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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 |
陳彥行 |
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課號 |
Fin7021 |
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課程識別碼 |
723EM2200 |
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班次 |
02 |
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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 |
星期四2,3,4(9:10~12:10) |
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上課地點 |
管一405 |
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備註 |
本課程以英語授課。限財工組學生且未修過投資學者選修。
限碩士班以上
總人數上限：30人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1041investm |
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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 |
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
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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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指定閱讀 |
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參考書目 |
Textbook：Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments and Portfolio Management, Ninth Edition, McGraw-Hill/Irwin, New York, NY, 2011. (華泰)
References：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, Ninth Edition, South-Western, Mason, OH, 2009.
3. Frank K. Reilly and Edgar A. Norton, Investments, Seventh Edition, South-Western, Mason, OH, 2007.
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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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Week 1 |
9/17 |
Introduction |
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Week 2 |
9/24 |
Portfolio theory |
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Week 3 |
10/01 |
Portfolio theory |
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Week 4 |
10/08 |
Equilibrium in capital markets |
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Week 5 |
10/15 |
Equilibrium in capital markets |
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Week 6 |
10/22 |
Efficient market hypothesis |
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Week 7 |
10/29 |
Empirical evidence on security returns |
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Week 8 |
11/05 |
Empirical evidence on security returns |
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Week 9 |
11/12 |
Mid-term exam |
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Week 10 |
11/19 |
Traditional tests for CAPM and APT
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Week 11 |
11/26 |
Extensions of CAPM |
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Week 12 |
12/03 |
Liquidity effect
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Week 13 |
12/10 |
Equity premium puzzle
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Week 14 |
12/17 |
Size and Value premium |
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Week 15 |
12/24 |
Term project proposal presentation |
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Week 16 |
12/31 |
Size and Value premium |
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Week 17 |
1/07 |
Momentum effect
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