Lim, Andrew

Biography

Education • PhD, Department of Systems Engineering, Australian National University, 1998 Title of Thesis: Optimal Control of Systems With Constraints. • Bachelor of Science (Honours I), Department of Mathematics, University of Western Australia, 1995. Academic Appointments • 2013-present: Professor, Department of Decision Sciences and Department of Finance, NUS Business School, National University of Singapore. • 2013-present: Director, Masters in Financial Engineering Program, Risk Management Institute, National University of Singapore. • 2005-present: Associate Professor, Department of Industrial Engineering and Operations Research, University of California (Berkeley). • 2008-2012: Associate Professor & Coleman Fung Chair in Financial Modeling, Department of Industrial Engineering and Operations Research, University of California (Berkeley). • 2002-2005: Assistant Professor, Department of Industrial Engineering and Operations Research, University of California (Berkeley). • 2001-2002: Assistant Professor, Department of Industrial Engineering and Operations Research, Columbia University. • 2001: Research Associate, Institute for Systems Research, University of Maryland (College Park). • 2000-2001: Postdoctoral Research Fellow, Center for Applied Probability, Columbia University. • 1999-2000: Postdoctoral Research Fellow, Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong. • 1997-1998: Research Fellow, Department of Electrical and Electronic Engineering, University of Melbourne. Research Interests • Financial engineering, portfolio choice problems, stochastic models, decision making under uncertainty. Teaching • National University of Singapore Undergraduate: – Analytics for Consulting, DSC4213, 2013. • University of California (Berkeley). Graduate: – Financial Engineering I, IEOR290 (new PhD course), Fall 2006, 2007. – Applied Stochastic Processes II, IEOR263B, Spring 2006, 2007, 2008. – Topics in Financial Engineering, IEOR298, Spring 2005. – Applied Dynamic Programming, IEOR268 (major revision of existing course), Fall 2002, 2004. – Stochastic Inventory Control, IEOR298 (new PhD course), Spring 2004. – Topics in Financial Engineering and Stochastic Control, IEOR298 (new PhD course), Spring 2003. – Applied Stochastic Processes, IEOR263A, Fall 2003. Undergraduate: – Introduction to Linear Programming, IEOR162, Fall 2005. – Operations Research II (Introduction to Stochastic Processes), IEOR 161, Spring 2004, 2005, 2006, 2007, 2008. – Quality Control and Forecasting, IEOR165, 2011, 2012. • Columbia University. – Undergraduate: Introduction to Financial Engineering, Introduction to Probability and Statistics, Industrial Economics. • Chinese University of Hong Kong. – Undergraduate: Dynamic Systems (dynamic programming, optimal control), Operations Research II (nonlinear programming, optimization). • University of Melbourne. – Undergraduate: Control 3 (classical control). Graduate Students: Graduated PhD students: • Thaisiri Watewai, IEOR Berkeley, 2002-2006. Thesis title: Stochastic optimization with model ambiguity. Currently a faculty member in the Department of Finance and Accounting at Chulalongkorn University (Thailand). • Peng Li, IEOR Berkeley 2009. Thesis title: Decentralized intensity control and optimal risk transfer. Currently employed at Credit Suisse. • Lian Yu, IEOR Berkeley 2010. Thesis title: Nonparametric Optimization with Objective Operational Statistics Currently employed at Fortex • Ankit Jain, IEOR Berkeley 2010. Thesis title: Topics in modeling uncertainty with learning. Currently employed at Goldman Sachs.

Research Interest

Stochastic Models, Decision Making Under Uncertainty, Optimisation And Application