|
課程名稱 |
投資管理
Investment Management |
|
開課學期 |
106-1 |
|
授課對象 |
財務金融學研究所 |
|
授課教師 |
陳彥行 |
|
課號 |
Fin7021 |
|
課程識別碼 |
723EM2200 |
|
班次 |
02 |
|
學分 |
3.0 |
|
全/半年 |
半年 |
|
必/選修 |
必修 |
|
上課時間 |
星期三2,3,4(9:10~12:10) |
|
上課地點 |
管二304 |
|
備註 |
本課程以英語授課。
限碩士班以上
總人數上限：40人 |
|
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1061Fin_InvestmentM |
|
課程簡介影片 |
|
|
核心能力關聯 |
核心能力與課程規劃關聯圖 |
|
課程大綱
|
|
為確保您我的權利,請尊重智慧財產權及不得非法影印
|
|
課程概述 |
The course will cover the following areas:
1. Portfolio Theory:
a. Risk Aversion and Capital Allocation to Risky Assets
b. Optimal Risky Portfolios
c. Index Models
2. Equilibrium in Capital Markets:
a. The Capital Asset Pricing Model
b. Arbitrage Pricing Theory and Multifactor Models of Risk and Return
c. The Efficient Market Hypothesis
3. Fixed-Income Securities:
a. Bond Prices and Yields
b. Managing Bond Portfolios
4. Equity Valuation Models
5. Portfolio Performance Evaluation
|
|
課程目標 |
This course intends to provide a basic understanding of modern investment theory and its application to investment management. When you finish this course, you should have a thorough understanding of security pricing and portfolio management. You will have basic theoretical skills enabling you to understand modern developments in investments and you will be familiar with investment practices. |
|
課程要求 |
待補 |
|
預期每週課後學習時數 |
|
|
Office Hours |
每週四 15:00~16:00
每週三 15:00~16:00 備註： *Please make an appointment in advance via email:
yanshing@ntu.edu.tw
*Office room: 605, Management building II |
|
指定閱讀 |
|
|
參考書目 |
Textbook：Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments and Portfolio 1. Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, Eight Edition, John Wiley & Sons, New York, NY, 2010.
2. Keith C. Brown and Frank K. Reilly, Analysis of Investments and Management of Portfolios, Tenth Edition, South-Western, Mason, OH, 2012.
3. Frank K. Reilly and Edgar A. Norton, Investments, Seventh Edition, South-Western, Mason, OH, 2007.
|
|
評量方式
(僅供參考) |
|
|
週次 |
日期 |
單元主題 |
|
Week 1 |
9/13 |
Portfolio Theory
|
|
Week 2 |
9/20 |
CAPM and EMH
|
|
Week 3 |
9/27 |
Empirical tests of CAPM (I)
|
|
Week 4 |
10/04 |
Holiday
|
|
Week 5 |
10/11 |
Empirical tests of CAPM (II) |
|
Week 6 |
10/18 |
Value premium
|
|
Week 7 |
10/25 |
Momentum strategies
|
|
Week 8 |
11/01 |
Momentum strategies |
|
Week 9 |
11/08 |
Midterm exam |
|
Week 10 |
11/15 |
NTU anniversary school break |
|
Week 11 |
11/22 |
Momentum strategies |
|
Week 12 |
11/29 |
Profitability and investment anomalies;
New factor models |
|
Week 13 |
12/06 |
Profitability and investment anomalies;
New factor models
|
|
Week 14 |
12/13 |
Active portfolio management |
|
Week 15 |
12/20 |
Behavior bias (presentation week)
|
|
Week 16 |
12/27 |
Case study (discussions) |
|
Week 17 |
1/03 |
Case study (presentation week) |
|
Week 18 |
1/10 |
no class |
|