Jussi Keppo

National University of Singapore - NUS Business School

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Singapore, 117592

Singapore

  • National University of Singapore - NUS Business School

SCHOLARLY PAPERS

36

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SSRN CITATIONS
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55

CROSSREF CITATIONS

33

Scholarly Papers (36)

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1.

The Impact of Volcker Rule on Bank Profits and Default Probabilities

Number of pages: 71 Posted: 29 Oct 2012 Last Revised: 29 Apr 2020
Sohhyun Chung, Jussi Keppo and Xuchuan Yuan
University of Michigan at Ann Arbor - Department of Mathematics, National University of Singapore - NUS Business School and affiliation not provided to SSRN
Downloads 976 (33,287)
Citation 3

Abstract:

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bank capital, dividends, investment, banking regulation

2.

Are Monthly Market Returns Predictable?

Review of Asset Pricing Studies, forthcoming, Georgia Tech Scheller College of Business Research Paper No. 2015-12
Number of pages: 42 Posted: 11 Jul 2014 Last Revised: 15 Dec 2021
Jussi Keppo, Tyler Shumway and Daniel Weagley
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Georgia Institute of Technology - Scheller College of Business
Downloads 842 (40,925)

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Market timing, return predictability, bubbles, market crashes

3.

Risk Targeting and Policy Illusions - Evidence from the Announcement of the Volcker Rule

Number of pages: 50 Posted: 16 Jul 2014 Last Revised: 12 Jun 2016
Jussi Keppo and Josef Korte
National University of Singapore - NUS Business School and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 809 (43,226)
Citation 1

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Volcker Rule, proprietary trading, trading book, banking book, hedging, bank regulation

4.

Optimal Bank Capital with Costly Recapitalization

Downloads 809 ( 43,226)
Citation 31

Optimal Bank Capital with Costly Recapitalization

Number of pages: 49 Posted: 21 Dec 2004
Samu Peura and Jussi Keppo
Sampo Bank and National University of Singapore - NUS Business School
Downloads 809 (42,628)
Citation 31

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bank capital, dividends, capital issues, fixed cost, delay

Optimal Bank Capital with Costly Recapitalization

Journal of Business, Vol. 79, pp. 2163-2201, 2006
Posted: 11 Apr 2005
Samu Peura and Jussi Keppo
Sampo Bank and National University of Singapore - NUS Business School

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bank capital, dividends, capital issues, fixed cost, delay

5.

Risk, Financing and the Optimal Number of Suppliers

Number of pages: 43 Posted: 06 Jul 2006 Last Revised: 03 Apr 2012
Volodymyr Babich, Goker Aydin, Pierre-Yves Brunet, Jussi Keppo and Romesh Saigal
Georgetown University - McDonough School of Business, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 720 (50,419)
Citation 18

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joint operational and financial decisions, procurement, supply chain structure, trade credit, bank financing

6.

A Computational Scheme for the Optimal Strategy in an Incomplete Market

Downloads 515 ( 77,322)

A Computational Scheme for the Optimal Strategy in an Incomplete Market

Number of pages: 22 Posted: 11 Jan 2002
Jussi Keppo, Xu Meng and Michael G. Sullivan
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 515 (76,539)
Citation 3

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utility maximization, incomplete markets, endowment uncertainty, numerical methods

A Computational Scheme for the Optimal Strategy in an Incomplete Market

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Mar 2007
Jussi Keppo, Xu Meng and Michael G. Sullivan
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan at Ann Arbor - Department of Mathematics

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Utility maximization, incomplete markets, endowment uncertainty

7.

The Credits that Count: How Credit Growth and Financial Aid Affect College Tuition and Fees

Downloads 486 ( 82,943)

The Credits that Count: How Credit Growth and Financial Aid Affect College Tuition and Fees

Number of pages: 50 Posted: 24 Feb 2011 Last Revised: 22 Mar 2012
Katharina Ley Best and Jussi Keppo
University of Michigan Ann Arbor - Industrial and Operations Engineering and National University of Singapore - NUS Business School
Downloads 243 (175,566)

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Demand for Schooling, Educational Economics, Educational Finance, Student Financial Aid, Aggregate Supply & Demand

The Credits that Count: How Credit Growth and Financial Aid Affect College Tuition and Fees

Number of pages: 50 Posted: 18 Mar 2012
Katharina Ley Best and Jussi Keppo
University of Michigan Ann Arbor - Industrial and Operations Engineering and National University of Singapore - NUS Business School
Downloads 243 (175,566)

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demand for schooling, educational economics, educational finance, state and federal aid, student financial aid

8.

