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課程名稱 |
投資管理
Investment Management |
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開課學期 |
104-1 |
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授課對象 |
財務金融學研究所 |
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授課教師 |
何耕宇 |
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課號 |
Fin7021 |
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課程識別碼 |
723 M2200 |
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班次 |
01 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
必修 |
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上課時間 |
星期三7,8,9(14:20~17:20) |
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上課地點 |
管二102 |
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備註 |
本課程中文授課,使用英文教科書。財金組、風管組全體學生，以及財工組曾修過財管、投資學的學生限修此班。
限碩士班以上 且 限本系所學生(含輔系、雙修生)
總人數上限：70人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1041Fin7021_01 |
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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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課程概述 |
This course is a graduate level course of invesment management for students already having relevant undergraduate background. The purpose of the course is to equip students with advanced knowledge on portfolio theory and investment analysis. The course materials cover mean-variance portfolio theory, factor pricing models, security valuation, and portfolio performance evaluation. Related empirical journal articles are assigned for group presentations. There will also be a mid-term exam and a final exam. |
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課程目標 |
This course is a graduate level course of invesment management for students already having relevant undergraduate background. The purpose of the course is to equip students with advanced knowledge on portfolio theory and investment analysis. The course materials cover mean-variance portfolio theory, factor pricing models, security valuation, and portfolio performance evaluation. Related empirical journal articles are assigned for group presentations. There will also be a mid-term exam and a final exam. |
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課程要求 |
1. Group Presentation (20%).
2. Mid-Term Exam (30%).
3. Final Exam (35%).
4. Class Discussion and Participation (15%). |
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預期每週課後學習時數 |
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Office Hours |
另約時間 |
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指定閱讀 |
1. Elton, Gruber, Brown, Goetzmann, 2014, Modern Portfolio Theory and Investment Analysis, 9th ed., Wiley. (EGBG)
This is the main reference, but there are additional teaching materials from various sources.
2. Lecture Notes.
3. Assigned Journal Articles. |
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參考書目 |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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第1週 |
9/16 |
Introduction;
Review of Financial Markets |
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第2週 |
9/23 |
Mean-Variance Portfolio Theory I |
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第3週 |
9/30 |
Mean-Variance Portfolio Theory II |
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第4週 |
10/07 |
Mean-Variance Portfolio Theory III |
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第5週 |
10/14 |
Mean-Variance Spanning and Intersection Tests |
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第6週 |
10/21 |
Empirical Studies on Portfolio Diversification |
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第7週 |
10/28 |
Capital Asset Pricing Model (CAPM) I |
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第8週 |
11/04 |
Mid-Term Exam |
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第9週 |
11/11 |
Capital Asset Pricing Model (CAPM) II |
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第10週 |
11/18 |
Arbitrage Pricing Theory (APT) |
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第11週 |
11/25 |
Market Efficiency and Behavioral Finance |
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第12週 |
12/02 |
Empirical Studies on Factor Pricing Models I |
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第13週 |
12/09 |
Empirical Studies on Factor Pricing Models II |
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第14週 |
12/16 |
Empirical Studies on Behavioral Related Anomalies |
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第15週 |
12/23 |
Equity and Bond Valuation I |
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第16週 |
12/30 |
Equity and Bond Valuation II |
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第17週 |
1/06 |
Portfolio Performance Evaluation |
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第18週 |
1/13 |
Final Exam |
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