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

Email : at telfer dot uottawa dot ca


Co-organizing the workshop of Quantitative Risk Management and Financial Analytics, May 10, 2018.

About my research

My research has been focused on developing analytical models for optimization under uncertainty. In particular, most problems that I have been working on are related to risk management, where the adverse impact of uncertain outcomes needs to be minimized. This type of problems are prevalent in finance and have received plenty of attention in other areas as well. In general, I work in the fields of operations research, financial engineering, and business analytics. 

Technically speaking, I am interested in the interplay between (mostly convex) optimization theory and risk theory, which provides the basis for understanding the structure of risk-averse solutions and improving the efficiency of finding the solutions. Topics related to this include (distributionally) robust optimization, convex risk measures, and preference robust optimization. 

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

Inverse optimization of convex risk functions. (R&R in Management Science, 2018)


Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization. accepted in Operations Research, 2018. pdf

Minimizing risk exposure when the choice of a risk measure is ambiguous (with Erick Delage) Management Science, 2017. pdf

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.


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 Programming, SIAM Journal on Optimization, Mathematics of Operations Research, Operations Research Letters, Automatica, Annals of Operations Research