Fickle Fingers: Ride-Hail Surge Factors and Taxi Bookings

Number of pages: 49 Posted: 25 Apr 2018 Last Revised: 24 Jun 2020
Sumit Agarwal, Ben Charoenwong, Shih-Fen Cheng and Jussi Keppo
National University of Singapore, National University of Singapore - Department of Finance, Singapore Management University - School of Information Systems and National University of Singapore - NUS Business School
Downloads 381 (110,133)
Citation 1

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transportation economics, surge pricing, consumer behavior, big data analytics

9.

Smart City Investments under Dynamic Information Acquisition

Number of pages: 57 Posted: 17 Mar 2018 Last Revised: 25 Jun 2020
Jussi Keppo, Hong Ming Tan and Chao Zhou
National University of Singapore - NUS Business School, National University of Singapore (NUS) - NUS Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 363 (116,315)
Citation 1

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information, analytics, investment, leverage, smart city

10.

Bonus Caps, Deferrals and Bankers' Risk-Taking

Bank of Finland Research Discussion Paper No. 5/2015
Number of pages: 75 Posted: 02 Mar 2016 Last Revised: 18 Jun 2022
Esa Jokivuolle, Jussi Keppo and Xuchuan Yuan
Bank of Finland, Research Unit, National University of Singapore - NUS Business School and affiliation not provided to SSRN
Downloads 329 (129,473)

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banking, bonuses, regulation, compensation, Dodd–Frank Act

11.

Preferences of Public Transit Commuters: Evidence from Smart Card Data in Singapore

Georgetown McDonough School of Business Research Paper No. 3036259
Number of pages: 47 Posted: 15 Sep 2017 Last Revised: 05 Oct 2020
Sumit Agarwal, Mi Diao, Jussi Keppo and Tien Foo Sing
National University of Singapore, National University of Singapore (NUS) - Department of Real Estate, National University of Singapore - NUS Business School and National University of Singapore (NUS) - Department of Real Estate
Downloads 322 (132,395)

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Public transportation, travel preference, value of travel time, value of reliability, big data

12.

Herding in Probabilistic Forecasts

Number of pages: 100 Posted: 01 Oct 2020 Last Revised: 18 Jan 2022
Yanwei Jia, Jussi Keppo and Ville Satopää
Columbia University - Department of Industrial Engineering and Operations Research, National University of Singapore - NUS Business School and INSEAD - Technology and Operations Management
Downloads 320 (133,223)
Citation 1

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Asymmetric Information Game, Bayesian Statistics, Economic Forecasting, Public Disclosure

13.

Dynamic Contracting in Asset Management under Investor-Partner-Manager Relationship

Number of pages: 82 Posted: 18 Feb 2021 Last Revised: 08 Aug 2022
Jussi Keppo, Nizar Touzi and Ruiting Zuo
National University of Singapore - NUS Business School, Ecole Polytechnique, Paris and National university of Singapore
Downloads 318 (134,070)

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Principal-agent model, moral hazard, stochastic optimal control

14.

Learning Manipulation Through Information Dissemination

Operations Research, Accepted
Number of pages: 58 Posted: 16 Oct 2019 Last Revised: 07 Sep 2021
Jussi Keppo, Michael Jong Kim and Xinyuan Zhang
National University of Singapore - NUS Business School, Sauder School of Business, University of British Columbia and Sauder School of Business, University of British Columbia
Downloads 314 (135,903)
Citation 1

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Bayesian dynamic programming, learning, misinformation, information disclosure, social learning, information design

15.

Unintended Consequences of the Market Risk Requirement in Banking Regulation

Number of pages: 46 Posted: 30 Mar 2007 Last Revised: 29 Mar 2010
Jussi Keppo, Leonard Kofman and Xu Meng
National University of Singapore - NUS Business School, Bank of Montreal and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 255 (168,142)
Citation 2

Abstract:

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bank capital, dividends, capital issues, investment, bank regulation

16.

