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Jussi Keppo Associate Professor
IOE Department, University of Michigan 1205 Beal Avenue, Ann Arbor, MI 48109-2117, USA Office: 2885 IOE, Tel: +1 734 615 4045, Fax: +1 734 764 3451, E-mail: keppo@umich.edu
Office Hours By appointment
Research Interests Methodological: stochastic control, statistical analysis of stochastic processes, optimization. Applications: asset pricing, information economics, modeling of telecommunication networks, production optimization, optimal investment under uncertainty, portfolio theory, risk management.
Comments Hey U, What is going on?, July 5, 2009. Oil Speculation, July 8, 2008.
Downloadable Papers What is the True Cost of Active Management? A Comparison of Hedge Funds and Mutual Funds (with Antti Petajisto), this version: January 18, 2012. The Credits that Count: How Credit Growth and Financial Aid Inflate College Tuition and Fees (with Katharina Ley), this version: November 16, 2011. Data. Unintended Consequences of the Market Risk Requirement in Banking Regulation (with Leonard Kofman and Xu Meng), this version: March 29, 2010. Risk, financing and the optimal number of suppliers (with Volodymyr Babich, Goker Aydin, Pierre-Yves Brunet, and Romesh Saigal), this version: May 28, 2010. Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices (with Alain Bensoussan and Suresh P. Sethi), this version: April 13, 2009. Optimal Electoral Timing: Exercise Wisely and You May Live Longer (with Lones Smith and Dmitry Davydov), this version: October 5, 2007. Call routing with continuous uncertainties (with Aniket Gune), this version: March 2, 2006. A Computational Scheme for the Optimal Strategy in an Incomplete Market (with Xu Meng and Michael G. Sullivan), this version: November 18, 2006. Optimal bank capital with costly recapitalization (with Samu Peura), this version: February 4, 2005. The demand for information: more heat than light (with Giuseppe Moscarini and Lones Smith), this version: February 24, 2005. Option pricing with an exponential effect function (with Mattias Jonsson and Xu Meng), this version: March 24, 2004.
Recent Publications Risk Management in Electric Utilities (with Stein-Erik Fleten and Erkka Nasakkala), 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 (with Volodymyr Babich, Goker Aydin, Pierre-Yves Brunet, and Romesh Saigal), in Managing Supply Disruptions (edited by H. Gurnani, A. Mehrotra, and S. Ray), Springer-Verlag, 2010. Unintended Consequences of the Market Risk Requirement in Banking Regulation (with Leonard Kofman and Xu Meng), Journal of Economic Dynamics & Control, 34 (2010), pp. 2192-2214. Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices (with Alain Bensoussan and Suresh P. Sethi), Mathematical Finance, 19 (2009), pp. 215-236. Hydropower with Financial Information (with Erkka Nasakkala), Applied Mathematical Finance, 15 (2008), pp. 1-27. Optimal Electoral Timing: Exercise Wisely and You May Live Longer (with Lones Smith and Dmitry Davydov), Review of Economic Studies, 75 (2008), pp. 597-628. The demand for information: more heat than light (with Giuseppe Moscarini and Lones Smith), Journal of Economic Theory, 138 (2008), pp. 21-50. A Computational Scheme for the Optimal Strategy in an Incomplete Market (with Xu Meng and Michael G. Sullivan), Journal of Economic Dynamics & Control, 31 (2007), pp. 3591-3613. Optimal bank capital with costly recapitalization (with Samu Peura), Journal of Business, 79 (2006), pp. 2163-2201. Pricing of point-to-point bandwidth contracts, Mathematical Methods of Operations Research, 61 (2005), pp. 191-218. |
