18 December 2009

Hilton, Thaleia Room
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  1. Applied Hedging Strategies for the Dry Shipping Market. What could we have done in 2009? What can we do for 2010 or 2011?, Filimon Antonopoulos
  2. Business Cycles and Capital Allocation, Vergos Konstantinos, Ph.D.
  3. Business Risk Management in Shipping: Current Trends and Future Prospects, Visvikis Ilias, Ph.D.
  4. Valuing the Equity Market, Georgiadis Nicholaos
  5. Links between Commodity and Shipping Derivatives Markets, Kavussanos Manolis, Ph.D.
  6. Oil Prices Fundamentals, Kontinakis Nikolaos
  7. Current Relative Strength Picture, Popotas Vasilis
  8. New Developments in the Structured Products Area, Flamouris Dimitris, Ph. D.
  9. Exchange Trading Funds (ETF's) and Technical Analysis, Lamprou Emmanuel, CMT
  10. A stochastic programming framework for international portfolio management, Topaloglou Nikolaos, Ph.D.

Presentation's Subject: Applied Hedging Strategies for the Dry Shipping Market. What could we have done in 2009? What can we do for 2010 or 2011?
Speaker: Filimon Antonopoulos

Over 2009 the market experienced extreme volatility and also a big shift of market expectations  ranging from an early year pessimism to a post summer  optimism  which affected significantly the forward curves of the underlying derivatives at the FFA market . Such a wide "expectations" fluctuation and forward curve shift from contango to backwardation offered opportunities for market participants to capture divergences between the physical and FFA market and enter into trades which managed to smoothen the volatility of physical cash flows.

Presentation's Subject: Business Cycles and Capital Allocation
Speaker: Vergos Konstantinos, Ph.D.

During this short lecture, we examine Business and Economic Cycles. We describe the main phases of these cycles and the characteristics of each stage. We examine indicators of the business and economic cycles phases. We show what is the capital allocation policy we should follow during each stage. We finally examine the recent financial crisis in the previously described context, showing the optimal allocation policy for the months to come.

Presentation's Subject: Business Risk Management in Shipping: Current Trends and Future Prospects
Speaker: Visvikis Ilias, Ph.D.

The highly volatile/ risky business environment that companies in the shipping industry operate in makes it imperative for them to identify the sources of risk that they face, but also to know how to deal with them effectively. Implementing risk management strategies in the increasingly sophisticated and competitive environment companies operate in our days, can often make the difference between being able to stay in business or not. It can give these companies a comparative advantage over the intense competition that they face in the sector. The aim of the discussion then, is to outline the alternative risk management tools shipping companies have in their disposal nowadays in managing the most important risk exposure; namely, freight rate risk.

Presentation's Subject: Valuing the Equity Market
Speaker: Georgiadis Nicholaos

Equities appear to have entered a new long-term trend following their last peak back in 1999. What's the value of the equity market today and which are the determinant factors for its future trend? Where do the market's fundamentals stand?

How Greek valuations compare with the corresponding European and US equities? What's the comparison of Greek sectors with their international peer groups? How did the market's last bull market in 1999 affect Greek valuations? Is it likely for such a trend to appear again in future?

Valuation cycles through time and their characteristics. Finally, is the Greek equity market attractive?

Presentation's Subject: Links between Commodity and Shipping Derivatives Markets
Speaker: Kavussanos Manolis, Ph.D.

The investigation of the degree and the way that new information is transmitted between different markets has always been of interest. This study investigates the return and volatility spillover effects between freight forward markets and commodity futures markets of commodities transported by ocean going ships.

The signaling role of such interrelations is of great economic value to economic agents engaged in these markets, as it enables them to construct profitable investment strategies and to understand how information is transferred between these markets. Results indicate that there are significant spillover relationships between freight and commodity derivatives markets. This has implications for market participants.

Presentation's Subject: Oil Prices Fundamentals
Speaker: Kontinakis Nikolaos

In the last three years, oil market has experienced an unprecedented rise and fall of the crude price along with an increase in its volatility. During this time, all stakeholders of the market were suggested, in rotation, as responsible for the rise; producers and consumers, politicians and speculators. Many analysts even hurried to welcome a new paradigm in the international oil market.

What is the contemporary structure of the oil market and what changes can be tracked in the recent years? Which factors determine crude prices and how the latter affect national economies? Is there, indeed, a new paradigm in the oil market and what constitutes it? How is the oil market going to move in the following time?

Presentation's Subject: Current Relative Strength Picture
Speaker: Popotas Vasilis

Presentation's Subject: New Developments in the Structured Products Area
Speaker: Flamouris Dimitris, Ph. D.

A low interest rate environment has led investment banks to be more creative. Structured products needed to get cheaper and safer. This presentation describes the way the banks devised in order to achieve just that.

Presentation's Subject: Exchange Trading Funds (ETF's) and Technical Analysis
Speaker: Lamprou Emmanuel, CMT

Exchange Traded Funds (ETFs) represent the leading edge of modern finance and exhibit massive growth in a global scale. Investors can now obtain access to a wide spectrum of asset classes as stocks, bonds, currencies, commodities, money-market and alternative investments, in a flexible, transparent and cost-efficient manner.

Many investment approaches (cash management, asset allocation, trading strategies, core satellite strategies, hedging) can now be easily implemented, while traditional products like the derivatives could be substituted.

In the current complex financial environment, Technical Analysis widens investor capabilities in the areas of monitoring, implementing and risk control. With the use of ETFs and the Technical Analysis approach investors are able to achieve efficient asset allocation.

Presentation's Subject: A stochastic programming framework for international portfolio management
Speaker: Topaloglou Nikolaos, Ph.D.

We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management (i.e., optimal portfolio diversification and associated decisions for controlling market and currency risks). The goal is to control the portfolio's total risk exposure and attain an effective balance between risk and expected return. By incorporating options and forward contracts in the optimization model we are able to assess the performance of alternative tactics for mitigating exposure to the primary risks.

To maintain internal consistency of the portfolio optimization model we price the options on the basis of scenario sets of asset returns and exchange rates that represent discrete joint distributions of these random variables. We find that control of market risk with options has more significant impact on portfolio performance than currency hedging. We demonstrate through extensive numerical tests that incremental benefits, in terms of reducing risk and generating profits, are gained when both the market and currency risks are jointly controlled through appropriate means

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