Selected publications

A.E.B. Lim and J.G. Shanthikumar. Robust portfolio selection with learning.
Working paper.

P. Li, A.E.B. Lim and J.G. Shanthikumar. A new duality relationship for robust and risk-sensitive control.
Working paper.

A.E.B. Lim and T. Watewai. Optimal portfolio choice with discontinuous price processes and multiple regimes.
Working paper.

A.E.B. Lim, J.G. Shanthikumar and T. Watewai. Robust multi-product pricing. Working paper.
Submitted.

A.E.B. Lim, J.G. Shanthikumar and T. Watewai. Robust asset allocation with benchmarked objectives.
Submitted.

A.E.B. Lim and J.G. Shanthikumar. Relative entropy, exponential utility, and robust dynamic pricing.
Operations Research 55(2), pp 198--214, 2006.

S.B. Laprise, M.C. Fu, S.I. Marcus and A.E.B. Lim. Pricing American style derivatives with European call options.
Management Science, Vol. 52(1), pp 95--110, 2006.

A.E.B. Lim. Mean-variance hedging when there are jumps.
SIAM Journal on Control and Optimization, Vol. 44(5), pp 1893--1922, 2005.

A.E.B. Lim and X.Y. Zhou. A new risk-sensitive maximum principle.
IEEE Transactions on Automatic Control, Vol. 50(7), pp 947--958, 2005.

A.E.B. Lim. Quadratic hedging and mean--variance portfolio selection in an incomplete market.
Mathematics of Operations Research, Vol. 29, No. 1, pp 132 -- 161, 2004.

A.E.B. Lim, X.Y. Zhou and J.B. Moore. Multiple-objective risk-sensitive control and its small noise limit.
Automatica, Vol. 39 No. 3, pp 533 -- 541, 2003.

X. Li, X.Y. Zhou and A.E.B. Lim. Dynamic mean-variance portfolio selection with no-shorting constraints.
SIAM Journal on Control and Optimization, Vol. 40 No. 5, pp 1540 -- 1555, 2002.

A.E.B. Lim and X.Y. Zhou. Mean-variance portfolio selection with random parameters in a complete market.
Mathematics of Operations Research, Vol. 27 No. 1, pp 101 -- 120, 2002.

H.J.W. Lee, K.L. Teo and A.E.B. Lim. Sensor scheduling in continuous time.
Automatica, Vol. 37 No. 12, pp 2017 -- 2023, 2001.

A.E.B. Lim and X.Y. Zhou. Linear-quadratic control of backward stochastic differential equations.
SIAM Journal on Control and Optimization, Vol. 40 No. 2, pp 450 -- 474, 2001.

A.E.B. Lim and X.Y. Zhou. Risk-sensitive control with HARA utility.
IEEE Transactions on Automatic Control, Vol 46 No. 4, pp 563 -- 578, 2001.

A.E.B. Lim and X.Y. Zhou. Stochastic LQR optimal control with integral quadratic constraints and indefinite control weights.
IEEE Transactions on Automatic Control, Vol. 44 No. 7, pp 1359 -- 1369, 1999.

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