Jonathan Yu-Meng Li

Publication Activity (10 Years)

Years Active: 2018-2023
Publications (10 Years): 7

Top Topics

Top Venues

Oper. Res. Lett.

Publications

Saeed Marzban, Erick Delage, Jonathan Yu-Meng Li, Jeremie Desgagne-Bouchard, Carl Dussault
WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management. Oper. Res. Lett. 51 (6) (2023)
Qinyu Wu, Jonathan Yu-Meng Li, Tiantian Mao
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization. CoRR (2022)
Jonathan Yu-Meng Li
Inverse Optimization of Convex Risk Functions. Manag. Sci. 67 (11) (2021)
Saeed Marzban, Erick Delage, Jonathan Yu-Meng Li
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. CoRR (2021)
Saeed Marzban, Erick Delage, Jonathan Yu-Meng Li, Jeremie Desgagne-Bouchard, Carl Dussault
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management. CoRR (2021)
Erick Delage, Jonathan Yu-Meng Li
Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous. Manag. Sci. 64 (1) (2018)
Jonathan Yu-Meng Li
Technical Note - Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization. Oper. Res. 66 (6) (2018)