Jonathan Li holds a Ph.D. from the Mechanical and Industrial Engineering Department at the University of Toronto. He received his B.Sc degree in Physics from National Sun Yat-Sen University in 2003, and his M.A.Sc. degree in Computational Engineering and Science from McMaster University in 2008.
Professor Li's research interests focus on business analytics, operations research, and financial engineering. At the centre of his work are risk management problems that involve quantifying and modelling risk. Robust solutions to these problems contribute to more reliable decisions, ones less prone to uncertainty from market behaviour, stock prices, supply and demand characteristics, and other hard-to-predict phenomena. To this end, professor Li seeks to better understand and control uncertainty, using tools such as optimization algorithms and statistical learning. He has a particular interest in the area of financial engineering and his current projects tackle portfolio management, derivative pricing, and risk hedging. He is also involved in supply chain management projects.
|2020-2022||NSERC||Extension of Modeling and Optimization of Risk Measures||R||C||PI||$ 47,520|
|2020-2021||Mitacs (Brane Capital)||A Deep Risk-Sensitive Reinforcement Learning Framework for Portfolio Management||R||O||Co-PI||$ 15,000|
|2019-2020||Mitacs (EVOVEST)||Portfolio Management by Reinforcement Learning||R||O||Co-PI||$ 30,000|
|2015||IBM CBAP||Developing robust measures for quantitative risk management||R||I||PI||$ 5,000|
|2014-2019||NSERC||Modeling and Optimization of Risk Measures||R||C||PI||$ 110,000|
|2014-2015||Telfer School of Management Research Fund (SMRF)||Optimizing surgical scheduling using robust optimization||R||I||Co-PI||$ 6,000|
|2014-2015||Telfer School of Management Research Fund (SMRF)||Modeling and Optimization of Risk Measures||R||I||PI||$ 6,000|
|2014-2015||RDP||Modeling and Optimization of Risk Measures||R||I||PI||$ 6,000|
C: Contract (R and D) | E: Equipment Grant | R: Research Grant | S: Support Award | P: Pedagogical Grant | O: Other, U: Unknown
C: Granting Councils | G: Government | F: Foundations | I: UO Internal Funding | O: Other | U: Unknown
PI = Principal Investigator | Co-I = Co-Investigator | Co-PI = Co-Principal Investigator