Jonathan Yu-Meng Li
Assistant Professor, 
Telfer School of Management, University of Ottawa

PhD - 
University of Toronto
MASc - McMaster University

Email : Jonathan.li at telfer dot uottawa dot ca
      


I work on topics arising from the fields of operations research, business analytics and financial engineering. Most of my research focuses on the aspect of risk management, which in general has to do with how uncertainty should be dealt with and how associated risk can be well captured. Methodologically speaking, I work on developing new optimization models that take into account different facets of uncertainty present in most decision making processes. Some of these models are known as robust optimization models. There are many open questions regarding the choice of modelling techniques, which have to be examined from both theoretical and pragmatic point of view. 

I have a particular interest in the area of financial engineering, and I work on projects related to portfolio optimization, derivative pricing, and risk measure modelling.  I am also interested in real option analysis and its use in decision analysis.
 


                                     Working Papers 

                                        (Year of 2016)




Publications 

(Year of 2016)
  • Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous (with Erick Delage) Management Science

(Year of 2014)
  • A Stochastic Semi-definite Programming Approach for Bounds on Option Pricing under Regime Switching. (with Roy H. Kwon) Annals of Operations Research
(Year of 2013)
  • Portfolio Selection under Model Uncertainty: a Penalized Moment-Based Optimization Approach. (with Roy H. Kwon) Journal of Global Optimizationlink
(Year of 2012)
  • A Moment  Approach to Bounding  Exotic Options under Regime Switching (with Michael J. Kim and Roy H. Kwon) Optimization, May 2012. link
  • Market Price-Based Convex Risk Measures:a Distribution-Free Optimization Approach(with Roy H. Kwon) Operations Research Letters, v. 40 (2), 128-133,  2012. link