課程大綱

課程資訊

課程名稱	資產管理 ASSET MANAGEMENT
開課學期	95-1
授課對象	管理學院財務金融學系
授課教師	邱顯比
課號	Fin5026
課程識別碼	723EU6500
班次
學分	3
全/半年	半年
必/選修	選修
上課時間	星期二2,3,4(9:10~12:10)
上課地點	管壹202
備註	本課程以英語授課。總人數上限：60人
Ceiba 課程網頁	http://ceiba.ntu.edu.tw/951assetmgmt
課程簡介影片
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課程概述	Asset management includes mutual fund management, pension fund management and discretional account management. Main purposes of this course are to teach the fundamentals of asset management as well as to introduce the recent trends and developments in the asset management industry.
課程目標	Students are expected to read the assigned articles and think through the assigned questions BEFORE the class. Instructor will usually ask students their opinion about the assigned questions at the beginning of each class. The above discussions shall pave the way for a more structured lecture prepared by the instructor. The class also invites experts in related fields as guest speakers.
課程要求
預期每週課後學習時數
Office Hours	每週三 11:00~12:00
指定閱讀
參考書目	Robert C. Pozen, The Mutual Fund Business (2nd Edition), Houghton Mifflin Company, 2002 Houghton Mifflin Company, The Art of Asset Allocation, McGraw-Hill, 2003
評量方式 (僅供參考)

課程進度

週次	日期	單元主題
Week 1	9/19	Introduction
Week 2	9/26	Topic: Performance Evaluation Assignment: Using past performance to select funds Reading: Performance Measurement Manipulation (JPM Spring, 2005)
Week 3	10/03	Topic: Asset Class Assignment: Finding corresponding asset classes (5 funds, 8 indices) Reading: TBA
Week 4	10/10	Double Tenth Day
Week 5	10/17	Topic: Asset Allocation I Assignment: Constructing an efficient frontier Reading: Are optimizers error maximizers? (JPM Summer, 2006)
Week 6	10/24	Topic: Asset Allocation II Assignment: Reading: Strategic versus Tactical Asset Allocation (JPM Winter 2004)
Week 7	10/31	Topic: ETF and Enhanced Index Fund Assignment: Calculating tracking errors in Taiwan 50 ETF Reading: Dimensional, History of The Forecasters (Fall 2004) Dimensional, Revising Core-Satellite Investing (Fall 2004) Speaker: State Street Bank
Week 8	11/07	Topic: Portable Alpha Assignment: Reading: Portable Alpha (JPM Spring 2004) Speaker: JP Morgan
Week 9	11/14	Topic: Multiple Assets Assignment: Using alternative investments to expand the efficient frontier Reading: Institutional Portfolio Management (JPM Summer 2005) Appropriate Policy Allocation for Alternative Investments (JPM Spring 2003) Speaker: Miss Wu from Schroders
Week 10	11/21	Topic: Hedge Funds Assignment: Reading: Five Myths about Fees (JPM Spring 2006) How Hedge Funds Fit (JPM Summer 2005) Speaker: UBS or AIG
Week 11	11/28	Topic: Pension Systems Assignment: Calculating your parents’ pension. Reading:
Week 12	12/05	Topic: Life-path Funds (Target Funds) Assignment: Reading the prospects of a life-path fund (e.g. Fidelity 2025). Will you or your family be interested in investing such funds? Reading: Speaker: Allianz Global Investors
Week 13	12/12	Topic: Pension Fund Management Assignment: Comparing asset allocations: PSPF vs. CALPERs Reading: Home Bias Makes Sense for US Pension Plans Managing Guarantee (JPM Winter 2006)
Week 14	12/19	Topic: Risk Control and Derivatives Assignment: UCITS III Reading:
Week 15	12/26	Topic: Investor Behavior Assignment: Answering a questionnaire Reading:
Week 16	1/02	Presentations and Discussions
Week 17	1/09	Presentations and Discussions