Jonathan Yu-Meng Li

Orcid: 0000-0002-8508-0526

According to our database1, Jonathan Yu-Meng Li authored at least 7 papers between 2018 and 2023.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

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In proceedings 
Article 
PhD thesis 
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Links

On csauthors.net:

Bibliography

2023
WaveCorr: Deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management.
Oper. Res. Lett., November, 2023

2022
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization.
CoRR, 2022

2021
Inverse Optimization of Convex Risk Functions.
Manag. Sci., 2021

WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management.
CoRR, 2021

Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures.
CoRR, 2021

2018
Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous.
Manag. Sci., 2018

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


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