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.
Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Submitted) 2016
Inverse Optimization of Convex Risk Functions (Submitted) 2016
Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous (with Erick Delage) Forthcoming in Management Science, 2016
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.
Financial Risk Management and Derivative Securities (MSc in Management)
Business Analytics (BCom)
Statistics for Management (BCom)
Operations Research, Management Science, SIAM Journal on Optimization, Mathematics of Operations Research, Operations Research Letters, Automatica