Concepedia

Andrew E. B. Lim

AE

Statistics

Publications

32

Citations

2.5K

H-Index

22

Active since

1996

Affiliations

University of California, Berkeley(Current)

National University of Singapore

Chinese University of Hong Kong

Australian National University

Purdue University West Lafayette

Andrew E. B. Lim is an author at University of California, Berkeley specializing in optimization, mathematics, and natural sciences.

ORCID

Publications per year

1996–2023

32

Publications

32

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

Xun Li, Xun Yu Zhou, Andrew E. B. Lim · SIAM Journal on Control and Optimization · 2002 · 309 citations

, , +17

Machine Learning and Portfolio Optimization

Gah‐Yi Ban, Noureddine El Karoui, Andrew E. B. Lim · Management Science · 2016 · 280 citations · Full text

, , +17

Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

Andrew E. B. Lim, Xun Yu Zhou · Mathematics of Operations Research · 2002 · 267 citations

, , +17

Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

Andrew E. B. Lim, J. George Shanthikumar · Operations Research · 2007 · 190 citations

, , +14

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

Andrew E. B. Lim · Mathematics of Operations Research · 2004 · 182 citations

, , +17

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