Jonathan Yu-Meng Li

Associate Professor
Telfer School of Management
University of Ottawa

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

Principal coordinator for Center for a Responsible Wealth Transition (CRWT)
Coordinator for Risk Intelligence and Resilient Solutions



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


(*co-authored by a student)

Publications

  • [2023] WaveCorr: Deep Reinforcement Learning with Permutation Invariant Convolutional Policy Networks for Portfolio Management. accepted in Operations Research Letters (with Saeed Marzban*, Erick Delage, Jeremie Desgagne-Bouchard, and Carl Dussault)

  • [2023] Distributionally robust optimization under distorted expectations. accepted in Operations Research (with Jun Cai and Tiantian Mao)

  • [2023] Deep reinforcement learning for equal risk pricing and hedging under dynamic expectile risk measures. Quantitative Finance, 23(10), 1411-1430. (with Saeed Marzban* and Erick Delage)

  • [2022] Equal risk pricing and hedging of financial derivatives with convex risk measures. Quantitative Finance, 22(1), 47-73. (with Saeed Marzban* and Erick Delage)

  • [2021] Inverse optimization of convex risk functions. Management Science, 67(11), 6629-7289.

  • [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)

  • Foundations for Quantitative Methods (MSc) : Introduction to Econometrics

  • Financial Risk Management & Derivative Securities (MSc)

  • Business Analytics (BCom)

  • Business Simulation Analytics (BCom)

  • Statistics for Management (BCom)