Type of Credit: Elective
Credit(s)
Number of Students
This graduate 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.
| Week | Topic | Content and Reading Assignment | Teaching Activities and Homework | Student workload expectation | |
| In-class Hours | Outside-of-class Hours | ||||
| 1 (5-Sep-2025) | Course overview and quantitative tools | Lecture notes | Class 1 | 3 | 6 |
| 2 (12-Sep-2025) | Financial market basics | BKM Chapters 1,2,3 | Class 2 | 3 | 6 |
| 3 (19-Sep-2025) | Index replications | BKM Chapter 5 | Class 3 | 3 | 6 |
| 4 (26-Sep-2025) | Portfolio choices | BKM Chapters 6, 7, 8 | Class 4 | 3 | 6 |
| 5 (3-Oct-2025) | CAPM | BKM Chapter 9 | Class 6 | 3 | 6 |
| 6 (10-Oct-2025) | Holiday | ||||
| 7 (17-Oct-2025) | Midterm examination | 6 | |||
| 8 (24-Oct-2025) | Holiday | ||||
| 9 (31-Oct-2025) | CAPM Applications | BKM Chapters 11,13 | Class 7 | 3 | 6 |
| 10 (7-Nov-2025) | Multifactor model | BKM Chapter 10 | Class 8 | 3 | 6 |
| 11 (14-Nov-2025) | Factor investing I | Lecture notes and journal articles | Class 9 | 3 | 6 |
| 12 (21-Nov-2025) | Factor investing II | Lecture notes and journal articles | Class 10 | 3 | 6 |
| 13 (28-Nov-2025) | Performance evaluation | BKM Chapter 24 | Class 11 | 3 | 6 |
| 14 (5-Dec-2025) | Mutual funds and ETFs | BKM Chapter 4 | Class 12 | 3 | 6 |
| 15 (12-Dec-2025) | Project presentations | Project presentations | 3 | 6 | |
| 16 (19-Dec-2025) | Final examination | 6 | |||
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.