Article

Asset allocation and value at risk in shipping equity portfolios

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This study employs alternative dynamic volatility models to investigate the risk
and return characteristics of a carefully selected sample of shipping stocks,
in order to enhance asset allocation opportunities. As private and institutional
investors are in search of alternative style investments, the assessment of stock
volatility is a critical issue for efficient asset allocation, dynamic portfolio
management and firm valuation. The empirical findings indicate a highly volatile
profile for shipping stock returns, in line with respective (tanker and dry bulk)
earnings. Sectoral and company fundamentals may affect shipping stock
volatility, which is found to be sensitive to asymmetric shocks. The results
support high portfolio returns for shipping stock portfolios that appear to be
superior to standard market benchmarks but are associated with higher risk level.

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Ketersediaan

Informasi Detail

Judul Seri

Maritime Policy & Management

No. Panggil

ATC MR SYR a

Penerbit

greece : Routledge., 2009

Deskripsi Fisik

23 p

Bahasa

English

ISBN/ISSN

0308-8839

Klasifikasi

MR

Tipe Isi

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Tipe Media

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Tipe Pembawa

online resource

Edisi

VOL. 36, NO. , 2009

Subjek

Shipping services
Shipping Market

Info Detail Spesifik

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Pernyataan Tanggungjawab

Syriopoulos, Theodore

Versi lain/terkait

Lampiran Berkas

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