?fa?

1
?T???? ???S???? ???????????
?µ?µa ?a?p???? ???a??????? ???a?????
?e????? Ta?ass??? ?etaf????
?fa?µ??? t?? Te???a? ?????s?? ?a?t?f??a???? ??a
t?? ep????? t?? t?p?? t?? p????? p?? s????t???
??a st???
2
??µ? pa???s?as??

1. S??p?? ?????
2. ?at?????e? epe?d?se??, p??ß??µata ap?f?se??
3. ?a???s?as? t?? Te???a? ?????s?? ?a?t?f??a????
4. ?e??d?????a efa?µ??? (p??sa?µ???) T.?.?. st?
   ?a?t???a

• pa?ad????
• ?p???f?e? epe?d?se??
• st???e?a ?a??a?????
• d?a???µµata
• s????asµ??
• ap?te?esµat??? µ?t?p?
• epe?d?t???? p??t?se??

• ?a?at???se??
• ?e???? S?µpe??sµata
• ???t?se??

3
S??p?? ?????
S??p??

• ????te?? ?ata??µ? ?efa?a??? ??a t?? a????
  p?????
• t?p?? p????? bulk carriers tankers
• ?a??a???? charter se ??????a???s?
• te????? st???? st???? ?

min ??s?? ? std ap?d?s?
?????

• ??sp?s? a?st???te??? ?a????sµ??

• a???s? ??st??? d?a?e???s??

?????? efa?µ???? ep?st?µ?????? µe??d?? ??a t??
pe?????sµ? t?? epe?d?t???? ???d????

• a??a?? st? s?µpe??f??? t?? t?ape???

• pe?????sµ?? t?? ????? t?? d?a?s??s??

• p???t?ta, epa??e?µat?sµ??

4
?at?????e? epe?d?se??

1. ?a?a??????? (eµp????)
2. ?e?d?s??p???? (µet???? ???µat?st?????)
3. ?e??t?? (epe?d?se?? st? ?a?t???a) ? p?????t?t??
   ap?s??pe? se ???d?? ?a? ap? ??????a???s? ?a? ap?
   µetap???s? t?? p?????

? ????a??? st???e?? aßeßa??t?ta
???ß??µata µe??s?? epe?d?t???? ???d????

1. ?at??????? p?s?st?? ???µat?d?t?s?? st?? a?????
   p?????
2. ???a p??pe? ?a e??a? ? ?e?st?t?ta µ?a?
   ?a?t???a??? eta??e?a? (liquidity)
3. ?p?????? t?? t?p?? t?? p????? p?? ?a a???ast???
4. ?p?????sµ?? t?? p?s?st?? t?? st???? p?? ?a
   apas???e?ta? se ??????a???s? ? ?a???s? µ????
   ta??d???

5
Te???a ?????s?? ?a?t?f??a???? (7 ß?µata)

1. Ge????? s??p??, ?e???t??? ß?s?, p???p???se??
   efa?µ???? pa?ad???? ??a t?? p??sa?µ??? st?
   ?a?t???a
2. ?a????sµ?? t?? ?p???f??? epe?d?se?? (t?p??
   p?????)
3. ???pt??? se?a???? ?p?????sµ?? ??????µ????
   ap?d?s??
4. S?????? st???e??? ?a??a?????
5. ?p?????sµ?? a?aµe??µe??? ap?d?se?? ?a?
   stat?st???? µetaß??t??
6. ???a?? ap?te?esµat???? µet?p?? (s??????
   p??te???µe??? st????)
7. ?p?????sµ?? efapt?µe??? ?a?t?f??a???? (s???es?
   st????)

6
??µa 1 S??p?? p???p???se?? efa?µ???? T.?.?.
Ge????? s??p??
? p?s?t??? d?ap?a?µ?te?s? t?? epe?d?t???? ???d????
????p??es?
S?????e? t??e?a? a?????
?a?a?t???st??? ?a??a????? charter

• ???e??? a?ta????sµ??
• ????t???t?ta
• ??????a e?s?d??
• ???e??? s?????t??s??
• ?µ??????e?a

• epa???e?s? s??????? t??e?a? a?????

