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Jonathan Yu-Meng Li
Observed names:
Li, Jonathan Yu-Meng,
Li, Jonathan Yumeng
Institution:
University of Ottawa
Observed institution:
University of Ottawa
ORCID:
0000-0002-8508-0526
Observed ORCID:
0000-0002-8508-0526
OpenAlex ID:
A5069476492
Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
2018
·
Jonathan Yu-Meng Li
·
Operations Research
·
46
Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
2016
·
Jonathan Yu-Meng Li
·
SSRN Electronic Journal
·
20
Distributionally Robust Optimization Under Distorted Expectations
2023
·
Jun Cai
, Jonathan Yu-Meng Li
, et al.
·
Operations Research
·
18
Equal risk pricing and hedging of financial derivatives with convex risk measures
2021
·
Saeed Marzban
, Erick Delage
, et al.
·
Quantitative Finance
·
13
Inverse Optimization of Convex Risk Functions
2020
·
Jonathan Yu-Meng Li
·
Management Science
·
13
Distributionally Robust Optimization under Distorted Expectations
2020
·
Jun Cai
, Jonathan Yu-Meng Li
, et al.
·
SSRN Electronic Journal
·
13
WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management
2023
·
Saeed Marzban
, Erick Delage
, et al.
·
Operations Research Letters
·
6
A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications
2022
·
Jonathan Yu-Meng Li
, Tiantian Mao
·
SSRN Electronic Journal
·
6
Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth
2023
·
Jonathan Yu-Meng Li
·
SSRN Electronic Journal
·
5
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
2025
·
Qinyu Wu
, Jonathan Yu-Meng Li
, et al.
·
Management Science
·
4
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
2021
·
Marzban, Saeed
, Delage, Erick
, et al.
·
RePEc: Research Papers in Economics
·
2
PDF
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures
2021
·
Marzban, Saeed
, Delage, Erick
, et al.
·
RePEc: Research Papers in Economics
·
1
PDF
Natural Language Processing for Risk Stratification of Emergency Department Patients with Chest Pain
2026
·
Reza Valimoradi
, George Cao
, et al.
·
CJC Open
PDF
The Virtue of Sparsity in Complexity
2026
·
Nima Afsharhajari
, Jonathan Yu-Meng Li
·
SSRN Electronic Journal
Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework
2025
·
Xie, Xinqiao
, Li, Jonathan Yu-Meng
·
arXiv (Cornell University)
PDF
Reconciling Risk-Aversion Paradoxes in the Distribution-Free Newsvendor Problem: Scarf's Rule Meets Dual Utility
2025
·
Jonathan Yu-Meng Li
, Tiantian Mao
, et al.
·
SSRN Electronic Journal
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Works count:
16
Citation count:
147
H-index:
6
I10-index:
6
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