This paper examines the role of commodities in asset allocation from the perspective of dynamic portfolio management. To this end, we model conditional variances and correlations of stock, bond and commodity futures to study how conditional second moments affect the optimal portfolio choice of a...

We examine whether investors herd in their decision to order new or scrap old vessels in the drybulk market. Our paper is seminal as herd behavior in the shipping markets has not been previously investigated. We decompose herding into unintentional and intentional, and test for herd behavior...

This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into distinct components: a persistent stable process with...

This paper reproduces the performance of two international shipping stock indexes and two physical shipping indexes by investing only in stock portfolios that our algorithms determine. In our analysis, we use daily stock data and address the index-tracking problem with the differential evolution...

The availability of shipping freight contracts with different duration offers shipowners, operators, and charterers the choice to trade risk and return according to the characteristics that each of these contracts offers on the utility frontier. The aim of this paper is to investigate the...