Jonathan Yu-Meng Li
Associate Professor, 
Telfer School of Management, University of Ottawa
PhD - 
University of Toronto
MASc - McMaster University

Email : at telfer dot uottawa dot ca

About my research

My 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 papers

Distributionally 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) Quantitative Finance (accepted) 2020.

Inverse optimization of convex risk functions. Management Science, (link) 2021.

Closed-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 Talks

Worst-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.


Special Topics (Optimization) (PhD)

Multivariate research methods (MSc in Management)

Financial risk management and derivatives securities (MSc in Management)

Business simulation analytics (BCom)

Business analytics (BCom)

Statistics for management (Bcom)


Operations Research, Management Science, Mathematical Finance, Mathematical Programming, SIAM Journal on Optimization, Mathematics of Operations Research, Operations Research Letters, Automatica, Annals of Operations Research