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Theoretical vessel valuation and asset play in bulk shipping

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dc.contributor.advisor Henry S. Marcus. en_US
dc.contributor.author Adland, Roar Os, 1972- en_US
dc.contributor.other Massachusetts Institute of Technology. Dept. of Ocean Engineering. en_US
dc.date.accessioned 2005-08-23T14:54:34Z
dc.date.available 2005-08-23T14:54:34Z
dc.date.copyright 2000 en_US
dc.date.issued 2000 en_US
dc.identifier.uri http://hdl.handle.net/1721.1/8739
dc.description Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2000. en_US
dc.description Includes bibliographical references (p. 78-83). en_US
dc.description.abstract This thesis consists of two related parts. The first part develops non-parametric freight rate and scrap value models for the product tanker market. Monte Carlo simulations are used to calculate the value of the vessel as the present value of future cash flow and perform sensitivity analysis with respect to input parameters such as vessel age, freight rate volatility, and scrap price. The second part investigates the performance of technical trading rules for the purpose of asset play in the product tanker market. The rules are tested on monthly returns in the product tanker segment for the period 1981 to 1998. A total of 1053 different parameterizations are evaluated, comprising three of the simplest and most popular trading rules in the financial markets: filter rules, moving averages, and support and resistance levels. Overall, the results provide strong support for the technical strategies. The best-performing trading rule obtains a mean return of 35.4% p.a. above the buy-and-hold annual return of 4.0%. However, the practical implementation in an illiquid market may reduce the theoretical excess return of the best-performing trading rule to a level where it is no longer significant. Moreover, the probability that an investor could have picked, ex ante, a trading rule with statistically significant excess return is small. en_US
dc.description.statementofresponsibility by Roar Os Adland. en_US
dc.format.extent 84 p. en_US
dc.format.extent 5177318 bytes
dc.format.extent 5177077 bytes
dc.format.mimetype application/pdf
dc.format.mimetype application/pdf
dc.language.iso eng en_US
dc.publisher Massachusetts Institute of Technology en_US
dc.rights M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. en_US
dc.rights.uri http://dspace.mit.edu/handle/1721.1/7582
dc.subject Ocean Engineering. en_US
dc.title Theoretical vessel valuation and asset play in bulk shipping en_US
dc.type Thesis en_US
dc.description.degree S.M. en_US
dc.contributor.department Massachusetts Institute of Technology. Dept. of Ocean Engineering. en_US
dc.identifier.oclc 48040629 en_US


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