當期課號 |
1324 |
Course Number |
1324 |
授課教師 |
嚴宗銘 |
Instructor |
YAN,TUNG MING |
中文課名 |
投資策略與管理 |
Course Name |
Investment Strategies and Management |
開課單位 |
財務金融系(四日)三A |
Department |
|
修習別 |
選修 |
Required/Elective |
Elective |
學分數 |
3 |
Credits |
3 |
課程目標 |
本課程旨在培養學生對於投資組合的分析與管理能力,並且協助學生進行投資決策與績效評估。本課程之主要內容如下: 1.投資程序與管理 2.認識風險與報酬 3.股票與債券市場 4.效率市場 5.基本分析與技術分析 6.投資組合管理 7績效評估 |
Objectives |
Approaches to Valuation/Risk and Return--Theory/Estimation of Discount Rates/Understanding Financial Statements/Estimation of Cashflows/Estimation of Growth Rates/Market Efficiency--Definition and Tests/Market Efficiency--The Evidence Dividend Discount Models/Free Cashflows to Equity Discount Models/Valuing a Firm--The Free Cashflows to the Firm Approach Special Cases in Discounted Cashflow Valuation/Price-Earnings Multiples/Price-Book Value Multiples/Price-Sales Multiples. |
教材 |
Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk, Second Edition (McGraw Hill) Authors: Richard C. Grinold and Ronald N. Kahn (2000) |
Teaching Materials |
|
成績評量方式 |
報告(30%),平常分數(10%)/二次考試(60%) |
Grading |
Two exams for each 30%, rest for 40% |
教師網頁 |
|
教學內容 |
CAPM的假設與推導,Roll's critique 股票報酬率之決定因素 資產配置與投資組合管理策略 動態資產配置 全球資產配置 技術分析 投資績效評估 債券平均到期日(duration)相關理論 債券之管理策略 衍生性金融產品在投資管理上之應用 投資組合保險 |
Syllabus |
Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. |