投資學(1102)

鍾令德
國際經濟與貿易學系
2022/02/14
~ 2022/06/20

開課教師|Instructor


鍾令德
助理教授

專長領域:資產定價實證,散戶投資者,內部交易

Arash Aloosh
助理教授

NEOMA Business School

Paul Ehling
教授

Handelshøyskolen BI

課程介紹|Content


This course covers the fundamental principles of investment, emphasizing theories and applications. The first part will overview the financial market and discuss optimal portfolio choice under the modern portfolio theory. We will proceed by discussing the equilibrium implications of optimal portfolio choice and deriving 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 performance evaluation, fund industry, risk management, and derivatives.

Conditional on the availability of foreign faculty members from partner institutions, this course may include sessions on cryptocurrency markets and FinTech.

This course is quantitative in nature. We will use the Python programming language to analyze data and apply investment theories throughout this course. There is no pre-requisite for programming knowledge, and we will introduce these tools as the course progresses. That said, to enhance the learning outcomes, students are strongly recommended to take an introductory MOOC course on Python. Examples include:

http://ctld.video.nccu.edu.tw/km/1399?page=5

https://www.edx.org/learn/python

https://www.coursera.org/search?query=python

課程目標|Goal


  1. To understand the fundamental theories of portfolio choice and asset pricing.
  2. To apply portfolio management techniques in Excel and Python.
  3. To acquire practical experience in working with financial data.
  4. To gain awareness of the limitations of theoretical models in reality.
  5. To learn about the investment management industry and performance evaluation.
  6. To gain insights about trends in investment and portfolio management.
  7. To acknowledge the latest developments in FinTech and the cryptocurrency market. (Conditional on the availability of foreign faculty members)
  8. To learn the importance of risk management and the use of financial derivatives.

課程進度|Schedule


The following course schedule is tentative. Topics on cryptocurrency and FinTech are subject to the availability of foreign faculty from a partner institution.

Week Topic Teaching materials Teaching activities In-class hours Self-study hours
1 Introduction to the financial market Lecture notes and BKM Ch 1, 2 Lecture 1 3 5
2 Overview of the currencies and cryptofinance Lecture notes and articles Lecture 2
Homework 1
3 5
3 Security trading Lecture note and BKM Ch 3 Lecture 3 3 5
4 Review of statistics Lecture notes, Excel, and JupyterLab Lecture 4 3 5
5 Risk and return Lecture notes, JupyterLab, and BKM Ch 5 Lecture 5
Homework 2
3 5
6 Portfolio choice: mean-variance criterion Lecture notes, Excel, and BKM Ch 6 Lecture 6 3 5
7 Cryptocurrency: technology and ecosystem Lecture notes and articles Lecture 7 3 5
8 Portfolio choice: optimal portfolios Lecture notes, Excel, and BKM Ch 7 Lecture 8 3 5
9 Applications of modern portfolio theory Lecture notes, JupyterLab, and BKM Ch 7, 8 Lecture 9
Homework 3
3 5
10 Capital asset pricing model Lecture notes and BKM Ch 9 Lecture 10 3 5
11 Introduction to DeFi and Fintech Lecture notes and articles Lecture 11 3 5
12 Arbitrage pricing theory Lecture notes and BKM Ch 10 Lecture 12 3 5
13 Applications of asset pricing models Lecture notes, JupyterLab, and BKM Ch 8, 9, 10 Lecture 13
Homework 4
3 5
14 Project on cryptocurrency Group discussion and presentations Presentation of project 1 3 5
15 Risk management and derivatives securities Lecture notes and BKM Ch 20, 22, 23 Lecture 14 3 5
16 Pricing of derivatives securities Lecture notes and BKM Ch 21 Lecture 15
Homework 5
3 5
17 Project on investment strategies Group discussion and presentations Presentation of project 2 3 5
18 Final examination 3 hours open book exam Final examination 3 5

上課形式|Activities


50%

講述Lecture

15%

討論Discussion

20%

小組活動Group activity

15%

數位學習E-learning

0%

其他:Others:

評分標準|Grading


Assessments of the course:

  • 5 Individual Homework Assignments (5% each, 25% total)
  • Group Project 1 on cryptocurrency and FinTech (20% total)
  • Group Project 2 on investment strategy (20% total)
  • Individual Final examination (35% total)

參考書目|Readings


Investments, 12th Edition by Zvi Bodie, Alex Kane, and Alan Marcus, McGraw-Hill, 2021. (BKM)

Python for Finance, 2nd Edition by Yves Hilpisch, O’Reilly, 2020.

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