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課程名稱 |
投資學
Investment Theory |
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開課學期 |
105-1 |
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授課對象 |
社會科學院 經濟學系 |
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授課教師 |
陳彥行 |
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課號 |
ECON3016 |
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課程識別碼 |
303 37600 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期三2,3,4(9:10~12:10) |
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上課地點 |
社科305 |
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備註 |
本課程中文授課,使用英文教科書。
總人數上限：45人
外系人數限制：5人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1051Econ_Invest |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
First part: Science
─Portfolio theory (chapters 5-8)
Learn how to construct the optimal investment portfolio to minimize risk
─Equilibrium in the capital market (chapters 9-10)
Learn why risk and returns are positively related
─Portfolio performance evaluation (chapter 24)
Learn how to calculate risk-adjusted returns?
─Useful background knowledge
1. Microeconomics: utility function, budget constraint
2. Calculus: maximization, first order condition
3. Statistics: random variables, mathematical expectation, standard deviation,variance, covariance, linear regression, ordinary least square (OLS)
Second part: Arts
─Security valuation
1. Learn how to select those securities to be added into your portfolio
2. Bond and stock valuation (chapters 14-15, 18)
3. Fundamental and technical analysis (chapters 12, 19)
─Useful background knowledge
1. Macroeconomics: GDP, unemployment rate, business cycle
2.Accounting: present value, discounting, balance sheet, income statement,EPS, EBITDA, ROA, depreciation.
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課程目標 |
. |
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課程要求 |
. |
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預期每週課後學習時數 |
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Office Hours |
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參考書目 |
Malkiel (2012), A Random Walk Down Wall Street , 10th edition, Norton &
Company,NewYork, N.Y. (中譯：漫步華爾街，天下文化) |
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指定閱讀 |
Bodie, Kane, and Marcus (2014), Investments (annotated 10th Edition), Hwa-Tai publishing
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Midterm Exam |
35% |
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2. |
Final Exam |
35% |
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3. |
Computer exercise |
10% |
*due 10/26*
1. Team assignment
2. Use EXCEL to calculate the optimal portfolio weights |
4. |
Micro-film |
10% |
1. Team assignment
2. a 10-minute video to introduce a derivative product in TAIFX, accompanied by a quiz. |
5. |
Class participation |
10% |
1. Gain:answer/ask questions, quiz
2. Lose:absent/lose concentration and get caught |
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週次 |
日期 |
單元主題 |
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第1週 |
9/14 |
Introduction (Bodie, Ch.5) |
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第2週 |
9/21 |
Portfolio theory: The Markowitz approach (Bodie, Ch.6)
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第3週 |
9/28 |
Holiday (Teacher's Day) |
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第4週 |
10/05 |
Portfolio theory: The Markowitz approach (Bodie, Ch.7) |
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第5週 |
10/12 |
Portfolio theory: Index models (Bodie, Ch.8) |
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第6週 |
10/19 |
Equilibrium in capital market: CAPM (Bodie, Ch.9) |
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第7週 |
10/26 |
CAPM and the index model (Bodie, Ch.9) |
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第8週 |
11/02 |
Equilibrium in capital market: APT (Bodie, Ch.10) |
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第9週 |
11/09 |
*Midterm exam* |
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第10週 |
11/16 |
Bond valuation (Bodie, Ch.14-15) |
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第11週 |
11/23 |
Equity valuation models (Bodie, Ch.18) |
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第12週 |
11/30 |
Fundamental analysis (Bodie, Ch.12) |
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第13週 |
12/07 |
Technical analysis (Bodie, Ch.12) |
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第14週 |
12/14 |
*Field trip: Taiwan Futures Exchange* |
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第15週 |
12/21 |
Efficiency market hypothesis (Bodie, Ch.11) |
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第16週 |
12/28 |
Efficiency market hypothesis (Bodie, Ch.11) |
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第17週 |
1/04 |
Conclusion (Malkiel,2012) |
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