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Andrew Lim
Associate Professor
4177 Etcheverry Hall
Personal Webpage: |
ieor.berkeley.edu
Andrew Lim obtained his PhD in Systems Engineering from the Australian National University in 1998. Prior to his arrival at Berkeley, he conducted research at the Chinese University of Hong Kong, the University of Maryland (College Park) and Columbia University (New York). During the 2001-2002 academic year, he was an assistant professor at Columbia University, and joined the IEOR department at UC Berkeley in 2002. His research and teaching interests include stochastic control and optimization with applications in finance and operations research. Much of his recent work has focused on the problem of decision making in stochastic settings when there is model uncertainty.
Research:
- Stochastic control
- Optimization
- Applications in finance and operations research
Selected Publications:
- Robust asset allocation with benchmarked objectives. Working paper, IEOR Department, University of California (Berkeley), 2006. (With J.G. Shanthikumar and T. Watewai).
- Robust multi-product revenue management. Working paper, IEOR Department, University of California (Berkeley), 2006. (With J.G. Shanthikumar and T. Watewai).
- Relative entropy, exponential utility, and robust dynamic pricing. Forthcoming, Operations Research, 2006. (With J.G. Shanthikumar).
- Mean-variance hedging when there are jumps. SIAM Journal on Control and Optimization, Vol. 44(5), pp 1893--1922, 2005.
- "Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market", Mathematics of Operations Research, 29(1), pp 132 -- 161, 2004.
- Linear-quadratic control of backward stochastic differential equations. SIAM Journal on Control and Optimization, 40(2), pp 450 -- 474, 2001. (With X.Y. Zhou).
Teaching:
- Financial Engineering I, Fall.
- Operations Research II (IEOR 161), Spring.
- Applied Stochastic Processes II (IEOR 263B), Spring.