Machine learning and portfolio optimization von Ban, G-Y, El Karoui, N, Lim, AEB

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Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market von Lim, Andrew E. B

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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market von Lim, Andrew E. B, Zhou, Xun Yu

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Dynamic mean-variance portfolio selection with no-shorting constraints von XUN LI, XUN YU ZHOU, LIM, Andrew E. B

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A new risk-sensitive maximum principle von Lim, A.E.B., Xun Yu Zhou

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Mean-variance hedging when there are jumps von LIM, Andrew E. B

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Linear-quadratic control of backward stochastic differential equations von LIM, Andrew E. B, XUN YU ZHOU

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Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights von Lim, A.E.B., Xun Yu Zhou

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Sensor scheduling in continuous time von Lee, H.W.J., Teo, K.L., Lim, Andrew E.B.

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Pricing American-Style Derivatives with European Call Options von Laprise, Scott B, Fu, Michael C, Marcus, Steven I, Lim, Andrew E. B, Zhang, Huiju

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Risk-sensitive control with HARA utility von Lim, A.E.B., Xun Yu Zhou

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Multiple-objective risk-sensitive control and its small noise limit von Lim, Andrew E.B., Zhou, Xun Yu, Moore, John B.

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Discrete time LQG controls with control dependent noise von Moore, John B., Zhou, Xun Yu, Lim, Andrew E.B.

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A quasi-separation theorem for LQG optimal control with IQ constraints von Lim, Andrew E.B., Moore, John B.

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Separation theorem for linearly constrained LQG optimal control von Lim, Andrew E.B., Moore, John B., Faybusovich, Leonid

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Solutions to the combined sensitivity and complementary sensitivity problem in control systems von Lim, A.E.B., Wei-Yong Yan, Teo, K.L.

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State-space approach to the combined sensitivity and complementary sensitivity problem von Lim, A. E. B., Yan, W.-Y., Teo, K. L.

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Mean-variance portfolio selection via LQ optimal control von Lim, A.E.B., Xun Yu Zhou

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Optimal control with HARA utility functions von Lim, A.E.B., Xun Yu Zhou

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Optimal control of backward stochastic differential equations: The linear-quadratic case von Lim, A.E.B., Xun Yu Zhou

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