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
Portfolio management
Derivative pricing
Inventory management
Data-driven optimization
Distributionally robust optimization
Preference robust optimization
Inverse optimization
Reinforcement learning
Deep learning
(*co-authored by a student)
Wasserstein-Kelly portfolios: a robust data-driven solution to optimize portfolio growth.
On generalization and regularization via Wasserstein distributionally robust optimization. (with Qinyu Wu* and Tiantian Mao)
A general Wasserstein
framework for data-driven distributionally robust optimization:
tractability and applications. (with Tiantian Mao)
[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)
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)