Jonathan Y. Li

Publication Activity (10 Years)

Years Active: 2012-2016
Publications (10 Years): 1

Top Topics

Semidefinite Programming

Influence Diagrams

Robust Optimization

Top Venues

Ann. Oper. Res.

Oper. Res. Lett.

J. Glob. Optim.

Publications

Roy H. Kwon, Jonathan Y. Li
A stochastic semidefinite programming approach for bounds on option pricing under regime switching. Ann. Oper. Res. 237 (1-2) (2016)
Jonathan Y. Li, Roy H. Kwon
Portfolio selection under model uncertainty: a penalized moment-based optimization approach. J. Glob. Optim. 56 (1) (2013)
Jonathan Y. Li, Roy H. Kwon
Market price-based convex risk measures: A distribution-free optimization approach. Oper. Res. Lett. 40 (2) (2012)