← All authors Andrew E. B. Lim National University of Singapore (from arXiv:2605.31306, 2026) · ORCID · OpenAlex
30 papers in scope · 28 published · 2 on the econ.EM arXiv · 1,742 citations · h-index 18 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Michael Jong Kim Jun-ya Gotoh Maximilian Blesch Philipp Eisenhauer Lena Janys Janos Gabler Yaroslav Mukhin Charles F. Manski Anna Bindler Luisa H. Santiago Wolf Barbara Boelmann Timothy B. Armstrong Stéphane Bonhomme Michal Kolesár Martin Weidner James M. Robins Hidehiko Ichimura Juan Carlos Escanciano Whitney K. Newey Victor Chernozhukov Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 30)
working paper 2026 · arXiv
Dynamic Black-Litterman
published 2025 · Operations Research
with Anas Abdelhakmi
Estimating policy effects in a social network with independent set sampling
published 2024 · Social Networks · 2 citations
with Eugene T. Y. Ang, Prasanta Bhattacharya
published 2023 · Operations Research · 8 citations · first circulated 2021
Vessel deployment with limited information: Distributionally robust chance constrained models
published 2022 · Transportation Research Part B Methodological · 28 citations
with Yue Zhao, Zhi Chen, Zhenzhen Zhang
A Generalized Black–Litterman Model
published 2020 · Operations Research · 22 citations
with Shea D. Chen
working paper 2020 · arXiv
published 2017 · Operations Research · 15 citations
Robust Multiarmed Bandit Problems
published 2015 · Management Science · 51 citations
Optimal investment and consumption when regime transitions cause price shocks
published 2012 · Insurance Mathematics and Economics · 1 citations
with Thaisiri Watewai
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case
published 2012 · Management Science · 34 citations
with J. George Shanthikumar, Gah-Yi Vahn
ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
published 2010 · Mathematical Finance · 27 citations · first circulated 2009
with J. George Shanthikumar, Thaisiri Watewai
Optimal risk transfer for agents with germs
published 2010 · Insurance Mathematics and Economics · 3 citations
with Peng Li, J. George Shanthikumar
A benchmarking approach to optimal asset allocation for insurers and pension funds
published 2009 · Insurance Mathematics and Economics · 19 citations
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
published 2007 · Operations Research · 190 citations
with J. George Shanthikumar
Pricing American-Style Derivatives with European Call Options
published 2006 · Management Science · 30 citations
with Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Huiju Zhang
A new risk-sensitive maximum principle
published 2005 · IEEE Transactions on Automatic Control · 64 citations
with Xun Yu Zhou
Mean-Variance Hedging When There Are Jumps
published 2005 · 83 citations
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
published 2004 · Mathematics of Operations Research · 182 citations
Hedging default risk in an incomplete market
published 2004 · Contemporary mathematics - American Mathematical Society
Mean-variance portfolio choice with discontinuous asset prices and nonnegative wealth processes
published 2004 · Contemporary mathematics - American Mathematical Society
with Xun Yu Zhou
Multiple-objective risk-sensitive control and its small noise limit
published 2003 · Automatica · 12 citations
with Xun Yu Zhou, J.B. Moore
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
published 2002 · Mathematics of Operations Research · 267 citations
with Xun Yu Zhou
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
published 2002 · 309 citations
with Xun Li, Xun Yu Zhou
Sensor scheduling in continuous time
published 2001 · Automatica · 57 citations
with Joseph H. W. Lee, Kok Lay Teo
Linear-Quadratic Control of Backward Stochastic Differential Equations
published 2001 · 141 citations
with Xun Yu Zhou
LQ control and mean-variance portfolio selec-tions: The stochastic parameter case
published 2001 · Mathematical Finance · 1 citations
with Xun Yu Zhou
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
published 1999 · IEEE Transactions on Automatic Control · 113 citations
with Xun Yu Zhou
Discrete time LQG controls with control dependent noise
published 1999 · Systems & Control Letters · 57 citations
with J.B. Moore, Xun Yu Zhou
Separation theorem for linearly constrained LQG optimal control
published 1996 · Systems & Control Letters · 26 citations
with J.B. Moore, Leonid Faybusovich
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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