUS)
Downloads 350 (98,592)
Citation 1

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multi-item, pricing, inventory control, K-means clustering, regression tree, distributionally robust optimization

4.

Joint Estimation and Robustness Optimization

Number of pages: 36 Posted: 07 Mar 2019
Taozeng Zhu, Jingui Xie and Melvyn Sim
School of Management, University of Science and Technology of China, School of Management, University of Science and Technology of China and National University of Singapore (NUS) - NUS Business School
Downloads 323 (107,833)

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robustness optimization, robust optimization, parameter estimation, data-driven optimization

5.

The Analytics of Bed Shortages: Coherent Metric, Prediction and Optimization

Number of pages: 46 Posted: 26 Sep 2017 Last Revised: 20 Oct 2018
School of Management, University of Science and Technology of China, National University of Singapore, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Programme in Health Services and Systems Research
Downloads 295 (118,875)
Citation 2

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Analytics, Bed Shortages, Coherent Metric, Riskiness Index, Data-Driven Optimization, Simulation

6.

Strategic Manpower Planning under Uncertainty

Number of pages: 39 Posted: 10 May 2018 Last Revised: 13 Nov 2019
Patrick Jaillet, Gar Goei Loke and Melvyn Sim
Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science, National University of Singapore and National University of Singapore (NUS) - NUS Business School
Downloads 185 (187,408)
Citation 2

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manpower planning, robust optimization, multi-period optimization, public sector, riskiness index

7.

Advance Admission Scheduling via Resource Satisficing

Number of pages: 38 Posted: 12 Jun 2019 Last Revised: 02 Jan 2020
National University of Singapore (NUS) - NUS Business School, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Programme in Health Services and Systems Research
Downloads 113 (278,372)

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optimization, scheduling

8.

The Dao of Robustness: Achieving Robustness in Prescriptive Analytics

Number of pages: 60 Posted: 12 Nov 2019 Last Revised: 01 Jul 2020
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - NUS Business School
Downloads 86 (333,226)
Citation 1

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robust optimization, robustness optimization, data-driven optimization, fragility measure

9.

Skewness‐Aware Asset Allocation: A New Theoretical Framework and Empirical Evidence

Mathematical Finance, Vol. 22, Issue 2, pp. 379-410, 2012
Number of pages: 32 Posted: 18 Feb 2012
National University of Singapore (NUS) - Department of Accounting, Babson College and National University of Singapore (NUS) - NUS Business School
Downloads 4 (706,450)
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skewness, optimal portfolio allocation, prospective satisficing measures, beta

10.

Tractable Robust Expected Utility and Risk Models for Portfolio Optimization

Mathematical Finance, Vol. 20, Issue 4, pp. 695-731, October 2010
Number of pages: 37 Posted: 27 Sep 2010
affiliation not provided to SSRN, National University of Singapore (NUS) - NUS Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 2 (724,447)
Citation 4
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11.

Managing Operational and Financing Decisions to Meet Consumption Targets

Posted: 08 Oct 2012
Lucy Gongtao Chen, Zhuoyu Long and Melvyn Sim
NUS Business School, National University of Singapore, affiliation not provided to SSRN and National University of Singapore (NUS) - NUS Business School

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dynamic programming, targets, riskiness index, inventory control

12.

Satisficing Measures for Analysis of Risky Positions

Posted: 22 Jun 2007 Last Revised: 21 Sep 2008
David B. Brown and Melvyn Sim
Duke University - Decision Sciences and National University of Singapore (NUS) - NUS Business School

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satisficing, aspiration levels, risk measures, coherent risk measures, convex risk measures, targets, portfolio optimization