J. Li

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

J. Li, 2016, 1609.04065.

Distributionally Robust Optimization under Distorted Expectations

Jonathan Yu-Meng Li, Jun Cai, J. Li, 2020, SSRN Electronic Journal.

Inverse Optimization of Convex Risk Functions

J. Li, 2016, 1607.07099.

Comprehensive Robustness via Moment-based Optimization : Theory and Applications

Jonathan Yu-Meng Li, J. Li, 2012 .

Equal risk pricing and hedging of financial derivatives with convex risk measures

Jonathan Yu-Meng Li, E. Delage, J. Li, 2020, Quantitative Finance.

A moment approach to bounding exotic options under regime switching

Jonathan Yu-Meng Li, J. Li, M. J. Kim, 2012 .

A Moment Approach to Pricing Exotic Options Under Regime-Switching

J. Li, R. Kwon, 2011 .