Melvyn Sim

National University of Singapore (NUS) - NUS Business School

1 Business Link

Singapore, 117592

Singapore

SCHOLARLY PAPERS

14

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Top 28,323

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17

CROSSREF CITATIONS

14

Scholarly Papers (14)

Aspirational Preferences and Their Representation by Risk Measures

Swiss Finance Institute Research Paper No. 09-19, U. of St. Gallen Law & Economics Working Paper No. 2009-07
Number of pages: 34 Posted: 22 May 2009 Last Revised: 23 Feb 2012
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 985 (27,110)
Citation 5

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

Aspirational Preferences and Their Representation by Risk Measures (Online Appendix)

Number of pages: 7 Posted: 15 Feb 2012
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 97 (323,987)

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

2.

Robust Pricing and Production with Information Partitioning and Adaptation

Number of pages: 55 Posted: 04 Jan 2019 Last Revised: 19 Feb 2021
Massachusetts Institute of Technology (MIT) - Sloan School of Management, National University of Singapore (NUS) - NUS Business School, Nanyang Business School, Nanyang Technological University and National University of Singapore (NUS)
Downloads 405 (87,669)
Citation 1

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multi-item, pricing, inventory control, K-means clustering, regression tree, distributionally robust optimization

3.

Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns

European Journal of Operational Research, 2012, Vol 221, 397-406
Number of pages: 31 Posted: 27 Apr 2009 Last Revised: 04 Jan 2017
National University of Singapore, Singapore Management University - Lee Kong Chian School of Business, National University of Singapore (NUS) - NUS Business School and Department of Finance, National University of Singapore
Downloads 358 (100,716)

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Asymmetric Distributions, Markowitz Mean-Variance Optimization, Partitioned Value-at-Risk, Portfolio Optimization, Robust Risk Measures

4.

The Analytics of Bed Shortages: Coherent Metric, Prediction and Optimization

Number of pages: 46 Posted: 26 Sep 2017 Last Revised: 20 Oct 2018
School of Management, University of Science and Technology of China, National University of Singapore, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Programme in Health Services and Systems Research
Downloads 304 (120,515)
Citation 2

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Analytics, Bed Shortages, Coherent Metric, Riskiness Index, Data-Driven Optimization, Simulation

5.

The Analytics of Robust Satisficing

Number of pages: 41 Posted: 20 Apr 2021 Last Revised: 28 Apr 2021
National University of Singapore (NUS) - NUS Business School, Nanyang Business School, Nanyang Technological University, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - NUS Business School
Downloads 243 (152,864)

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Robust satisficing, predictive analytics, prescriptive analytics, robustness optimization

6.

Strategic Manpower Planning under Uncertainty

Number of pages: 39 Posted: 10 May 2018 Last Revised: 13 Nov 2019
Patrick Jaillet, Gar Goei Loke and Melvyn Sim
Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science, National University of Singapore and National University of Singapore (NUS) - NUS Business School
Downloads 214 (171,150)
Citation 3

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manpower planning, robust optimization, multi-period optimization, public sector, riskiness index

7.

The Dao of Robustness

Number of pages: 59 Posted: 12 Nov 2019 Last Revised: 19 Mar 2021
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - NUS Business School
Downloads 161 (220,397)
Citation 2

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robust optimization, robustness optimization, data-driven optimization, fragility measure

8.

Advance Admission Scheduling via Resource Satisficing

Number of pages: 38 Posted: 12 Jun 2019 Last Revised: 02 Jan 2020
National University of Singapore (NUS) - NUS Business School, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Programme in Health Services and Systems Research
Downloads 130 (261,893)

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optimization, scheduling

9.

Robust Conic Satisficing

Number of pages: 42 Posted: 10 May 2021
Singapore University of Technology and Design (SUTD), National University of Singapore (NUS) and National University of Singapore (NUS) - NUS Business School
Downloads 106 (307,221)

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robust optimization, robust satisficing, conic optimization, affine recourse adaptation

10.

Skewness‐Aware Asset Allocation: A New Theoretical Framework and Empirical Evidence

Mathematical Finance, Vol. 22, Issue 2, pp. 379-410, 2012
Number of pages: 32 Posted: 18 Feb 2012
National University of Singapore (NUS) - Department of Accounting, Babson College and National University of Singapore (NUS) - NUS Business School
Downloads 4 (733,092)
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skewness, optimal portfolio allocation, prospective satisficing measures, beta

11.

Tractable Robust Expected Utility and Risk Models for Portfolio Optimization

Mathematical Finance, Vol. 20, Issue 4, pp. 695-731, October 2010
Number of pages: 37 Posted: 27 Sep 2010
affiliation not provided to SSRN, National University of Singapore (NUS) - NUS Business School and University of Michigan, Stephen M. Ross School of Business
Downloads 2 (751,658)
Citation 5
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12.

Joint Estimation and Robustness Optimization

Posted: 07 Mar 2019
Taozeng Zhu, Jingui Xie and Melvyn Sim
National University of Singapore (NUS) - NUS Business School, School of Management, University of Science and Technology of China and National University of Singapore (NUS) - NUS Business School

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robustness optimization, robust optimization, parameter estimation, data-driven optimization

13.

Managing Operational and Financing Decisions to Meet Consumption Targets

Posted: 08 Oct 2012
Lucy Gongtao Chen, Zhuoyu Long and Melvyn Sim
NUS Business School, National University of Singapore, affiliation not provided to SSRN and National University of Singapore (NUS) - NUS Business School

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dynamic programming, targets, riskiness index, inventory control

14.

Satisficing Measures for Analysis of Risky Positions

Posted: 22 Jun 2007 Last Revised: 21 Sep 2008
David B. Brown and Melvyn Sim
Duke University - Decision Sciences and National University of Singapore (NUS) - NUS Business School

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satisficing, aspiration levels, risk measures, coherent risk measures, convex risk measures, targets, portfolio optimization