投資學(1092)

鍾令德
國貿系
2021/02/22
~ 2021/07/31
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開課教師|Instructor


鍾令德 Douglas Chung

簡介:

國立政治大學國貿系助理教授
Assistant Professor of the NCCU Department of International Business

Education:
PhD in Finance, BI Norwegian Business School
MSc in Financial Economics, BI Norwegian Business School
Bachelor of Economics and Finance, The University of Hong Kong

Past work experience:
Economist, The Hong Kong Monetary Authority
Tutor, The University of Hong Kong

專長領域:資產定價實證,散戶投資者,內部交易
Research interests: Empirical Asset Pricing, Retail Investors, Insider Trading

 

課程介紹|Content


This course covers the fundamental principles of investment with emphases on theories and applications. The first part will give an overview of 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.

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.

課程進度|Schedule


 

課程進度:

Week

Date

Topic

Content and Reading Assignment

Teaching Activities and Homework

In-class Hours

Outside-of-class Hours

Week 1

24-Feb-21

Overview of the financial market

Lecture notes and BKM Ch 1, 2

Lecture 1

3

5

Week 2

3-Mar-21

Review of statistical and optimization techniques

Lecture notes and Excel

Lecture 2
HW1

3

5

Week 3

10-Mar-21

Security trading and introduction to Python

Lecture notes, JupyterLab, and BKM Ch 3

Lecture 3

3

5

Week 4

17-Mar-21

Risk and expected returns

Lecture notes, JupyterLab, and BKM Ch 5

Lecture 4
HW2

3

5

Week 5

24-Mar-21

Capital allocation to risky assets

Lecture notes, Excel, and BKM Ch 6

Lecture 5

3

5

Week 6

31-Mar-21

Optimal risky portfolios (2 assets)

Lecture notes, Excel, and BKM Ch 7

Lecture 6
HW3

3

5

Week 7

7-Apr-21

Optimal risky portfolios (N assets)

Lecture notes, Excel, and JupyterLab

Lecture 7

3

5

Week 8

14-Apr-21

Applications of modern portfolio theory

Lecture notes, JupyterLab, and BKM Ch 7, 8

Lecture 8
Project 1

3

5

Week 9

21-Apr-21

Market equilibrium and CAPM

Lecture notes and BKM Ch 9

Lecture 9

3

5

Week 10

28-Apr-21

Applications of index model and CAPM

Lecture notes, JupyterLab, and BKM Ch 8, 9

Lecture 10
HW4

3

5

Week 11

5-May-21

Arbitrage pricing theory and multifactor models

Lecture notes and BKM Ch 10

Lecture 11

3

5

Week 12

12-May-21

Project 1

Group presentations

Presentation of project 1

3

5

Week 13

19-May-21

Factor investing

Lecture notes, JupyterLab, and BKM Ch 10

Lecture 12
Project 2

3

5

Week 14

26-May-21

Performance evaluation

Lecture notes, JupyterLab, and BKM Ch 24

Lecture 13
HW5

3

5

Week 15

2-Jun-21

Investment companies

Lecture notes and BKM Ch 4, 26

Lecture 14

3

5

Week 16

9-Jun-21

Risk management and derivatives

Lecture notes and BKM Ch 20, 22, 23

Lecture 15
HW6 

3

5

Week 17

16-Jun-21

Project 2

Group presentations

Presentation of project 2

3

5

Week 18

23-Jun-21

Final examination

2 hours open book exam

Final examination

3

5

上課形式|Activities


60% Lecture

10% Discussion

10% Group activity

20% E-learning

 

For students taking the course online, lecture videos will be uploaded on Moodle through the EELHUB NCCU YouTube Channel.

評分標準|Grading


 

Assessments

Weights

HW1

5%

HW2

5%

HW3

5%

HW4

5%

HW5

5%

HW6

5%

Group project 1

20%

Group project 2

20%

Final examination

30%

參考書目|Readings


Main textbook:

Investments, 11th Edition by Zvi Bodie, Alex Kane, and Alan Marcus, McGraw-Hill, 2019.

 

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.

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