Technical Note - Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization. - Jonathan Yu-Meng Li (Oper. Res., 2018)

Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous. - Erick Delage; Jonathan Yu-Meng Li (Manag. Sci., 2018)

Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. - Saeed Marzban; Erick Delage; Jonathan Yu-Meng Li (CoRR, 2021)

WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management. - Saeed Marzban; Erick Delage; Jonathan Yu-Meng Li; Jeremie Desgagne-Bouchard; Carl Dussault (CoRR, 2021)

Inverse Optimization of Convex Risk Functions. - Jonathan Yu-Meng Li (Manag. Sci., 2021)

On Generalization and Regularization via Wasserstein Distributionally Robust Optimization. - Qinyu Wu; Jonathan Yu-Meng Li; Tiantian Mao (CoRR, 2022)

WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management. - Saeed Marzban; Erick Delage; Jonathan Yu-Meng Li; Jeremie Desgagne-Bouchard; Carl Dussault (Oper. Res. Lett., 2023)

Distributionally Robust Optimization Under Distorted Expectations. - Jun Cai; Jonathan Yu-Meng Li; Tiantian Mao (Oper. Res., 2025)