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Andrew E B Lim
Information about the author Andrew E B Lim will soon be added to the site.
Found
3 papers
in total
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Robust Portfolio Choice with Learning in the Framework of Regret: Single‐Period Case
2012
In this paper, we formulate a single‐period portfolio choice problem with...
Linear–quadratic control and information relaxations
2012
We apply recently developed duality methods to the classic linear–quadratic (LQ)...
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
2011
We evaluate conditional value‐at‐risk (CVaR) as a risk measure in...
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