?p?s?µa?s?
?????se?? ap? t??pe?e?, ?a?t???a???? ???a??sµ???,
d?at??e?? asfa?e?a? ? ????????? t?? pa?ad???
t?? t??e?a? a?????
7
??µa 2 ?a????sµ?? ?p???f??? epe?d?se??
?? ??p?? ?at?????a DWT ?????a
1. Bulk Carrier Handysize 30.000 5
2. Bulk Carrier Panamax 70.000 5
3. Bulk Carrier Capesize 120.000 5
4. Tanker Handysize 30.000 8
5. Tanker Aframax 100.000 8
6. Tanker VLCC 250.000 15
8
??µa 3 ???pt??? se?a????
???s????s? Markowitz
t0 ?ef??a?? W0 se ? aß?ßa?e? epe?d?se??
(?a?t?f??????) t1 ap?s??s? ???µ?t?? (?ef??a??
W1)
?p?d?s?
???ß??µa
?ata??µ? p?s?st?? () st?? epe?d?se?? (optimal
portfolio)
???sa?µ??? st? ?a?t???a ?
Se?????
1/1/? a???? p????? ??????a???s? ??a 1
?t?? 1/1/?1 p???s? p?????
?p?d?s?
???ß??µa
?p?????sµ?? ?p?te?esµat???? ?et?p??
9
??µa 4 S?????? st???e??? ?a??a?????
??????? pe???d?? e??tas??
1980-2003 ? a?t?p??s?pe?t???, d??t? pe???aµß??e?
pe???d??? a??d?? ?a? ?fes??
1. ??µ?? ??????a???s?? (time charter rates)
2. ??µ?? ?e?t???????? ??st??? (operating costs)
? µ?s?-f???? d?a?e???s?

• ???da p????µat?? (manning, crew costs)
• ???da d?????s?? (administration, management
  costs)
• te????? ???da (repair maintenance,
  dry-docking)
• ???da p??µ??e??? (stores, supplies
  lubricants)
• asf???s? (insurance)

3. ??µ?? p????? de?te??-???? (second hand prices)
10
?????aµµa t?µ?? ??????a???s?? (T/C Rates)
11
S????asµ?? t?? p??e?a? t?? ?a????

• ??t??? s??d?a??µa?s?
• ?a?t???a?? ???s? t?? de?aet?a? t?? 80 (?t?
  1982-87)
• ?p?t?µe? d?a??µ??se??, e?a??a??? aßeßa??t?ta
  t?? de?aet?a? t?? 90
• ?e???? ep?ßeßa??s? t?? ?p???? pe?? ?????? t??
  a????? d?a??e?a? 5-7 et??
• ? ?????a t?? p????? de? ep??e??e? d?ast??? t?
  ???? t?? ?a????

12
?????aµµa ?e?t???????? ??st???
13
S????asµ?? e??????? t?? ?e?t???????? ??st???

• -?t?s? t?? ?a???? ? p??sp??e?a s?????t?s?? t??
  ??st???. 1980-1987 ???µ?? a???s?? t?? ??st???
  ?d?a?te?a ?aµ????
• S?µa?t??? a???s? t?? ??st??? t? de?aet?a t?? 90,
  ???? a???s?? t?? te?????? ?a? t?? ??st???
  asf???s??
• ?????µa t?? ?a??da? st?? a???? t?? 90?
• ?sfa??st???? eta??e?e?, ??????µ??e?, ???a??sµ?? ?
  a?st????? ?a????sµ??? ? ??? pe??????a ??a
  pe????p?? ? ?t?p? ep?ß??? ?e?t???????? ??st???

14
?t?s?? ?a?a?? ???d?? ap? t?? ??????a???s?
15
?????aµµa t?µ?? p????? de?te??-????
16
S????asµ?? t?? p??e?a? t?? t?µ?? p?????
de?te??-????
-??t??? s??d?a??µa?s? -?????????? t?? p??e?a t??
t?µ?? ??????a???s?? -??? de?aet?a t?? 80 ?
e?t???tat? t? fa???µe?? t?? s??d?a??µa?s??.
??t??eta, t?? de?aet?a t?? 90 ?? e?a??a??? e??a?
ap?t?µe? -?p?t?µe? d?a??µ??se?? de?aet?a? 90 ?
p?????t?te? d?ast????p?????ta? ?d?a?te?a st??
a???ap???s?a p????? de?te??-????
17
??µa 5 ?????aµµa a?aµe??µe??? ap?d?se??
18
S????asµ?? ap?d?se??