Opaque Bank Assets and Optimal Equity Capital

Journal of Economic Dynamics and Control, Vol. 100, 2019
Number of pages: 69 Posted: 02 Jun 2016 Last Revised: 21 May 2020
Min Dai, Shan Huang and Jussi Keppo
The Hong Kong Polytechnic University, Georgia Institute of Technology and National University of Singapore - NUS Business School
Downloads 250 (171,398)
Citation 2

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bank capital, dividends, investment, earnings smoothing, banking regulation

17.

The Crowdfunding Effects on Venture Capital Investment

Number of pages: 49 Posted: 17 Jan 2020 Last Revised: 20 Apr 2022
Ming Hu, Yannan Jin and Jussi Keppo
University of Toronto - Rotman School of Management, Shanghai University of Finance and Economics and National University of Singapore - NUS Business School
Downloads 244 (175,441)

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crowdfunding, public information, venture capital, competition

18.

Learning by Driving: Evidence from Taxi Driver Wages in Singapore

Number of pages: 38 Posted: 08 Dec 2015 Last Revised: 06 Nov 2016
Sumit Agarwal, Shih-Fen Cheng, Jussi Keppo and Ryoko Sato
National University of Singapore, Singapore Management University - School of Information Systems, National University of Singapore - NUS Business School and National University of Singapore (NUS)
Downloads 237 (180,428)
Citation 3

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Learning-by-doing, Wages, Labor Supply, Taxi Drivers

19.

Bonus Caps, Deferrals and Bankers' Risk-Taking

Bank of Finland Research Discussion Paper No. 5/2015
Number of pages: 75 Posted: 01 Oct 2019
Esa Jokivuolle, Jussi Keppo and Xuchuan Yuan
Bank of Finland, Research Unit, National University of Singapore - NUS Business School and affiliation not provided to SSRN
Downloads 235 (181,906)

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banking, bonuses, regulation, compensation, Dodd-Frank Act

20.

The Demand for Information: More Heat than Light

Number of pages: 37 Posted: 24 Feb 2005
Jussi Keppo, Giuseppe Moscarini, Giuseppe Moscarini and Lones Smith
National University of Singapore - NUS Business School, Yale University - Department of EconomicsCowles Foundation for Research in Economics and University of Wisconsin at Madison - Department of Economics
Downloads 228 (187,157)
Citation 2

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Value of information, Non-concavity, Heat equation, Demand, Bayesian analysis

21.

Incentive Design and Pricing under Limited Inventory

Number of pages: 38 Posted: 22 Dec 2021
Ruiting Zuo, Tinglong Dai and Jussi Keppo
National university of Singapore, Johns Hopkins University - Carey Business School and National University of Singapore - NUS Business School
Downloads 219 (194,576)

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Incentive design, moral hazard, pricing, limited inventory, marketing-operations interface

22.

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Downloads 218 (195,429)
Citation 12

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, No. 2, pp. 215-236, 2009
Number of pages: 33 Posted: 30 Apr 2007 Last Revised: 13 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 215 (197,611)

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Optimal Consumption and Investment, Inflation, Stochastic Control with partial observations, Separation Principle, Zakai Equation

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, Issue 2, pp. 215-236, April 2009
Number of pages: 22 Posted: 27 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 3 (899,687)
Citation 4

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23.

Bayesian Herd Detection for Dynamic Data

Number of pages: 66 Posted: 18 Mar 2020 Last Revised: 18 Jan 2022
Jussi Keppo and Ville Satopää
National University of Singapore - NUS Business School and INSEAD - Technology and Operations Management
Downloads 197 (214,419)

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Bayesian statistics, Dynamic modeling, Gaussian process, Judgmental forecasting, Imperfect information game

24.

When Does Data Sharing Promote Innovation?

Number of pages: 61 Posted: 02 Sep 2021 Last Revised: 15 Jun 2022
Zhi Chen and Jussi Keppo
Business School, National University of Singapore and National University of Singapore - NUS Business School
Downloads 189 (222,413)

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data sharing, innovation contest, voluntary sharing, data regulation, autonomous vehicle

25.

Option Pricing with an Exponential Effect Function

Number of pages: 14 Posted: 17 Apr 2004
Mattias Jonsson, Jussi Keppo and Xu Meng
University of Michigan at Ann Arbor - Department of Mathematics, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 166 (248,424)
Citation 4

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26.

