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)
M.A.Sc. (McMaster University)

Principal coordinator for Center for a Responsible Wealth Transition (CRWT)
Coordinator for Risk Intelligence and Resilient Solutions

Research interests

Operations, Finance, and Risk Management

• Portfolio management

• Derivative pricing

• Inventory management

Optimization

• Data-driven optimization

• Distributionally robust optimization

• Preference robust optimization

• Inverse optimization

Machine Learning

• Reinforcement learning

• Deep learning

Risk Measures

(*co-authored by a student)

Working papers

• Reconciling risk-aversion paradoxes in the distribution-free newsvendor problem: Scarf's rule meets dual utility. (with Tiantian Mao and Reza Valimoradi*)

• Wasserstein-Kelly portfolios: a robust data-driven solution to optimize portfolio growth.

• On generalization and regularization via Wasserstein distributionally robust optimization. (with Qinyu Wu* and Tiantian Mao)

• A general Wasserstein framework for data-driven distributionally robust optimization: tractability and applications. (with Tiantian Mao)
  
  

Publications

• [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)
  
  

Teaching

• Optimization (PhD)

• Multivariate Research Methods (MSc)

• Foundations for Quantitative Methods (MSc) : Introduction to Econometrics

• Financial Risk Management & Derivative Securities (MSc)

• Business Analytics (BCom)

• Business Simulation Analytics (BCom)

• Statistics for Management (BCom)