Jonathan Yu-Meng LiAssociate Professor, Telfer School of Management, University of OttawaPhD - University of TorontoMASc - McMaster University Email : Jonathan.li at telfer dot uottawa dot ca About my researchMy research focuses on the interplay between optimization theory (stochastic, robust, and inverse optimization as well as hybrids thereof) and decision theory (decision making under risk and uncertainty) and its application in operations, finance, and risk management in general. I am particularly fascinated by the expressive power of optimization to integrate data into a complex decision-making process. I have a particular interest in the area of financial engineering and I work on projects related to portfolio optimization, derivative pricing, and risk hedging. Working papersDistributionally robust optimization under distorted expectation (with Jun Cai and Tiantian Mao) link Equal risk pricing and hedging of financial derivatives with convex risk measures (with Saeed Marzban and Erick Delage) link Inverse optimization of convex risk functions. (minor revision in Management Science, 2019) PublicationsClosed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization. Operations Research, v.66(6), 1457-1759, 2018. Minimizing risk exposure when the choice of a risk measure is ambiguous (with Erick Delage) Management Science, v. 64(1), 1-493, 2018. A stochastic semi-definite programming approach for bounds on option pricing under regime switching (with Roy H. Kwon) Annals of Operations Research, v.237(1), 41-75, 2016.Portfolio selection under model uncertainty: a penalized moment-based optimization approach (with Roy H. Kwon) Journal of Global Optimization, v.56(1), 131-164, 2013.A moment approach to bounding exotic options under regime switching (with Michael J. Kim and Roy H. Kwon) Optimization, v.61(10), 1-17, 2012.Market price-based convex risk measures: a distribution-free optimization approach (with Roy H. Kwon) Operations Research Letters, v.40(2), 128-133, 2012.Selected TalksWorst-case law invariant risk measures and distributions: the case of nonlinear DRO, Distributionally Robust Optimization Workshop, BIRS, Banff, March, 2018.Optimization for measuring risk in stochastic programs, DSAS Colloquium Talk, Department of Statistical and Actuarial Sciences, Western University, Nov, 2017.A coherent representation of worst-case distributions - demystifying distributionally robust risk measures, GERAD seminar, June, 2017.CoursesFinancial risk management and derivatives securities (MSc in Management) Business simulation analytics (BCom) Business analytics (BCom) Statistics for management (Bcom) ReviewerOperations Research, Management Science, Mathematical Programming, SIAM Journal on Optimization, Mathematics of Operations Research, Operations Research Letters, Automatica, Annals of Operations Research |