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(²Ä¤@¶g)I. Introduction 1. Introduction to finance and financial markets ¾\Åª¶i«× BKM, Chapters 1 and 2, @¡§The New Capitalism, How Unfettered finance is fast reshaping the global economy¡¨, Martin Wolf, The Financial Times, June 18, 2007. 2.Financial Instruments and Markets ¾\Åª¶i«× : BKM, Ch. 23 3. Statistics and Econometrics Review ¾\Åª¶i«× : BKM, Appendix A (²Ä¤G¶g)II. Portfolio Allocation 1. Risk and Return ¾\Åª¶i«× : BKM, Ch. 4.24.6, Appendix to Chapter 4. BKM, Ch. 5 Risk as a History of Ideas @Peter L. Bernstein,¡¨ Risk as a History of Ideas¡¨, Financial Analysts Journal ,JanuaryFebruary 1995 @ Paul A. Samuelson, ¡§Risk and Uncertainty: A Fallacy of Large Numbers,¡¨ Scientia, XCVIII, 1963, 108113. G. W. Schwert, "Stock Market Volatility," Financial Analysts Journal, MayJune 1990. Leibowitz,M.L. and W.S. Krasker, ¡§The Persistence of Risk :Stocks versus Bonds over the Long Term,¡¨ Financial Analysts Journal, NovDec. 1988. @ Rajnish Mehra,¡¨The Equity Premium: Why Is It a Puzzle?¡¨,Financial Analysts Journal, January/February 2003, Vol. 59, No. 1: 5469 (²Ä¤T¶g)2. Portfolio Theory ¾\Åª¶i«× : BKM, Ch. 6.16.4;Ch.7.27.4 @ George Chow and Mark Kritzman,¡¨: Risk Budgets ¡§,: Journal of Portfolio Management 27 no2 5660 Wint 2001 Jorion, P., "Portfolio Optimization in Practice," Financial Analysts Journal, JanFeb 1992, 6874. Brealey, Richard, "Portfolio Theory versus Portfolio Practice", , Journal of Portfolio Management, Summer 1990, 610. *Chopra, V.K. and W.T. Ziemba, ¡§The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice,¡¨ Journal of Portfolio Management, Winter 1993, 611 III.Models of Capital Market Equilibrium (²Ä¥¶g) 1. The CAPM and its Implications ¾\Åª¶i«×:BKM, Ch. 8.1, Ch. 7.;Malikel, Ch. 9&10 2.Index Models and their Implications ¾\Åª¶i«×: BKM, Ch. 9 @ Sharpe, William F. Risk, Market Sensitivity and Diversification. Financial Analysts Journal (JanFeb 1995): 8488. (²Ä¤¶g)3. The APT and its Implications ¾\Åª¶i«×: BKM, Ch. 1 @Roll, Richard, and Stephen A. Ross. The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning. Financial Analysts Journal (JanFeb 1995): 122131 Bower, D.H., Bower, R.S., and D.E. Logue, "A Primer on the Arbitrage Pricing Theory," Midland Corporate Fiance Journal, 1986. *Sharpe, W.F., ¡§Factor Models, CAPMs and the APT,¡¨ Journal of Portfolio Management, Fall 1984, 2125 (²Ä¤»¶g) 4. Empirical Evidence on Stock and Bond Returns Do the CAPM and the AP T Work? ¾\Åª¶i«×: BKM, Ch. 11.111.2;*CLM, Ch. 5;*CLM, Ch. 6 @Fama, E.F. and K.R. French, "The CrossSection of Expected Stock Returns," Journal of Finance, 1992, Vol. 47, 427465 Black, F., "Beta and Return," Journal of Portfolio Management, Fall, 1993, 818 @Black, F,"Estimating Expected Return", Financial Analysts Journal, JanFeb 1995, 168171. *Brealey, R.A., ¡§Portfolio Theory verses Portfolio Practice,¡¨ Journal of Portfolio Management, Summer 1990 @ James L. Davis; Eugene F. Fama; Kenneth R. French¡A2000,¡¨Characteristics, Covariances, and Average Returns: 1929 to 1997¡¨,The Journal of Finance, Vol. 55, No. 1. (Feb., 2000), pp. 389406. *Grinold, R.C., ¡§Are Benchmark Portfolios Efficient?