《投資組合管理與投資分析》課程教學大綱

1、投資組合管理與投資分析（雙語）課程教學大綱一、課程基本信息課程名稱：投資組合管理課程代碼：FIN816 學 分：4周 學 時：3.0-0.0總 學 時：51二、任課教師、助教、教室等情況（四）教 室：F201 實 驗 室：（五）上課時間：每周三上午1-3節(jié)，每周五上午1-3節(jié)紀 律：1、無特殊情況，不允許無故缺課。2、每次作業(yè)須在規(guī)定時間內(nèi)提交。三、閱讀材料（一）推薦教材：Grinold, Richard C., and Ronald N. Kahn. “Active portfolio management.” (2000).（二）參考教材：主動投資組合管理第二版，李騰 楊柯敏 劉震 譯（三

2、）進一步閱讀教材：中國知網(wǎng)( HYPERLINK )相關(guān)文獻四、課程內(nèi)容概要（一）課程目標1.理解并掌握投資組合管理的基本知識框架體系。2.熟練掌握量化投資管理工具的理論內(nèi)涵和應(yīng)用方法。3.能夠邏輯清晰地論證他人提出的投資組合管理模型，并進行評價和完善。4.熟練應(yīng)用數(shù)理分析軟件進行量化投資管理。5.精通以下技能：口頭陳述的能力、撰寫案例研究報告的能力、滿足投資組合管理與學術(shù)所需的軟件使用技能、文獻搜索和互聯(lián)網(wǎng)信息檢索能力。6.鼓勵學生多瀏覽國內(nèi)外經(jīng)典文獻，融會貫通鞏固課堂內(nèi)外的專業(yè)知識，以達到科學人才培養(yǎng)與理想信念教育、愛國主義教育、心理健康教育、品行道德教育等多領(lǐng)域的思想政治教育相融合的目的

3、。7.通過師生交流、同學合作，養(yǎng)成認真、嚴謹?shù)膶W習態(tài)度；鍛煉友愛、包容、相互尊重的個人品質(zhì)；充分理解課程主旨思想，在遵循新時代中國特色社會主義思想、黨的十九大精神的大前提下，學以致用，將所學更好的服務(wù)于社會。（二）教學內(nèi)容序號題目知識點學時（課堂教授）1IntroductionThe development of investment3The evolvement of active management2Foundational theoryThe Capital Asset Pricing Model: theory and applications27Risk: definition,

4、measurement, and forecastingEconometric models and applications in active managementExceptional return, benchmarks, and value added: transfer to active managementResidual risk and return: the information ratioThe fundamental law of active management: the way to improve the investment strategy3Expect

5、ed returns and valuationExpected returns and the arbitrage pricing theory9Valuation in theory: the core of active managementValuation in practice: models and applications 4Information ProcessingForecasting basics: terminology and skillsAdvanced forecasting: multiple assetsInformation analysis: the b

6、asic framework and data issuesThe information horizon: applications in information analysis35Proposal defense in classStudents defend their research proposal in the class 6課時總計：48學時42（課程教授）+6(課程答辯)（三）課程要求1.文獻與參考書閱讀作業(yè)：課堂進行隨機抽查回答與提前指定匯報結(jié)合方式。2.課后大作業(yè)：獨立完成大作業(yè)，并于一周后交于老師批改打分。3.課程答辯：課程答辯從第15個教學周開始，以個人為單位進行。

7、要求運用本課程所學理論與方法，論述跟主動投資組合管理相關(guān)的學術(shù)問題，或經(jīng)典投資組合管理案例展示。課堂展示要求全英文報告，結(jié)合課堂所學對現(xiàn)實問題加入個人理解分析。（四）教學安排課程講授內(nèi)容授課方式輔助學習材料備注1Introduction:1. The development of investment2. The evolvement of active management講授課外閱讀Book “Active Portfolio Management” Chapter 1and recommended literature reading2The Capital Asset Pricing

8、Model: definition, challenge, and application講授課外閱讀 Book “Active Portfolio Management” Chapter 23Risk: definition, measurement, forecasting, structural risk model (derivation and marginal effect analysis)講授課外閱讀Book “Active Portfolio Management” Chapter 34-5Econometric models and active management: O

9、rdinary Least Square and Generalized Least Square Estimation and Applications講授課外閱讀Class Note and recommended literature reading 6Exceptional return, benchmarks, and value added: definition, calculation and relationships to active management講授課外閱讀Book “Active Portfolio Management” Chapter 4and recom

10、mended literature reading7Characteristic Portfolios and Efficient Frontier: derivation and intuition for portfolio management講授Class Note and Book “Active Portfolio Management”按國家法定節(jié)假日安排調(diào)整進度8Residual risk and return: the information ratio and residual frontier. Transition to active management. 講授課外閱

11、讀Book “Active Portfolio Management” Chapter 5 9The fundamental law of active management: theory and application講授課外閱讀Book “Active Portfolio Management” Chapter 6and recommended literature reading10Expected returns and the arbitrage pricing theory: the model and its application講授課外閱讀Book “Active Port

12、folio Management” Chapter 7and recommended literature reading11Valuation in theory: net present value and modern valuation theory講授課外閱讀Book “Active Portfolio Management” Chapter 8and recommended literature reading 12Valuation in practice: valuation models and application講授課外閱讀Book “Active Portfolio

13、Management” Chapter 9and recommended literature reading 13(1) Forecasting basics: information refinement and forecasting rules. (2) Advanced forecasting: time series analysis and multiple-assets and multiple forecasts講授課外閱讀Book “Active Portfolio Management” Chapter 10 and 11 14(1) Information analysis: information transformation and data mining. (2) The information horizon: macro and micro analysis講授課外閱讀Book “Active Portfolio Man