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Shipping Equity Risk Behavior and Portfolio Management

Pouliasis, Panos K. - 2019

-varying volatility, correlation and tail systemic risk of shipping stock markets, and consequently, have implications for risk management …

Persistent link: https://www.econbiz.de/10012893239

Valuation mismatch and shipping q indicator for shipping asset management

Girgin, Sinem Celik; Karlis, Thanasis; Duru, Okan - In: Maritime policy & management 47 (2020) 1, pp. 109-126

Persistent link: https://www.econbiz.de/10012210357

Asset Allocation and Value at Risk in Shipping Equity Portfolios

Syriopoulos, Theodore - 2016

carefully selected sample of shipping stocks, in order to enhance asset allocation opportunities. As private and institutional … 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 …

Persistent link: https://www.econbiz.de/10012996560

An option contract model for leasing containers in the shipping industry

Gómez-Padilla, Alejandra; González-Ramírez, Rosa G.; … - In: Maritime economics & logistics 23 (2021) 2, pp. 328-347

Persistent link: https://www.econbiz.de/10012548006

Risk control in maritime shipping investments

Skålnes, Jørgen; Fagerholt, Kjetil; Pantuso, Giovanni; … - In: Omega : the international journal of management science 96 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012243894

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011543019

Downside risk control and optimal investment turnover around financial crises

Tian, Ruilin; Huseynov, Fariz; Zhang, Wei - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 141-168

Persistent link: https://www.econbiz.de/10012253637

Dynamic large financial networks via conditional expected shortfalls

Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, … - In: European journal of operational research : EJOR 298 (2022) 1, pp. 322-336

Persistent link: https://www.econbiz.de/10013206844

Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints

Janabi, Mazin A. M. al - In: Journal of modelling in management 17 (2022) 3, pp. 864-895

Persistent link: https://www.econbiz.de/10013362663

Equivalence of robust VaR and CVaR optimization

Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016

Persistent link: https://www.econbiz.de/10011539339

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