• ? ??t??? s??d?a??µa?s? ? a?t?st???? p??e?a p??
  a????????? ?? ?a???? ?a? ?? t?µ?? t?? p?????
  de?te??-????.
• 2. Te???t???? ?a?a?t??a? se?a???? ? s?et???
  ?????? t?µ?? t?? ap?d?se??. ??se? t?µ?? 15,6 ??
  29,7, e?? se µeµ???µ??a ?t? ??? t?? 100 ? st?
  37,6 (? p??? ?aµ???te?? ? ?????te?? t?µ?
  µetap???s??).
• ? ?a?ad????

1. ? ?????a t?? p????? de µetaß???eta? st? d??st?µa
   t?? ep??d?s?? (1 ??????)
2. ?? p???? ß??s?e? p??t?te ?a???

19
?????aµµa ???d???? (t?p???? ap????s??)
a?aµe??µe??? ap?d?s??
20
S?µpe??sµata ap? t? d????aµµa ???d????
ap?d?s??

1. S??s? a?a????a? µeta?? ???d???? ?a? a?aµe??µe???
   ap?d?s?? ? ep?te??? ?????? ap?d?se?? ? a??????
   ?????? ??s???
2. S??s? epe?d?t???? ???d???? ?a? µe?????? (DWT)
   p????? ????s? µe?????? p????? ? µe?a???e? t?
   ??s??, ?µ?? ?a? ? ap?d?s?.

• Se pe???d??? ???s?? t?? a????? ta µe???a p???a
  pa???s?????ta? ????te?? e?????ta st?? a?e??es?
  ?a????. Ost?s?, se pe???d??? a?µ?? ?a ap?f?????
  saf?? µe?a??te?a ???d?.

21
??µa 6 ?p?te?esµat??? ??t?p? (Efficient Set)
?? s????? t?? ?a?t?f??a????

1. max a?aµe??µe?? ap?d?s? ??a ded?µ??? t?p???
   ap????s?
2. min ap????s? ??a ded?µ??? ap?d?s?

? ???e d?af??et??? s?µe?? a?t?st???e? se µ?a
d?af??et??? ?ata??µ? t?? p?s?st??
????d?? ?p?????sµ?? ap?te?esµat???? µet?p??
??t??e?µe???? s????t?s?
???ß??µa tet?a??????? p????aµµat?sµ?? µe
a???st??? ta Xi, Xj ? MATLAB
?e?????sµ??
1.
2.
3.
22
S?µe?a ap?te?esµat???? µet?p??
23
?aµp??? ?p?te?esµat???? ?et?p??
24
S?µpe??sµata ap? t?? ?aµp??? t??
?p?te?esµat???? ?et?p??

1. ??af???p???µ???? st???? ??t? a?t?t??eta? st??
   a?t????? pe?? e?d??e?µ???? st???? ? e?d??e?µ????
   ?a?t???a??? eta??e???.
2. ?? p?s?st? ???e t?p?? p????? a????e? ? µe???eta?
   µ???t??a ?at? µ???? t?? ?et?p??.
3. ??af???p???s? Markowitz ???e s?µe?? t?? ?et?p??
   ??e? ?a??te?a ?a?a?t???st??? ap?d?s?? ?a? ??s???
   ap? ???e ??a µeµ???µ??? t?p? p?????.
4. ???t? e?t?µ?s?-epe?d?t??? p??tas? ? s??t???t????
   p?????t?t?? ? t?µ?? ap?d?s?? ap? 0,162 ??? 0,190
   (HBC,HTK), ? µ?s?? µ???? ?a? 0,230
   (HBC,PBC,HTK,VLCC) ?a? ? ???????d???? a??µa p??
   ß??e??a?at?????.

25
??µa 7 ?p?????sµ?? ?fapt?µe??? ?a?t?f??a????
1. ?aµp??e? ?s?? ???s?µ?t?ta? ? ?d?af???a?
(Indifference Curves)

• ?p?te???? t? s????? t?? ?aµp???? ???s?µ?t?ta?
  (utility function) ?a? e?f?????? t?? epe?d?t???
  s?µpe??f???
• Se ???e epe?d?t? a?t?st?????? ?pe??e? (p??t?µ?s?
  st?? ß??e??d?t???te??)
• ?????pt??? µet? ap? s??e?te??e??

2. ???s? t?? d??at?t?ta? ??ßa??? ?p??d?s?? (?
s?????? ded?µ??? ap?d?s? ??a µ?de???? ??s??)