¡¨ Journal of Portfolio Management, Fall 1992, 3440 @ Jagannathan, R., and E. McGrattan. The CAPM Debate. Federal Reserve Bank of Minneapolis Quarterly Review 19 (1995): 217. @John H. Cochrane, ¡§New facts in finance¡¨, Economic Perspectives,1999 Federal Reserve Bank of Chicago 23(3), pp. 3658, 1999.. (²Ä¤C¶g) IV. The Efficient Market Hypothesis: Event Studies and Market Anomalies 1. Market Efficiency and the Random Walk ¾\Åª¶i«×: BKM, Ch. 12.1;Malkiel, Ch. 8 LM, Ch. 1;*CLM,Ch.2; @ Fama, Eugene F., (1991), ¡§Efficient capital markets¡GII¡¨, Journal of Finance 46, pp383420 @Fama, Eugene F,¡§Random Walks in Stock Market Prices¡¨, Financial Analysts Journal, JanFebruary,1995, 7580. ¡§The Efficient Market Hypothesis and its Critics¡¨, Burton G. Malkiel, Journal of Economic Perspectives,Winter 2003 17 (1) 5982 @ Daniel, Kent, and Sheridan Titman. Market Efficiency in an Irrational World. Financial Analysts Journal (NovDec 1999): 2840. *LM, Ch2, ¡§Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test¡¨. Black, F., ¡§Implications of the Random Walk Hypothesis for Portfolio Management,¡¨ Financial Analysts Journal, MarchApril 1971 Chua, J.H. and R.S. Woodward, "J.M. Keynes's Investment Performance :A Note," Journal of Finance, Vol. 38, No. 1, March 1983 @Jegadeesh and Titman (1993). Returns to Buying Winners and Selling Losers: Implications for Market Efficiency, Journal of Finance (1993). Keane, S.M.,"Paradox in the Current Crisis in Efficient Market Theory," Journal of Portfolio Management, Winter 1991, 3034 (²Ä¤K¶g) 2. Technical Analysis and Newsletters ¾\Åª¶i«×: BKM, Ch. 12.2; Malkiel, Ch. 5&6 Ball, R. and R.R. Officer, "Try this on your Chartist," Chapter 11 in Share Markets and Portfolio Theory, University of Queensland Press, 1980, pp 144147. 3. Event Studies ¾\Åª¶i«×: BKM, Ch. 12.3;*CLM, Ch. 4 4. Market Anomalies and Behavioral Finance ¾\Åª¶i«× : BKM, Ch.12.4 @ Statman, Meir. Behavioral Finance: Past Battles and Future Engagements. Financial Analysts Journal (NovDec 1999): 1827 *Introduction to behavior finance (power point presentation) @Thaler, R.H. and W.F.M. DeBondt, "Anomalies: A MeanReverting Walk Down Wall Street," Journal of Economic Perspectives, Jan. 1989. Peltz, Michael, ¡§Winner¡¦s Curse¡¨, Worth, Feb, 1999, 102105 Clark,Jim, ¡§Accidental Economist¡¨, U.S. News & World Report, September 13, 1999, p.6061 @ Rubinstein, Mark. Rational Markets: Yes or No? The Affirmative Case. Financial Analysts Journal (MayJun 2001): 1529. *Jacobs, B.E. and K.N. Levy, ¡§Calendar Anomalies: Abnormal Returns at Calendar Turning Points,¡¨ Financial Analysts Journal, NovDec 1988 De Long, J.D. and A. Schleifer, "Closedend Fund Discounts," Journal of Portfolio Management, Winter 1992, 4653. @Lakonishok, J., A. Schleifer and R.W. Vishny, "Contrarian Investment, Extrapolation and Risk," Journal of Finance, 1994, Vol. 49, No. 5, 15411578. @Josef Lakonishok. Andrei Shleifer. Robert W. Vishny. Oliver Hart. George L. Perry,¡¨.The structure and performance of money management industry, Brookings Papers on Economic Activity Microeconomics 1992 339¡V91. @ Lappen, Alyssa A ,¡¨Ivorytower investing ¡§, Institutional Investor, Mar98, Vol. 32, Issue 3 Database: Business Source Premier Section: Money Peltz, Michael, ¡§Winner¡¦s Curse¡¨, Worth February 1999, P. 102105 Dancy, Joe, ¡§Outperforming The Investment Professionals An Impossible Goal?