Portrait of Jonathan Yu‑Meng Li

Jonathan Yu‑Meng Li

RBC Financial Group Professor in Risk Analytics

Associate Professor · Telfer School of Management · University of Ottawa

Ph.D. (University of Toronto)

Principal Coordinator, Center for Responsible Wealth Transition · Coordinator, Risk Intelligence & Resilient Solutions

✉️ Email 🌐 CRWT 🧭 Risk Intelligence

Research Focus

Quantitative Finance and Risk Management
  • Portfolio management
  • Asset pricing
Operations Management
  • Inventory management
ML & AI
  • Reinforcement learning
  • Deep learning
  • Generative AI
Optimization
  • Data‑driven optimization
  • Distributionally robust optimization
  • Preference‑robust optimization
  • Inverse optimization
Risk Models
  • Worst-case risk measurements
  • Risk preference learning
  • Generative models for risk

Working papers

* indicates student

Publications

2025 On generalization and regularization via Wasserstein distributionally robust optimization. Management Science (accepted). (with Qinyu Wu* and Tiantian Mao)
2025 Distributionally robust optimization under distorted expectations. Operations Research, 73(2), 969–985. (with Jun Cai and Tiantian Mao)
2023 WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management. Operations Research Letters, 51(6), 680–686. (with Saeed Marzban*, Erick Delage, Jeremie Desgagne‑Bouchard, and Carl Dussault)
2023 Deep reinforcement learning for equal risk pricing and hedging under dynamic expectile risk measures. Quantitative Finance, 23(10), 1411–1430. (with Saeed Marzban* and Erick Delage)
2022 Equal risk pricing and hedging of financial derivatives with convex risk measures. Quantitative Finance, 22(1), 47–73. (with Saeed Marzban* and Erick Delage)
2021 Inverse optimization of convex risk functions. Management Science, 67(11), 6629–7289.
2018 Closed‑form solutions for worst‑case law invariant risk measures with application to robust portfolio optimization. Operations Research, 66(6), 1457–1759.
2018 Minimizing risk exposure when the choice of a risk measure is ambiguous. Management Science, 64(1), 327–344. (with Erick Delage)
2016 A stochastic semidefinite programming approach for bounds on option pricing under regime switching. Annals of Operations Research, 237(1–2), 41–75. (with Roy H. Kwon)
2013 Portfolio selection under model uncertainty: a penalized moment‑based optimization approach. Journal of Global Optimization, 56(1), 131–164. (with Roy H. Kwon)
2012 A moment approach to bounding exotic options under regime switching. Optimization, 61(10), 1253–1269. (with Michael Jong Kim and Roy H. Kwon)
2012 Market price‑based convex risk measures: a distribution‑free optimization approach. Operations Research Letters, 40(2), 128–133. (with Roy H. Kwon)

Students & Fellows

Postdoctoral Fellow

PhD Students

Teaching

Current Courses

Past Courses