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 |