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
- To understand the fundamental theories of portfolio choice and asset pricing.
- To apply portfolio management techniques in Excel and Python.
- To acquire practical experience in working with financial data.
- To gain awareness of the limitations of theoretical models in reality.
- To learn about the investment management industry and performance evaluation.
- 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 |
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 |
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 |
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 |
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 |
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 |
3 |
5 |
|
Week 14 |
26-May-21 |
Performance evaluation |
Lecture notes, JupyterLab, and BKM Ch 24 |
Lecture 13 |
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 |
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.
