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Robust Multiarmed Bandit Problems

Management science, 2016-01, Vol.62 (1), p.264-285

2016

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Machine Learning and Portfolio Optimization

Management science, 2018-03, Vol.64 (3), p.1136-1154

2018

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Robust empirical optimization is almost the same as mean–variance optimization

Operations research letters, 2018-07, Vol.46 (4), p.448-452

2018

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Conditional value-at-risk in portfolio optimization: Coherent but fragile

Operations research letters, 2011-05, Vol.39 (3), p.163-171

2011

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A Generalized Black–Litterman Model

Operations research, 2020-03, Vol.68 (2), p.381-410, Article opre.2019.1893

2020

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

Mathematics of operations research, 2004-02, Vol.29 (1), p.132-161

Lim, Andrew E. B

2004

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Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

Operations research, 2007-03, Vol.55 (2), p.198-214

2007

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Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case

Management science, 2012-09, Vol.58 (9), p.1732-1746

2012

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

Mathematics of operations research, 2002-02, Vol.27 (1), p.101-120

2002

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A benchmarking approach to optimal asset allocation for insurers and pension funds

Insurance, mathematics & economics, 2010-04, Vol.46 (2), p.317-327

2010

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Calibration of Distributionaliy Robust Empirical Optimization Models

Operations research, 2021-09, Vol.69 (5), p.1639

2021

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Calibration of Distributionally Robust Empirical Optimization Models

Operations research, 2021-09, Vol.69 (5), p.1630-1650

2021

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Electrochemical oxidation of L-cysteine mediated by a fullerene-C60-modified carbon electrode

Analytica chimica acta, 2003-09, Vol.491 (2), p.181-191

2003

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Optimal risk transfer for agents with germs

Insurance, mathematics & economics, 2010-08, Vol.47 (1), p.1-12

2010

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Pricing American-Style Derivatives with European Call Options

Management science, 2006-01, Vol.52 (1), p.95-110

2006

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Electrochemical oxidation of l-cysteine mediated by a fullerene-C 60-modified carbon electrode

Analytica chimica acta, 2003-09, Vol.491 (2), p.181-191

2003

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Dynamic portfolio selection with market impact costs

Operations research letters, 2014-07, Vol.42 (5), p.299-306

2014

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Linear–quadratic control and information relaxations

Operations research letters, 2012-11, Vol.40 (6), p.521-528

2012

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Decentralized Control of a Stochastic Multi-Agent Queueing System

IEEE transactions on automatic control, 2012-11, Vol.57 (11), p.2762-2777

2012

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A new risk-sensitive maximum principle

IEEE transactions on automatic control, 2005-07, Vol.50 (7), p.958-966

2005

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Mean-variance hedging when there are jumps

SIAM journal on control and optimization, 2005-01, Vol.44 (5), p.1893-1922

LIM, Andrew E. B

2005

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ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES

Mathematical finance, 2011-10, Vol.21 (4), p.643-679

2011

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Optimal investment and consumption when regime transitions cause price shocks

Insurance, mathematics & economics, 2012-11, Vol.51 (3), p.551-566

2012

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On the optimality of threshold control in queues with model uncertainty

Queueing systems, 2010-06, Vol.65 (2), p.157-174

2010

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Linear-quadratic control of backward stochastic differential equations

SIAM journal on control and optimization, 2001-01, Vol.40 (2), p.450-474

2001

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Robust Multiarmed Bandit Problems

Machine Learning and Portfolio Optimization

Robust empirical optimization is almost the same as mean–variance optimization

Conditional value-at-risk in portfolio optimization: Coherent but fragile

A Generalized Black–Litterman Model

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

Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case

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

A benchmarking approach to optimal asset allocation for insurers and pension funds

Calibration of Distributionaliy Robust Empirical Optimization Models

Calibration of Distributionally Robust Empirical Optimization Models

Electrochemical oxidation of L-cysteine mediated by a fullerene-C60-modified carbon electrode

Optimal risk transfer for agents with germs

Pricing American-Style Derivatives with European Call Options

Electrochemical oxidation of l-cysteine mediated by a fullerene-C 60-modified carbon electrode

Dynamic portfolio selection with market impact costs

Linear–quadratic control and information relaxations

Decentralized Control of a Stochastic Multi-Agent Queueing System

A new risk-sensitive maximum principle

Mean-variance hedging when there are jumps

ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES

Optimal investment and consumption when regime transitions cause price shocks

On the optimality of threshold control in queues with model uncertainty

Linear-quadratic control of backward stochastic differential equations

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