Asset allocation and value at risk in shipping equity portfolios
Year: 2009
Type: article
Abstract: 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.
Source: Maritime Policy & Management
Authors: Theodore Syriopoulos, Efthimios Roumpis
Institution: University of the Aegean
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2065622500