Jonathan Yu-Meng Li

Telfer School of Management, University of Ottawa

Associate Professor

136 Jean-Jacques Lussier Street

Ottawa, Ontario K1N 6N5

Canada

  • Telfer School of Management, University of Ottawa

SCHOLARLY PAPERS

5

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752

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15

Scholarly Papers (5)

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1.

Distributionally Robust Optimization under Distorted Expectations

Number of pages: 68 Posted: 16 Apr 2020
Jun Cai, Jonathan Yu-Meng Li and Tiantian Mao
University of Waterloo - Department of Statistics and Actuarial Science, Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 397 (152,399)
Citation 8

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Distributionally robust optimization, distortion risk measure, convex risk measure, convex envelope

2.

Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth

Number of pages: 16 Posted: 03 Mar 2023
Jonathan Yu-Meng Li
Telfer School of Management, University of Ottawa
Downloads 136 (428,638)

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3.

Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

Number of pages: 16 Posted: 14 Sep 2016
Jonathan Yu-Meng Li
Telfer School of Management, University of Ottawa
Downloads 95 (558,270)
Citation 5

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4.

A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications

Number of pages: 58 Posted: 27 Jul 2022
Jonathan Yu-Meng Li and Tiantian Mao
Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 84 (601,979)
Citation 2

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Wasserstein distributionally robust optimization, Optimal transport, Coherent risk measures

5.

On Generalization and Regularization via Wasserstein Distributionally Robust Optimization

Number of pages: 45 Posted: 22 Dec 2022
Qinyu Wu, Jonathan Yu-Meng Li and Tiantian Mao
University of Science and Technology of China (USTC) - Department of Statistics and Finance, Telfer School of Management, University of Ottawa and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 40 (853,361)

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distributionally robust optimization, Wasserstein metrics, finite-sample guarantees, regularization