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Jussi Keppo

Associate Professor

Co-Director, Master of Science (Business Analytics)

Biography

Professor Keppo teaches risk management and business analytics courses.

He has several publications in the top-tier journals such as Journal of Economic Theory, Review of Economic Studies, Management Science, and Journal of Business on topics such as investment analysis, information economics, and banking regulation. His research has been featured also in numerous business and popular publications, including the Wall Street Journal and Fortune.

His research has been supported by several Asian, European, and US agencies such as the National Science Foundation.

He serves on the editorial boards of Mathematics of Operations Research, Journal of Risk, Production and Operations Management, and Journal of Energy Markets. He has consulted several Fortune 100 and asset management companies.

Research Interests

Methodological

  • Stochastic control
  • Statistical analysis of stochastic processes
  • Optimization

Applications

  • Risk management
  • Information economics
  • Investment under uncertainty
  • Production optimization
  • Asset pricing

Papers

Downloadable Papers

Published Papers

  • "Risk Targeting and Policy Illusions - Evidence from the Announcement of the Volcker Rule," (co-authored with J. Korte), Management Science, forthcoming.
  • "Hiring, Firing, and Relocation under Employment Protection," (co-authored with M. Dai and T. Maull), Journal of Economic Dynamics and Control, 2015, 56, pp. 55-81.
  • "What is the true cost of active management? A comparison of hedge funds and mutual funds," (co-authored with A. Petäjistö), Journal of Alternative Investments, 2014, 17, pp. 9-24.
  • "The Credits that Count: How Credit Growth and Financial Aid Affect College Tuition and Fees," (co-authored with Katharina Best), Education Economics, 2012, pp 1-25.
  • "Risk Management in Electric Utilities," (co-authored with S.-E. Fleten and E. Näsäkkälä) in Handbook of Integrated Risk Management in Global Supply Chains (edited by O. Boyabatli, L. Dong, P. Kouvelis, and R. Li), John Wiley & Sons, 2012.
  • "Risk, Financing and the Optimal Number of Suppliers," (co-authored with V. Babich, G. Aydin, P-Y. Brunet, and R. Saigal) in Supply Chain Disruptions (edited by H. Gurnani, A. Mehrotra, and S. Ray), Springer-Verlag, 2010.
  • "Unintended Consequences of the Market Risk Requirement in Banking Regulation," (co-authored with L. Kofman and X. Meng), Journal of Economic Dynamics and Control, 2010, 34, pp. 2192-2214.
  • "Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices," (co-authored with A. Bensoussan and S.P. Sethi), Mathematical Finance, 2009, 19, pp. 215-236.
  • "Hydropower with Financial Information," (co-authored with E. Näsäkkälä), Applied Mathematical Finance, 2008, 15, pp. 1 – 27.
  • "Optimal Electoral Timing: Exercise Wisely and You May Live Longer," (co-authored with L. Smith and D. Davydov), Review of Economic Studies, 2008, 75, pp. 597-628.
  • "The demand for information: more heat than light," (co-authored with G. Moscarini and L. Smith), Journal of Economic Theory, 2008, 138, pp. 21-50.
  • "A Computational Scheme for the Optimal Strategy in an Incomplete Market," (co-authored with X. Meng and M. G. Sullivan), Journal of Economic Dynamics and Control, 2007, 31, pp. 3591-3613.
  • "Optimal bank capital with costly recapitalization," (co-authored with S. Peura), Journal of Business, 2006, 79, pp. 2163-2201.
  • "Pricing of point-to-point bandwidth contracts," Mathematical Methods of Operations Research, 2005, 61, pp. 191-218.
  • "Electricity load pattern hedging with static forward strategies," (co-authored with E. Näsäkkälä), special issue on Energy Pricing and Risk Management, Managerial Finance, 2005, 6, pp. 115-136.
  • "Pricing of Swing Options," Journal of Derivatives, 2004, 11, pp. 26-43.
  • "Modeling Electricity Forward Curve Dynamics in the Nordic Market," (co-authored with N. Audet, P. Heiskanen, and I. Vehviläinen) in Modeling Prices in Competitive Electricity Markets (edited by D. W. Bunn), Wiley Series in Financial Economics, 2004.
  • "Timing of investments in oligopoly under uncertainty: A framework for numerical analysis," (co-authored with P. Murto and E. Näsäkkälä), European Journal of Operational Research, 2004, 157, pp. 486-500.
  • "Real Options and a Large Producer: the Case of Electricity Markets," (co-authored with H. Lu), Energy Economics, 2003, 25, pp. 459-472.
  • "Optimality with telecommunications network," IMA Journal Management Mathematics, 2003, 13, pp. 211-224.
  • "Managing electricity market risk," (co-authored with I. Vehviläinen), European Journal of Operational Research, 2003, 145, pp. 136-147.
  • "Option pricing for large agents," (co-authored with M. Jonsson), Applied Mathematical Finance, 2002, 9, pp. 261-272.
  • "Optimality with hydropower system," IEEE Transactions on Power Systems, 2002, 3, pp. 583-589.
  • "A Game Model of Irreversible Investment under Uncertainty," (co-authored with P. Murto), International Game Theory Review, 2002, 4, pp. 127-140.
  • "Delivery lags, uncertainty, and irreversible investment," (co-authored with L. Alvarez), European Journal of Operational Research, 2002, 136, pp. 173-180.
  • "Optimal portfolio hedging with nonlinear derivatives and transactions costs," (co-authored with S. Peura), Computational Economics, 1999, 13, pp. 117-145.
  • "Pricing of electricity tariffs in competitive markets," (co-authored with M. Räsänen), Energy Economics, 1999, 21, pp. 213-223.
  • "Calling for the true margin," Applied Financial Economics, 1997, 7, pp. 207-212.

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Consulting and Industry Projects

  • Alfred Berg ABN AMRO
  • ANZ
  • Applifier
  • ArrowStreet Capital
  • Bank of Finland
  • Bayer Health Care
  • CD Financial Technology Ltd.
  • ConocoPhillips
  • DBS Bank
  • Dow Chemicals
  • DTE Energy Trading
  • EigenValue Ltd.
  • Eli Lilly and Company
  • Finnish Options Exchange
  • Fortum Power and Heat
  • Precision Executive Search360 Ltd.
  • Gaia Group
  • Helsinki Energy
  • Institute for Infocomm Research
  • Integrys Energy Services
  • Maplewood Ltd.
  • Merit Network
  • Necessity & Chance LLC
  • OCBC Bank
  • Postipankki Ltd.
  • R-Klinik
  • Unilever
  • University Financial Associates LLC
  • Xerox
  • WorldQuant