Application of Post Modern Portfolio Theory to Mitigate Risk in International Shipping

Abstract

This research uses asset allocation concepts to determine the correct amount of cargo to send down the PAKGLOC and NDN to minimize the risk of loss or damage. Loss and Damage data is used from Transportation Discrepancy Reports and overall value is assumed to match the industry standard. Using assumed levels of pilferage along the NDN, a Monte Carlo simulation is run at each level of pilferage, and a Co-Lower Partial Moment model is solved. Analysis of the data shows a wide spread of possible optimal solutions at each level of pilferage. Due to the low levels of risk along each route, risk is not an appropriate factor to use alone to determine the best shipping mix into Afghanistan.

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Document Details

Document Type
Technical Report
Publication Date
Mar 24, 2011
Accession Number
ADA540102

Entities

People

  • Michael Quashne

Organizations

  • Air Force Institute of Technology

Tags

Communities of Interest

  • Biomedical
  • Energy and Power Technologies
  • Ground and Sea Platforms
  • Human Systems

DTIC Thesaurus Topics

  • Afghanistan
  • Afghanistan Conflict
  • Air Force
  • Information Science
  • Literature Surveys
  • Mathematical Analysis
  • Mathematical Models
  • Monte Carlo Method
  • Operations Research
  • Shipping
  • Simulations
  • Spreadsheet Software
  • Standards
  • Transportation
  • United States
  • United States Central Command
  • United States Transportation Command

Readers

  • Aerospace logistics and air mobility.
  • Cybersecurity.
  • Operations Research