Selected publications

P. Li, A.E.B. Lim and J.G. Shanthikumar. Decentralized control of a stochastic multi-agent queueing system.
Forthoming, IEEE Transactions on Automatic Control.

A.E.B. Lim, J.G. Shanthikumar and G.Y. Vahn. Robust portfolio choice with learning in the framework of regret: Single period case.
Forthcoming, Management Science.

A.E.B. Lim, J.G. Shanthikumar and T. Watewai. Robust asset allocation with benchmarked objectives.
Mathematical Finance, 21(4), pp 643--679, 2011.

A.E.B. Lim, J.G. Shanthikumar and G.Y. Vahn. Conditional Value-at-Risk in portfolio optimization: coherent but fragile.
Operations Research Letters, 39(3), pp 163--171, 2011.

P.Li, A.E.B. Lim and J.G. Shanthikumar. Optimal risk transfer for agents with GERMS.
Insurance: Mathematics and Economics, 47(1), pp 1--12, 2010.

A. Jain, A.E.B. Lim and J.G. Shanthikumar. On the optimality of threshold control in queues with model uncertainty.
Queueing Systems: Theory and Applications, 65(2), pp 157--174, 2010.

A.E.B. Lim and B. Wong. A benchmarking approach to optimal asset allocation for insurers and pension funds.
Insurance: Mathematics and Economics, 46(2), pp 317--327, 2010.

A.E.B. Lim and J.G. Shanthikumar. Relative entropy, exponential utility, and robust dynamic pricing.
Operations Research 55(2), pp 198--214, 2007.

A.E.B. Lim, J.G. Shanthikumar and Z.J. Max Shen. Model uncertainty, robust optimization and learning.
Tutorials in Operations Research, pp. 66--94, 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.

H. Cai and A.E.B. Lim. Decentralized control of stochastic dynamic resource allocation problems.

N. El Karoui, A.E.B. Lim and G.Y. Vahn. Performance based regularization in mean-CVaR portfolio optimization.

M. Haugh and A.E.B. Lim. Linear-quadratic control and information relaxations.

A.E.B. Lim and T. Watewai. Optimal investment and consumption when regime transitions cause price shocks.

A.E.B. Lim, J.G. Shanthikumar and T. Watewai. Robust multi-product pricing and a new class of risk-sensitive control problems.

A.E.B. Lim and P. Wimonkittiwat. Dynamic portfolio choice with market impact costs.

H. Cai and A.E.B. Lim. Dynamic portfolio choice with multiple decentralized agents.

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