Jonathan Yu-Meng Li

Associate Professor
Telfer School of Management
University of Ottawa

Ph.D. (University of Toronto)
M.A.Sc. (McMaster University)



Research interests

Operations, Finance, and Risk Management

  • Portfolio management

  • Derivative pricing

  • Inventory management

Optimization

  • Data-driven optimization

  • Distributionally robust optimization

  • Preference robust optimization

  • Inverse optimization

Machine Learning

  • Reinforcement learning

  • Deep learning

Risk Measures


Publications

  • [2021] Inverse optimization of convex risk functions. Management Science.

  • [2021] Equal risk pricing and hedging of financial derivatives with convex risk measures. Quantitative Finance. (with Saeed Marzban and Erick Delage)

  • [2018] Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization. Operations Research, 66(6), 1457-1759.

  • [2018] Minimizing risk exposure when the choice of a risk measure is ambiguous. Management Science, 64(1): 327-344. (with Erick Delage)

  • [2016] A stochastic semidefinite programming approach for bounds on option pricing under regime switching. Annals of Operations Research, 237(1-2): 41-75. (with Roy H. Kwon)

  • [2013] Portfolio selection under model uncertainty: a penalized moment-based optimization approach. Journal of Global Optimization, 56(1), 131-164. (with Roy H. Kwon)

  • [2012] A moment approach to bounding exotic options under regime switching. Optimization, 61(10), 1253-1269. (with Michael Jong Kim and Roy H. Kwon)

  • [2012] Market price-based convex risk measures: a distribution-free optimization approach. Operations Research Letters, 40(2), 128-133. (with Roy H. Kwon)

Teaching

  • Optimization (PhD)

  • Multivariate Research Methods (MSc)

  • Financial Risk Management & Derivative Securities (MSc)

  • Business Analytics (BCom)

  • Business Simulation Analytics (BCom)

  • Statistics for Management (BCom)