Type of Credit: Elective
Credit(s)
Number of Students
This is an advanced course introducing modern investment theory and its application to portfolio management. This course will focus on financial theories and empirical evidence useful for investment decisions. In addition, this intends to provide the theoretical framework for further studies and work in the area.
The prerequisite course is Investments. Much of the material in this class is quantitative and highly analytical. Students should be comfortable with mathematical and statistics concepts.
能力項目說明
The course covers risk and return, efficient market hypothesis, optimal portfolio choice, asset pricing models, investment strategies, and fund performance measurement. Students are exposed to a broad overview of modern finance and gain a deep understanding of certain key theories. Practical issues, such as data collecting, data manipulation, and data analysis, are also introduced. Students are expected to apply empirical techniques learned in class to actual stock price data and replicate selected results from the academic literature discussed in class.
Schedule of the Course:
Note: I will adjust this schedule to meet the needs of the class. Please refer to the e-Learning (WM5) for scheduling updates.
| 週次 | 課程主題 | 課程內容與指定閱讀 | 教學活動與作業 | 學習投入時數 | |
| Week | Course Theme | Content and Reading Assignment | Activity and Homework | Estimated time devoted to coursework per week | |
| 課堂講授 | 課程前後 | ||||
| Lecture Hours | Preparation Time | ||||
| 1 | Assets classes and financial instruments and How securities are traded | BKM Chapter 2 and Chapter 3 | Class review & homework | 3 | 6 |
| 2 | Assets classes and financial instruments and How securities are traded | BKM Chapter 2 and Chapter 3 | Class review & homework / 1st Homework Assignment Due | 3 | 6 |
| 3 | Risk, return, and the historical record | BKM Chapter 5 | Class review & homework / 2nd Homework Assignment Due | 3 | 6 |
| 4 | Capital allocation to risky assets | BKM Chapter 6 | Class review & homework / 3rd Homework Assignment Due | 3 | 6 |
| 5 | Optimal risky portfolios | BKM Chapter 7 | |||
| 6 | Guest speach | Class review / 4th Homework Assignment Due | 3 | 6 | |
| 7 | Index models and Performance-measure approaches for selecting optimum portfolio | BKM Chapter 8 | Class review & homework | 3 | 6 |
| 8 | Capital asset pricing model, arbitrage pricing theory, and multifactor models for risk and return | BKM Chapter 9 and Chapter 10 | Class review & homework / 5th Homework Assignment Due | 3 | 6 |
| 9 | Midterm exam | Chapters up to Meeting 8 | In-class exam | ||
| 10 | The efficient market hypothesis | BKM Chapter 11 | Class review & homework / 6th Homework Assignment Due | 3 | 6 |
| 11 | Behavioral finance and technical analysis | BKM Chapter 12 | Class review & homework / 7th Homework Assignment Due | 3 | 6 |
| 12 | Portfolio performance evaluation | BKM Chapter 24 | Class review & homework / 8th Homework Assignment Due | 3 | 6 |
| 13 | Hedge funds | BKM Chapter 26 | Class review & homework / 9th Homework Assignment Due | 3 | 6 |
| 14 | Option markets: introduction | BKM Chapter 20 | Class review & homework / 10th Homework Assignment Due | 3 | 6 |
| 15 | Option valuation | BKM Chapter 21 | Class review & homework / 11th Homework Assignment Due | 3 | 6 |
| 16 | Final Exam | In-class exam | |||
Grading Policy
Required book:
Investments (13th ed.), by Bodie, Kane, and Marcus, McGraw‐Hill, 2024.
Reference books: