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Maritime Policy & Management
The flagship journal of international shipping and port research
Volume 36, 2009 - Issue 1
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Original Articles

Asset allocation and value at risk in shipping equity portfolios

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Pages 57-78 | Published online: 23 Mar 2009

References and notes

  • Clarkson Research . 2005 . Shipping Intelligence Network . (http://www.clarkson.net)
  • Grammenos , C . 2002 . The Handbook of Maritime Economics and Business , London : LLP Publications .
  • Grammenos , C and Arkoulis , A . 2002 . Macroeconomic factors and international shipping stock returns . International Journal of Maritime Economics , 4 : 81 – 99 .
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  • Nomikos , N and Alizadeh , A . 2002 . “ Risk management in the shipping industry: theory and practice ” . In The Handbook of Maritime Economics and Business , Edited by: Grammenos , C . London : LLP Publications .
  • Syriopoulos , T and Roumpis , E . 2006 . Price and volume dynamics in second-hand dry bulk and tanker shipping markets . Maritime Policy & Management , 33 ( 5 ) : 497 – 518 .
  • Chen , Y and Wang , S . 2004 . The empirical evidence of the leverage effect on volatility in international bulk shipping market . Maritime Policy & Management , 31 ( 2 ) : 109 – 124 .
  • Kavussanos , M , Juell-Skielse , A and Forrest , M . 2004 . International comparison of market risk across shipping-related industries . Maritime Policy & Management , 30 ( 2 ) : 107 – 122 .
  • Tvedt , J . 2003 . A new perspective on price dynamics of the dry bulk market . Maritime Policy & Management , 30 ( 3 ) : 221 – 230 .
  • Kavussanos , M and Marcoulis , S . 2001 . Risk and Return in Transportation and Other US and Global Industries , Boston, MA : Kluwer Academic Publishers .
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  • Based on Clarkson, average earnings are estimated as daily time-charter equivalents (TCE) of voyage freight rates (excluding waiting time, off-hire, etc.) and are expressed in US$ per day on the voyage. Earnings are calculated on the basis of standard ship types. For all crude oil and dry bulk routes earnings are estimated for more than one standard ship, although only those for the most modern vessel are published in full in the Clarkson's Shipping Intelligence Weekly. (For the older vessel the average across all routes is published.) The earnings calculations are based on the current freight levels for each voyage, current bunker levels based on prices at representative regional bunker ports and estimated port charges for the standard vessel types/routes
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  • Jorion , P . 1997 . Value at Risk: The New Benchmark for Controlling Market Risk , New York : McGraw-Hill .
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  • Kuester , K , Mittnik , S and Paolella , M . 2006 . Value-at-risk prediction: a comparison of alternative strategies . Journal of Financial Econometrics , 4 : 53 – 89 .
  • Zangari , P . 1996 . A VaR methodology for portfolios that include options . RiskMetrics Monitor , 1 : 4 – 12 .
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  • Lopez , J . 1999 . Methods for evaluating value-at-risk estimates . Federal Reserve Bank of San Francisco Economic Review , 2 : 3 – 17 .
  • Kupiec , P . 1995 . Techniques for verifying the accuracy of risk measurement models . Journal of Derivatives , 3 : 73 – 84 .
  • Mincer , J and Zarnowitz , V . 1969 . “ The evaluation of economic forecasts and expectations ” . In Economic Forecasts and Expectations , New York : National Bureau of Economic Research .
  • The return-value at risk regression is as following: r t + 1² = α + β·VaR t + 1|t ² + e t + 1, where r t+1 is the return on time t + 1 and VaR t +1| t is the VaR estimate on time t + 1 using the information available until time t. The coefficient β is found to be positive and statistically significant in most cases
  • Jorion , P . 2002 . How informative are value-at-risk disclosures? . Accounting Review , 77 : 911 – 931 .

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