Type of Credit: Elective
Credit(s)
Number of Students
This advanced undergraduate course covers the fundamental principles of investment with emphases on theories and applications. The first part of the course will give an overview of the financial market and discuss optimal portfolio choice under the modern portfolio theory. We will then discuss the equilibrium implications of optimal portfolio choice and derive the capital asset pricing model (CAPM). Next, we will look into the arbitrage pricing theory (APT) and factor investing. The last part will include topics on other asset classes, performance evaluations, and risk management.
We will extensively use Python to analyze financial data and backtest portfolio strategies. There is no pre-requisite for taking the course, but students are expected to have strong background knowledge in statistics and calculus.
能力項目說明
1.To understand the fundamental theories of portfolio choice and asset pricing.
2.To understand and apply portfolio management techniques.
3.To understand the investment framework and conduct performance evaluation and risk management.
4.To acquire practical experience in working with financial data.
5.To develop skills in reading academic and practitioner journals.
6.To gain insights about trends in investment and portfolio management.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
|
週次 Week |
課程主題 Topic |
課程內容與指定閱讀 Content and Reading Assignment |
教學活動與作業 Teaching Activities and Homework |
學習投入時間 Student workload expectation |
|
|
課堂講授 In-class Hours |
課程前後 Outside-of-class Hours |
||||
|
1 |
Course overview and quantitative tools |
|
Class 1 |
3 |
6 |
|
2 |
Financial market basics |
BKM Chapters 1,2,3 |
Class 2 |
3 |
6 |
|
3 |
Index replications |
BKM Chapter 5 |
Class 3 |
3 |
6 |
|
4 |
Portfolio choices I |
BKM Chapter 6 |
Class 4 |
3 |
6 |
|
5 |
Portfolio choices II |
BKM Chapter 7 |
Class 5 |
3 |
6 |
|
6 |
Applications of portfolio choices |
BKM Chapters 7,8 |
Class 6 |
3 |
6 |
|
7 |
CAPM |
BKM Chapter 9 |
Class 7 |
3 |
6 |
|
8 |
CAPM Applications |
BKM Chapters 11,13 |
Class 8 |
3 |
6 |
|
9 |
Midterm examination |
|
Midterm examination |
|
|
|
10 |
Multifactor model |
BKM Chapter 10 |
Class 9 |
3 |
6 |
|
11 |
Factor investing I |
Lecture notes and journal articles |
Class 10 |
3 |
6 |
|
12 |
Factor investing II |
BKM Chapters 14, 15, 16 |
Class 11 |
3 |
6 |
|
13 |
Performance evaluation |
BKM Chapter 24 |
Class 12 |
3 |
6 |
|
14 |
Mutual funds and ETFs |
BKM Chapter 4 |
Class 13 |
3 |
6 |
|
15 |
Fixed-income securities and bond portfolios (optional) |
BKM Chapters 14, 15, 16 |
Class 14 |
3 |
6 |
|
16 |
Risk management and derivatives (optional) |
BKM Chapters 20, 22, 23 |
Class 15 |
3 |
6 |
|
17 |
Project presentations |
|
Project presentations |
3 |
6 |
|
18 |
Final examination |
|
Final examination |
|
|
Continuous assessments:
1. Homework (20%).
2. Group project (30%).
Examinations:
1. Midterm examination (20%).
2. Final examination (30%).
Main textbook:
Investments, 11th Edition by Zvi Bodie, Alex Kane, and Alan Marcus, McGraw-Hill, 2019. (BKM)
Additional references:
Modern Portfolio Theory and Investment Analysis, 9th Edition by Edwin Elton, Martin Gruber, Stephen Brown, and William Goetzmann, Wiley, 2014.
Asset Management, A Systematic Approach to Factor Investing, 1st Edition by Andrew Ang, Oxford University Press, 2014.