¡¨, The Lone Star Growth Investor (Investment Newsletter) *AM, Ch. 5, ¡§When Are Contrarian Profits Due to Stock Market Overreaction?¡¨ Bookstaber, Richard, ¡§Hedge Fund Existential¡¨ Financial Analysts Journal, September/October 2003, p 19. @ Fama, Eugene F. Market Efficiency, LongTerm Returns, and Behavioral Finance. Journal of Financial Economics 49 (1998): 283306. ²Ä ¤E ¶g : ´Á¤¤¦Ò (²Ä¤Q¶g) V. Performance Evaluation 1. Performance Measure for Equities ¾\Åª¶i«×: BKM, Ch. 23.123.2, 24.2 Sharpe, W.F., "Adjusting for Risk in Portfolio Performance Measurement," Journal of Portfolio Management, Winter 1975, 2934 Burton G. Malkiel, "Returns from Investing in Equity Mutual Funds: 19711991," Journal of Finance, 1995, Vol. 50, No.2,549572. @Murphy, J.M., ¡§Why No One Can Tell Who¡¦s Winning,¡¨ Financial Analysts Journal, MayJune 1980 @ Thomas, Lee R. III. Active Management. The Journal of Portfolio Management (Winter 2000): 2532. @ MARKUS K. BRUNNERMEIER and STEFAN NAGEL,¡¨ Hedge Funds and the Technology Bubble¡¨, THE JOURNAL OF FINANCE • VOL. LIX, NO. 5, OCTOBER 2004 Bruno, H,¡§Why Not Diversify Internationally rather than Domestically?¡¨, Financial Analysts Journal, JanFeb, 1995, 8994. 2. Detecting Market Timing Ability ¾\Åª¶i«×: BKM, Ch. 23.3, Ch. 24.4 *Samuelson, P.A., ¡§The Judgment of Economic Science on Rational Portfolio Measurement: Indexing, Timing, and LongHorizon Effects,¡¨ Journal of Portfolio Management, January 1989 *Jagannathan, R. and R.A. Korajczyk, ¡§Assessing the Market Timing Performance of Managed Portfolios,¡¨ Journal of Business, January 1986[Section I&II] @ Elton, Edwin J., and Martin J. Gruber. The Rationality of Asset Allocation Recommendations. Journal of Financial and Quantitative Analysis 35, 1 (March 2000): 2741. @ Mauboussin, Michael J.(2004), DecisionMaking for Investors, Theory, Practice, and Pitfalls,2004, 5/24, Legg Mason Strategy Paper (²Ä¤Q¤@¶g) VI.Fixed Income Management(²Ä¤Q¤G¶g²Ä¤Q¤T¶g) 1. Fixed Income Instruments ¾\Åª¶i«×: BKM, Ch. 13.1, Ch. 13.3 2. Interest Rate Mathematics ¾\Åª¶i«×: BKM, Ch. 13.4&13.5 3. The Term Structure of Interest Rates, Duration and Convexity ¾\Åª¶i«×: BKM, Ch. 14.3&14.4& Ch. 15.1 Kopprasch, R.W., "Understanding Duration and Volatility," Salomon Brothers Bond Portfolio Analysis Group, 1992. @ Kritzman, Mark P., 1992, ¡§(What Practitioners Need to Know) About Duration and Convexity¡¨,. Financial Analysts Journal, Vol. 48 4. Bond Portfolio Management ¾\Åª¶i«×: BKM, Ch. 15.2 *Gushee, C.H., ¡§How to Hedge a Bond Investment,¡¨ Financial Analysts Journal, MarchApril 1981 (²Ä¤Q¤G¶g) 5. CDO and the subprime crises @ CDO½×z„oÃÒ¨é¤Æªº·s¥D¬y @°ª»ö¼z¡]¥Á95¡^¡A¾á«O¶Å°È¾ÌÃÒ(CDO)µo®i²{ªp¤Î¨äl¥Í°ÝÃD±´°Q¡AÃÒ¨éÂdÂi¤ë¥Z¡A²Ä107´Á¡A¶4965¡C @Àx »T¡ACDO Squared ―¹B¥Îºb±ì®ÄªG¤§·s¿³©T©w¦¬¯q°Ó«~¡AÃÒ¨éº[´Á³f¤ë¥Z ²Ä¤G¤Q¤¨÷ ²Ä¤@´Á¡A2007 @ ±iÄ£¬w¡A¾á«O¶ÅÅv¾ÌÃÒ¤§µû»ù BET¡BFactor Copula»PCopula¤èªk¤§¤ñ¸û»P¤ÀªR¡A2006¡A¤¤µØ金¿Ä³Ð·s»P°]°È¤uµ{¾Ç·¹q¤l論¤åÂù¤ë¥Z @ Nikki Marmery, ¡§The Pricing puzzle¡¨,US credit, April, 2005 @ Duffie, Darrell, and Nicolae Grleanu. Risk and Valuation of Collateralized Debt Obligations. Financial Analysts Journal (JanFeb 2001): 4159. for Ph.D. students @ Kao, DuenLi. Illiquid Securities: Pricing and Performance Measurement. Financial Analysts Journal (MarApr 1993): 2835. (²Ä¤Q¤T¶g)VII.Security Analysis 1. Macroeconomic and Industry Analysis ¾\Åª¶i«×: BKM, Ch. 17 2. Equity Valuation Models ¾\Åª¶i«×: BKM, Ch. 18 3.Financial Statement Analysis ¾\Åª¶i«×: BKM, Ch. 19 4.Valution in Practice¾\Åª¶i«×: ¡§Cash Flow Valuation: A Practitioner¡¦s Guide¡¨ Part II, Tom Copeland, Tim Koller and Jack Murrin, Valuation, McKinsey & Company, Inc. 2003 @ The Ins and Outs of Cash Flow. Business Week (2001). @¡§Do Stock Prices Reflect Fundamental Values?¡¨, J. Randall Woolridge, Journal of Applied Corporate Finance, Spring 1995, 6469. (²Ä¤Q¥¶g) VIII. Futures, Options and Other Derivative Products (²Ä¤Q¥¶g) 1. Futures Contracts ¾\Åª¶i«×: BKM, Ch.21.121.4 French, K.R., "Pricing Financial Futures Contracts: An Introduction," Journal of Applied Corporate Finance, 1989, 5966. (²Ä¤Q¤¶g) 2.Swaps and Interest Rate Derivative Products ¾\Åª¶i«×: BKM, Ch. 22.5 3. Options Markets ¾\Åª¶i«×: BKM, Ch. 19.1&19.2 4. Implementing the BlackScholes Option Pricing Model ¾\Åª¶i«×: BKM, Ch. 20.120.6 Black, F., ¡§How we came up with the Option Formula,¡¨ Journal of Portfolio Management, January 1989 (²Ä¤Q¤»¶g) 5.How to do Risk Management with Derivatives ¾\Åª¶i«×: BKM, Ch. 19.319.5 *Rubinstein, M. and H.E. Leland, ¡§Replicating Options with Positions in Stock and Cash,¡¨ Financial Analysts Journal, JulyAug 1981 *Moriarty, E., Phillops, S. and P. Tosini,¡¨ A Comparison of Options and Futures in the Management of Portfolio Risk,¡¨ Financial Analysts Journal, JanFeb 1981 @"The Case of the Missing Ten Pounds: In which Sherlock Holmes explains forward pricing, options theory and other financial arcana", John Price, Derivatives Strategy, October 1997. (also available online at http://www.sherlockinvesting.com/articles/tenpounds.htm) @ Harvey and Siddique (Journal of Finance 2000) "Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 55, (2000): 12631295. for Ph.D. students @ Jun Pan (2001),The JumpRisk Premia Implicit in Options:Evidence from an Integrated TimeSeries Study, draft June 2001 for Ph.D. students (²Ä¤Q¤C¶g) VIIII. NonStandard Approaches to Investment Analysis 1. Chaos and Nonlinear Dynamics "The Mathematics of Markets: A Survey of the Frontiers of Finance," The Economist, Oct. 9, 1993."The New Rocket Science: Welcome to the Futures of Finance," Business Week, Nov. 2, 1992 2. Artificial Intelligence, Expert Systems and Neural Networks @ Dr Andrew Lo Darwinian Investing, Business Week, FEBRUARY 20, 2006 *Hill, J.M. and F.J. Jones, ¡§Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That,¡¨ Financial Analysts Journal, JulyAug 1988 ²Ä¤Q¤K¶g : ´Á¥½¦Ò

