It's John Ostrander's one of the two prestige-format graphic novels released alongside Batman Returns. I'm a huge John Ostrander fan, for what it's worth. This isn't his best work, but it's very good and I enjoyed it.
The Penguin's in prison when he sees someone make an excellent point on television. Couldn't brilliant super-criminals have made their fortunes much more easily by non-criminal means? (You can poke this hole in lots of adventure fiction, obviously.) The Penguin likes this idea. "You know, Mulroney, I think she may have something. In fact, that broad may have given me an idea for my biggest scam ever! I'll go legit."
This takes us into high finance, stock market computer hacks and some of the Penguin's old school friends. Both of them will try to kill him. One accepted 300 dollars to be his date to the school's St Valentine's Day dance. ("You taught me what I was, Oswald, and I applied it.") She's arguably the story's key character. The Penguin's the title character and anti-hero who's on almost every page, obviously, but she's the one who gets a character-changing decision towards the end.
The other is a successful financier and the Penguin's untrustworthy current business partner.
I like Ostrander's use of Batman. This is very much the Penguin's story, but Wayne's still an important presence and Ostrander's taking the slightly unusual road of making him seem like a human being. This Wayne is humble, wry and capable of extremely surprising decisions. I liked him. He's fun and I'd buy a series of Ostrander writing more of the character like this. There's certainly nothing of the driven, semi-psychotic Dark Knight about him, with both Ostrander's writing and Staton's art being almost a fit for Clark Kent.
It's the Penguin's story, though, of course. Ostrander asks, then answers, the question of why the Penguin bothered with crime in the first place. We see the Penguin's dreams, involving E. W. Hornung's Raffles and an amusing fantasy version of this in the first six pages where the Penguin is a dashing criminal anti-hero, confounding those flat-footed Victorian policemen. It's a very good character study. (It's so thorough and detailed, in fact, that it was jarring in 1992 to compare it with Danny DeVito's feral Penguin in the Tim Burton film.) I didn't really remember much about this story, but on rereading thirty years later I've decided it's rather good. It doesn't have that much Bat-action, but to criticise it for that would be to miss the point.