Jonathan Y. Li

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
WaveCorr: deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management Operations Research Letters	2024-06-17	Paper
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures Quantitative Finance	2023-11-07	Paper
A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications	2022-07-19	Paper
Equal risk pricing and hedging of financial derivatives with convex risk measures Quantitative Finance	2022-04-05	Paper
Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization Operations Research	2020-11-08	Paper
A stochastic semidefinite programming approach for bounds on option pricing under regime switching Annals of Operations Research	2016-05-19	Paper
Portfolio selection under model uncertainty: a penalized moment-based optimization approach Journal of Global Optimization	2013-06-14	Paper
A moment approach to bounding exotic options under regime switching Optimization	2012-12-13	Paper
Market price-based convex risk measures: a distribution-free optimization approach Operations Research Letters	2012-07-12	Paper

Research outcomes over time

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