Type of Credit: Required
Credit(s)
Number of Students
The course is organized around the four main ideas in Finance: portfolio risk diversification, global asset allocation, attributes of asset pricing and foreign exchange risk.
能力項目說明
The objective of this course is to provide the theory and the quantitative tools that are necessary for global asset 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 |
Introduction |
NA |
NA |
1.5 |
1.5 |
|
2 |
Speech from Aberdeen |
NA |
Reading report |
3 |
1.5 |
|
3 |
Consumption based model/ Behavioral finance |
Ch1, journal paper |
Reading report |
1.5 |
1.5 |
|
4 |
Consumption based model/ Behavioral finance |
Ch1, journal paper |
Reading report |
1.5 |
1.5 |
|
5 |
Consumption based model/ asset allocation |
Ch1, journal paper |
Reading report |
1.5 |
1.5 |
|
6 |
Speech from Aberdeen |
NA |
Reading report |
3 |
1.5 |
|
7 |
Holidays |
NA | NA |
|
|
|
8 |
Applying the basic model/ Are the Fama and French Factors Global or Country Specific? |
Ch2, journal paper |
Reading report |
1.5 |
1.5 |
|
9 |
Midterm off |
NA |
NA |
|
|
|
10 |
Contingent claim markets/ International Competition and Exchange Rate Shocks |
Ch3, journal paper |
Reading report |
1.5 |
1.5 |
|
11 |
Contingent claim markets/ Asymmetric exchange rate exposure |
Ch3, journal paper |
Reading report |
1.5 |
1.5 |
|
12 |
Speech from Aberdeen |
NA |
Reading report |
3 |
1.5 |
|
13 |
The discount factor/ Regime switches in exchange rate volatility |
Ch4, journal paper |
Reading report |
1.5 |
1.5 |
|
14 |
The discount factor/ Common risk factors in FX markets |
Ch4, journal paper |
Reading report |
1.5 |
1.5 |
|
15 |
M-V frontier & beta representation/ Currency momentum strategies |
Ch5, journal paper |
Reading report |
1.5 |
1.5 |
|
16 |
M-V frontier & beta representation/ Currency value strategies |
Ch5, journal paper |
Reading report |
1.5 |
1.5 |
|
17 |
Enterprise visiting |
NA |
Reading report |
3 |
1.5 |
|
18 |
Final off |
NA |
NA |
|
|
The final grade will be calculated according to the following weighting system:
|
Weekly reading report |
50%
|
|
Oral Presentation of Assigned Papers |
50% |
Assigned Papers
Asset Pricing, by John H. Cochrane
Financial decisions and markets, by John Y. Campbell
http://ecsocman.hse.ru/data/018/648/1219/finbook.pdf