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雷达卡
2015 硕士论文 Optimal Bets in Oil-Related Stocks：A Quantitative Approach
TABLE OF CONTENT
1. INTRODUCTION ...................................................... 1
2. DATA ............................. 3
3. METHODOLOGY .................. 5
3.1 STRATEGIC ANALYSIS ............... 5
3.1.1 PESTEL Analysis .................... 5
3.1.2 Porters Five Forces .................... 6
3.1.3 VRIO Analysis ..................................... 6
3.2 VALUATION METHODOLOGY .................. 6
3.2.1 The Flow-to-Equity Method ........................ 6
3.2.2 Relative Valuation ............................. 9
3.3 PORTFOLIO THEORY ............................ 9
3.3.1 Mean-Variance Optimization ......................... 9
3.3.2 Sharpe Ratio ................................................. 10
3.3.3 Information-Ratio ............................................................... 10
3.3.4 The Single Index-Implied Covariance Matrix ............................. 10
3.3.5 The Black-Litterman Model .............................................................. 11
4. APPLICATIONS ........................................................................................ 14
4.1 INDUSTRY ANALYSIS ....................................................................................... 14
4.1.1 The Oil Market .......................................................................................................................... 14
4.1.2 The Price Formation of Oil ....................................................................................................... 19
4.1.3 The Oil Service Market – a Strategic Review ............................................................................ 24
4.1.4 The Seismic Market ................................................................................................................... 27
4.1.5 The Subsea Market .................................................................................................................... 28
4.1.6 The Drilling Market ................................................................................................................... 31
4.1.7 The Offshore Supply Market ...................................................................................................... 34
4.2 COMPANY VALUATIONS ......................................................................................................................... 37
4.2.1 Valuation Summary ................................................................................................................... 48
5. RESULTS .................................................................................................................................................. 51
5.1 ASSUMPTIONS ........................................................................................................................................ 51
5.2 SINGLE-INDEX COVARIANCE MATRIX .................................................................................................... 52
5.3 BLACK-LITTERMAN................................................................................................................................ 53
5.4 PORTFOLIO ALLOCATION........................................................................................................................ 57
5.4.1 Long Only - Markowitz .............................................................................................................. 57
5.4.2 Short - Markowitz ...................................................................................................................... 59
5.5 OUT-OF-SAMPLE TESTING ...................................................................................................................... 66
5.6 CONCLUSION .......................................................................................................................................... 68
5.7 LIMITATIONS .......................................................................................................................................... 68
6. EXTENSIONS .......................................................................................................................................... 69
6.1 EXECUTIVE SUMMARY – CVAR PREFERENCES ........................................................................................ 69
6.2 THEORY ................................................................................................................................................. 69
6.2.1 Mean-CVaR Optimization and Conditional Sharpe-Ratio......................................................... 69
6.2.2 Copula Opinion Pooling ............................................................................................................ 70
6.3 RESULTS ................................................................................................................................................ 73
6.3.1 Distributional modeling – Copula Opinion Pooling .................................................................. 73
6.3.2 CVaR Portfolio Allocations ....................................................................................................... 76
6.3.3 CVaR Portfolio Performance .................................................................................................... 79
7. BIBLOGRAPHY ...................................................................................................................................... 82
8. APPENDIX ............................................................................................................................................... 86
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