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~source:"econis"
~subject:"Portfolio-Management"
~type:"article"
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Search: "Lim, Andrew"
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Lim, Andrew E. B.
8
Shanthikumar, J. George
3
Vahn, Gah-yi
2
Ban, Gah-Yi
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Chen, Shea D.
1
El Karoui, Noureddine
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Gotoh, Jun-ya
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Kim, Michael Jong
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Operations research letters
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2
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ECONIS (ZBW)
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1
A generalized Black-Litterman model
Chen, Shea D.
;
Lim, Andrew E. B.
- In:
Operations research
68
(
2020
)
2
,
pp. 381-410
Persistent link: https://www.econbiz.de/10012213340
Saved in:
2
Robust empirical optimization is almost the same as mean-variance optimization
Gotoh, Jun-ya
;
Kim, Michael Jong
;
Lim, Andrew E. B.
- In:
Operations research letters
46
(
2018
)
4
,
pp. 448-452
Persistent link: https://www.econbiz.de/10011916169
Saved in:
3
Machine learning and portfolio optimization
Ban, Gah-Yi
;
El Karoui, Noureddine
;
Lim, Andrew E. B.
- In:
Management science : journal of the Institute for …
64
(
2018
)
3
,
pp. 1136-1154
Persistent link: https://www.econbiz.de/10011847178
Saved in:
4
Dynamic portfolio selection with market impact costs
Lim, Andrew E. B.
;
Wimonkittiwat, Poomyos
- In:
Operations research letters
42
(
2014
)
5
,
pp. 299-306
Persistent link: https://www.econbiz.de/10010404424
Saved in:
5
Robust portfolio choice with learning in the framework of regret : single-period case
Lim, Andrew E. B.
;
Shanthikumar, J. George
;
Vahn, Gah-yi
- In:
Management science : journal of the Institute for …
58
(
2012
)
9
,
pp. 1732-1746
Persistent link: https://www.econbiz.de/10009655704
Saved in:
6
Conditional value-at-risk in portfolio optimization : coherent but fragile
Lim, Andrew E. B.
;
Shanthikumar, J. George
;
Vahn, Gah-yi
- In:
Operations research letters
39
(
2011
)
3
,
pp. 163-171
Persistent link: https://www.econbiz.de/10009160241
Saved in:
7
Robust asset allocation with benchmarked objectives
Lim, Andrew E. B.
;
Shanthikumar, J. George
;
Thaisiri Watewai
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 643-679
Persistent link: https://www.econbiz.de/10009311676
Saved in:
8
A benchmarking approach to optimal asset allocation for insurers and pension funds
Lim, Andrew E. B.
;
Wong, Bernard
- In:
Insurance / Mathematics & economics
46
(
2010
)
2
,
pp. 317-327
Persistent link: https://www.econbiz.de/10003966593
Saved in:
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