課程名稱 |
投資組合管理 Portfolio Management |
開課學期 |
103-2 |
授課對象 |
社會科學院 經濟學研究所 |
授課教師 |
何耕宇 |
課號 |
ECON7038 |
課程識別碼 |
323 M7070 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期三6,7,8(13:20~16:20) |
上課地點 |
社科301 |
備註 |
建議有修過大學部投資學或財務管理。 限碩士班以上 總人數上限:40人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1032PM_NTU_ECON |
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 |
課程大綱
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課程概述 |
This course is a graduate level course of invesment for students already having basic undergraduate background. The purpose of the course is to equip students with crucial knowledge on portfolio theory and investment analysis. The course materials cover review of financial securities and markets, mean-variance portfolio theory, factor pricing models, market efficiency, and equity and investment evaluation. Related empirical journal articles are assigned for group presentations. There will also be a mid-term exam and a final exam. |
課程目標 |
The purpose of the course is to equip students with crucial knowledge on portfolio theory and investment analysis. |
課程要求 |
Group Presentation (20\%).
Mid-Term Exam (30\%).
Final Exam (35\%).
Class Discussion and Participation (15\%). |
預期每週課後學習時數 |
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Office Hours |
另約時間 |
指定閱讀 |
Elton, Gruber, Brown, Goetzmann, 2014, \textit{Modern Portfolio Theory and Investment Analysis}, 9th ed., Wiley. (EGBG)
Lecture Notes and Assigned Journal Articles. |
參考書目 |
無 |
評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
第1週 |
2/25 |
Introduction |
第2週 |
3/04 |
Review of Financial Securities and Markets I |
第3週 |
3/11 |
Review of Financial Securities and Markets II |
第4週 |
3/18 |
Mean-Variance Portfolio Theory I |
第5週 |
3/25 |
Mean-Variance Portfolio Theory II |
第6週 |
4/01 |
Holiday, No Class |
第7週 |
4/08 |
Mean-Variance Spanning and Intersection Tests |
第8週 |
4/15 |
Empirical Examinations on Portfolio Diversification |
第9週 |
4/22 |
Mid-Term Exam |
第10週 |
4/29 |
Capital Asset Pricing Model (CAPM) I |
第11週 |
5/06 |
Capital Asset Pricing Model (CAPM) II |
第12週 |
5/13 |
Arbitrage Pricing Theory (APT) |
第13週 |
5/20 |
Empirical Examinations on Factor Pricing Models |
第14週 |
5/27 |
Market Efficiency |
第15週 |
6/03 |
Empirical Examinations on Market Efficiency |
第16週 |
6/10 |
Equity and Investment Valuation I |
第17週 |
6/17 |
Equity and Investment Valuation II |
第18週 |
6/24 |
Final Exam |
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