Misconduct in Organizations

Number of pages: 32 Posted: 27 Jan 2020 Last Revised: 06 Nov 2021
Minglong Zhou, Jussi Keppo and Esa Jokivuolle
Fudan University - School of Management, National University of Singapore - NUS Business School and Bank of Finland, Research Unit
Downloads 155 (263,039)

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27.

Do Hacker Groups Pose a Risk to Organizations? Study on Financial Institutions Targeted by Hacktivists

Number of pages: 43 Posted: 29 Apr 2021 Last Revised: 12 Jul 2021
Jussi Keppo and Mikko Niemela
National University of Singapore - NUS Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 151 (268,593)

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Cyber risk, risk management, hacking campaign, financial institution

28.

Optimal Electoral Timing: Exercise Wisely and You May Live Longer

Cowles Foundation Discussion Paper No. 1565
Number of pages: 43 Posted: 10 May 2006 Last Revised: 05 Oct 2007
Jussi Keppo, Lones Smith and Dmitry Davydov
National University of Singapore - NUS Business School, University of Wisconsin at Madison - Department of Economics and Goldman Sachs Group, Inc. - Equities Risk Management
Downloads 148 (273,014)
Citation 3

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American option, optimal stopping

29.

Hiring, Firing, and Relocation under Employment Protection

Number of pages: 55 Posted: 30 Oct 2014 Last Revised: 02 Apr 2015
Min Dai, Jussi Keppo and Tim A Maull
The Hong Kong Polytechnic University, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 131 (300,066)

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Labor market frictions, job reallocation, stochastic control

30.

A Major Choice: An Examination of Higher Education and Ability-Adjusted Income

Number of pages: 46 Posted: 19 Apr 2014
Katharina Ley Best and Jussi Keppo
University of Michigan Ann Arbor - Industrial and Operations Engineering and National University of Singapore - NUS Business School
Downloads 58 (491,052)

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Post-college income, debiasing, major choice, college choice, enrollment choice, conditional logistic model

31.

Anticipated Income Shock and Labor Supply

Number of pages: 38 Posted: 26 Jul 2017 Last Revised: 04 Aug 2018
Sumit Agarwal, Shih-Fen Cheng, Jussi Keppo and Kang Mo Koo
National University of Singapore, Singapore Management University - School of Information Systems, National University of Singapore - NUS Business School and Hana Institute of Finance
Downloads 36 (594,082)

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Income shock, labor supply, pension withdrawal, taxi, intensive margin, extensive margin

32.

Causal Effects of Alcohol Consumption on Health-related Consequences: Evidence from Finland

Number of pages: 33 Posted: 13 Apr 2022
Sumit Agarwal, Jussi Keppo, Zhiwen Wang and Zoe Yang
National University of Singapore, National University of Singapore - NUS Business School, Centre for Family and Population Research, National University of Singapore and The Chinese University of Hong Kong - CUHK Business School
Downloads 27 (649,622)

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Alcohol consumption, Diseases, Crimes, Cross-border shopping

33.

Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices

Mathematical Finance, 19(2), April 2009, 215-236
Number of pages: 33 Posted: 17 Jun 2020
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 9 (799,737)

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optimal consumption and investment, inflation, stochastic control with partial observations, separation principle, Zakai equation.

34.

What is the True Cost of Active Management? A Comparison of Hedge Funds and Mutual Funds

https://doi.org/10.3905/jai.2014.17.2.009
Posted: 21 May 2019
Jussi Keppo and Antti Petajisto
National University of Singapore - NUS Business School and New York University (NYU) - Department of Finance

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Management fee, performance fee, hedge fund, mutual fund

35.

A Game Model of Irreversible Investment Under Uncertainty

International Game Theory Review, Vol. 4, No. 2, pp. 127-140, 2002
Posted: 29 Sep 2009
Pauli Murto and Jussi Keppo
Helsinki School of Economics & Business Administration and National University of Singapore - NUS Business School

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Real options, irreversible investment, game theory, uncertainty, telecommunication

36.

Pricing of Electricity Swing Options

Journal of Derivatives, Vol. 11, pp. 26-43, 2004
Posted: 05 Feb 2004
Jussi Keppo
National University of Singapore - NUS Business School

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Derivative pricing, electricity market, consumption uncertainty