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ΕΘΝΙΚΟ ΜΕΤΣΟΒΙΟ ΠΟΛΥΤΕΧΝΕΙΟ PowerPoint PPT Presentation


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ΕΘΝΙΚΟ ΜΕΤΣΟΒΙΟ ΠΟΛΥΤΕΧΝΕΙΟ. Τμήμα Ναυπηγών Μηχανολόγων Μηχανικών. Περιοχή Θαλασσίων Μεταφορών. Εφαρμογή της Θεωρίας Ανάλυσης Χαρτοφυλακίου για την επιλογή των τύπων των πλοίων που συνθέτουν ένα στόλο. Δομή παρουσίασης. Σκοπός & λόγοι Κατηγορίες επενδύσεων, προβλήματα αποφάσεων

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5688471


5688471

  • &

  • ,

  • & () ...


5688471

&

:

  • : bulk carriers & tankers

  • : charter

  • :

min std

:

  • ,


5688471

  • ()

  • ( )

  • ( ):

:

  • (liquidity)


5688471

(7 )

  • , , &

  • ( )

  • ( )

  • ( )


5688471

1: & ...

:

:

charter

:

, ,


5688471

2:


5688471

3:

Markowitz:

t=0: W0 ()

t=1: ( W1)

:

:

(%) (optimal portfolio)

:

1/1/: & 1

1/1/+1:

:

:


5688471

4:

:

1980-2003 ,

1. (time charter rates)

2. (operating costs) -

  • (manning, crew costs)

  • (administration, management costs)

  • (repair & maintenance, dry-docking)

  • (stores, supplies & lubricants)

  • (insurance)

3. - (second hand prices)


T c rates

(T/C Rates)


5688471

  • 80 ( 1982-87)

  • , & 90

  • 5-7


5688471


5688471

  • - . 1980-1987:

  • 90,

  • 90

  • , ,


5688471


5688471

-


5688471

-

-

-

- 80 . , 90

- 90 -


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5:


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1.HBC

2.PBC

3.CBC

4.HTK

5.ATK

6.VLCC

1.HBC

1

0,850

0,757

0,438

0,289

0,380

2.PBC

0,850

1

0,899

0,498

0,327

0,300

3.CBC

0,757

0,899

1

0,447

0,182

0,401

4.HTK

0,438

0,498

0,447

1

0,401

0,323

5.ATK

0,289

0,327

0,182

0,401

1

0,169

6.VLCC

0,380

0,300

0,401

0,323

0,169

1

  • -.

  • 2. . : 15,6% 29,7%, : 100% 37,6% ( ).

  • :

  • (1 )


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( )

DWT

1.

Bulk Carrier

Handysize

30.000

5

0,156

0,229

2.

Bulk Carrier

Panamax

70.000

5

0,203

0,276

3.

Bulk Carrier

Capesize

120.000

5

0,195

0,297

4.

Tanker

Handy

30.000

8

0,231

0,279

5.

Tanker

Aframax

100.000

8

0,249

0,302

6.

Tanker

VLCC

250.000

10-15

0,297

0,373


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  • :

  • (DWT) : , .

  • . , .


6 efficient set

6: (Efficient Set)

:

  • max

  • min

:

:

Xi, XjMATLAB

:

1.

2.

3.


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1 (%)

2 (%)

3 (%)

4 (%)

5 (%)

6 (%)

rp

p

91.77

0

0

8.23

0

0

0.1620

0,1975

82.41

0

0

17.59

0

0

0.1690

0,1984

73.06

0

0

26.94

0

0

0.1761

0,2013

63.70

0

0

36.30

0

0

0.1832

0,2058

54.89

0

0

44.48

0

0.63

0.1903

0,2117

44.57

4.53

0

49.40

0

1.50

0.1974

0,2183

33.78

9.78

0

54.29

0

2.16

0.2044

0,2248

22.99

15.03

0

59.17

0

2.81

0.2115

0,2314

12.21

20.28

0

64.05

0

3.46

0.2186

0,2379

1.42

25.53

0

68.94

0

4.11

0.2257

0,2443

0

18.75

0

62.77

0

18.48

0.2379

0,2603

0

17.58

0

61.70

0

20.72

0.2399

0,2617

0

12.96

0

57.49

0

29.56

0.2469

0,2734

0

8.33

0

53.27

0

38.40

0.2540

0,2862

0

3.71

0

49.05

0

47.23

0.2611

0,2998

0

0

0

41.76

0

58.24

0.2689

0,3151

0

0

0

32.64

0

67.36

0.2753

0,3282

0

0

0

21.76

0

78.24

0.2824

0,3430

0

0

0

10.88

0

89.12

0.2894

0,3579

0

0

0

0

0

100.0

0.2965

0,3728


5688471


5688471

  • : .

  • .

  • Markowitz: .

  • - : 0,162 0,190 (HBC,HTK), 0,230 (HBC,PBC,HTK,VLCC) .


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7:

1. (Indifference Curves)

  • (utility function)

  • ( )

2. ( )

  • (tangency portfolio)


5688471


5688471

:

  • 18,75% Panamax Bulk Carriers

  • 62,77% Handy Tankers

  • 18,48% VLCCs

: 0,2379

: 0,2603

:

- ... ( ) (VLCC).


5688471

  • ... : , .

  • .

  • : , , , .

  • = 1 : , . buy low-sell high .

  • ...

  • (ADF Test) 90%


5688471

  • : . .

  • ... : . : .

  • . , .

  • ... .


5688471

  • .

  • .

  • .

  • ( ).

  • .

  • , () .


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