• ap?f??? e?sa????? ?aµp???? ad?af???a?
• ??s? t?? efapt?µe??? ?a?t?f??a???? (tangency
  portfolio) ?s???e???µ??? p??tas?

26
?p?te?esµat??? ??t?p? µe d??at?t?ta ß?ßa???
ep??d?s??
27
S???es? efapt?µe??? ?a?t?f??a????
???te???µe?? s???es? st????

• 18,75 Panamax Bulk Carriers
• 62,77 Handy Tankers
• 18,48 VLCCs

?p?d?s? 0,2379 ???d???? 0,2603
?a?at???se??
- S?µf??a µe t?? T.?.?. p??t?te s?µµet??e? t?
a?????af? (t?p?? p?????) µe t? µe?a??te??
a?aµe??µe?? ap?d?s? (VLCC).
? ?? µe?a??te?? e?d?af???? ? µe???? p?s?st?
???????d???? t?p??

• ?????? ap?d?se??
• st???? p????pte? ap? p???a µe ?aµ??? s??te?est?
  s?s??t?s??

28
?a?at???se?? e? t? s????? t?? µe??t??

1. S???es? st???? st? T.?.?. ? ???µat???? µ???de?
   ?? p?s?st? ???e t?p?? p????? de? a?t?p??s?pe?e?
   a???µ? p????? ? t???? ????t???t?ta?, a??? p?s?st?
   t?? ?efa?a???.
2. ?e? ??e? ???ste? d?a??s?µ? a????? ?ef??a??.
3. St? se????? de? eµpe????eta? ? d??at?t?ta t??
   ???µat?d?t?s?? ????, ?p?? ep?t????, d?se??,
   ?????? ap?p????µ?? ?a pe???p?e?a? ep????d??a t?
   p??ß??µa.
4. ?????e?a ep??d?s?? 1 ?????? ??p??
   pe?????st???, ??? ?µ?? a?edaf???. buy low-sell
   high ? a??µa µ????te?? d????e?a.
5. ??????se?? da?e??? ? ape?????ste? ? st???? ?
   efa?µ??? t?? T.?.?. st? ?a?t???a
6. ??e???? stas?µ?t?ta? (ADF Test) ? d??st?µa
   eµp?st?s???? 90

29
?e???? S?µpe??sµata

1. ?p?d?s? ?a?? t?? ap???ste?se?? ? ?fe??µ?t?ta t??
   ???e t?p?? p?????. ???µ? ?a? µe µ??f? de??t? ?
   p??e?a t?? e??? t?p?? se s??s? µe ??a? ????.
2. ? efa?µ??? t?? T.?.?. st? ?a?t???a ? ?e?????t?µa
   d?s????a µet?ßas?? st?? p?a?µat???t?ta.
   ??e????t?µa d?ap?a?µate?eta? ep?st?µ????? t??
   ???d??? ?a? ?ata???e? se s???e???µ??e? p??t?se??
   epe?d?t???? st?at??????.
3. ?? p??t?se?? ??a t? s???es? st???? ? ???
   desµe?t??? ?a?a?t??a. ?p?te???? ?ate????t???e?
   ??aµµ?? ? ?? µa??µat???? te?????? de? ap?s??p???
   st?? ap?????? t?? pa?ad?s?a??? µ??at?µe?t, a???
   t?? e?d???µ?s? t??.
4. ?? te???? s?µp??asµa ? ? T.?.?. µp??e? ?a
   ap?te??se? ???s?µ?tat? s?µß???e?t??? e??a?e?? st?
   ???? ap?f?se?? epe?d?t???? p???t???? st?
   ?a?t???a.

30
???t?se?? ??a ep??tas? t?? µe??t??

1. ?µp???t?sµ?? t?? ?p???f??? epe?d?se??.
2. O? p??te???µe?? ep??d?s? µp??e? ?a e?etaste? ?a?
   µ?a s???e???µ??? ?a???s?.
3. S??d?asµ?? epe?d?se?? ???µat?st????? ?a?
   epe?d?se?? st? ?a?t???a.
4. ???t??a µe????t???? p??ß?e??? (te???t? ?e???????
   d??t?a).
5. ??sa???? p?a?µat???? ?aµp???? ad?af???a?.
6. Ge????, ? ??s? pa?ad???? ?a? ? e?sa???? ?a? ?????
   ded?µ???? (???µat?d?t?s?) ? µ??t??? p?? ???t?
   st?? p?a?µat???t?ta ? eµp????? efa?µ???.