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dc.contributor.authorCullinane, Kevin Patrick Brendan
dc.contributor.otherFaculty of Science and Engineeringen_US
dc.date.accessioned2013-09-17T12:07:16Z
dc.date.available2013-09-17T12:07:16Z
dc.date.issued1989
dc.identifierNOT AVAILABLEen_US
dc.identifier.urihttp://hdl.handle.net/10026.1/1801
dc.descriptionMerged with duplicate record 10026.1/786 on 07.20.2017 by CS (TIS)
dc.description.abstract

Risk and uncertainty have a vital impact on any business, but are particularly influential in the shipping industry. Although risk and uncertainty constitute the life-blood that courses through the veins of business, decision makers typically attempt to reduce the risks to which their decisions are subject. This is because there inevitably exists a level of risk which the decision maker is unwilling to accept. In May 1985 a new method of risk reduction in shipping became available through the introduction of BIFFEX — the Baltic International Freight Futures Exchange. Participants in shipping can now hedge against their risks in the physical market by taking a position on the new futures market. This adds a new dimension to the situation as it existed before the introduction of BIFFEX , when the hedging of market risk was undertaken solely by holding alternative forms of physical contract. Typically, decision makers in shipping have formulated hedging strategies on the basis of ad hoc, inconsistent and subjectively judgemental criteria. This work is concerned with the optimization of the risk reduction process by integrating the different forms of market investment in a portfolio context. The methodology used is based on Modern Portfolio Theory (MPT). This provides a formal structure for the deduction of a subjectively optimal portfolio, in the sense that it yields the 'best' risk/return trade-off in line with a decision maker's own attitude to risk. Previously. MPT has been applied solely to the determination of optimum portfolios of stocks and shares. The theory is, therefore, refined in accordance with the requirements of shipping. Similarly, the theory has previously only been applied to investors who are ‘risk averse'. In this work, it is expanded to include those investors who are 'risk prone' or 'risk neutral'. The objective of the thesis is thus the successful implementation of M P T to allow the deduction of a subjectively optimal portfolio of shipping market investments.

en_US
dc.description.sponsorshipGalbrsuths Liinited, E.D. & F. Mann (Shipp'ing) Limited, Lyle Shipping Limited, Simpson. Spence & Young Limited and City of London Polytechnicen_US
dc.language.isoenen_US
dc.publisherUniversity of Plymouthen_US
dc.titleThe Application of Modern Portfolio Theory to Hedging in the Dry Bulk Shipping Marketsen_US
dc.typeThesis
plymouth.versionFull versionen_US
dc.identifier.doihttp://dx.doi.org/10.24382/3717


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