國立中山大學 108學年度第1學期 課程教學大綱

National Sun Yat-sen University 108Academic year1st Semester Course syllabus

中文名稱
Course name(Chinese)

現代投資組合理論與策略

課號
Course Code

FM517

英文名稱
Course name(English)

MODERN PORTFOLIO THEORY AND INVESTMENT STRATEGY

課程類別
Type of the course

講授類

必選修
Required/Selected

選修

系所
Dept./faculty

財務管理學系碩士班

授課教師
Instructor

鄭義    蔡佳芬    

學分
Credit

3

因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,授課方式調整如下:

         尚未建立傳染性肺炎(武漢肺炎)授課方式調整

因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,評分方式調整如下:

         尚未建立傳染性肺炎(武漢肺炎)課程評分方式﹝評分標準及比例﹞

課程大綱 Course syllabus

         本課程教學大綱已提供完整英文資訊(本選項僅供統計使用,未提供完整英文資訊者,得免勾記)【Provide information of course syllabus in English.(This is for statistical use only. For those who do not provide information of course syllabus in English, do not check this field.)】

In a fast changing financial world, a thorough understanding of investment analysis and portfolio theory is essential for investment managers as well as corporate executives to develop robust business strategies. The emphasis of this course is on the introduction and implementation of modern portfolio theory and investment analysis. Case study will be a major teaching method.







課程目標 Objectives

         We will spend some time working on various computer projects to make participants become familiar with the theory and applications. Students will be working in groups on topics covered in the text as we move on. Ideally, at the end of the semester, the students will understand the standard procedures commonly used in modern portfolio management.
The average students should expect to spend at least 3 hours per week for this course on reading the textbook, doing designated assignments, and preparing for examinations. Regular attendance is highly recommended.







授課方式 Teaching methods

         Lectures
Discussion
Case Study
Group Project Presentation
Discussions on Market Development & Regulatory Issues







評分方式﹝評分標準及比例﹞Evaluation (Criteria and ratio)等第制單科成績對照表 letter grading reference

        
1.homework,projects and presentation50%
2.midterm exam25%
3.final exam25%

參考書/教科書/閱讀文獻 Reference book/ textbook/ documents
〔請遵守智慧財產權觀念,不可非法影印。教師所提供之教材供學生本人自修學習使用,不得散播及做為商業用途〕
No copies for intellectual property rights. Textbooks provided by the instructor used only for self-study, can not broadcast or commercial use

         Text book:
Elton, E. J., M. J. Gruber, S.J. Brown and W.N. Goetzmann, 2010, Modern Portfolio Theory and Investment Analysis, 8th edition, John Wiley & Sons, Inc.
References:
1.Grinold R. C., and R. N. Kahn, 2004, Active Portfolio Management, Probus.
2.Reilly, F. K. and K.C. Brown, 2008. Investment Analysis and Portfolio Management, 8th edition, Thomson South-Western.







彈性暨自主學習規劃 Alternative learning periods

本門課程是否有規劃實施學生彈性或自主學習內容(每1學分2小時)
Is any alternative learning periods planned for this course (with each credit corresponding to two hours of activity)?
否:教師需於「每週課程內容及預計進度」填寫18週課程進度(每1學分18小時之正課內容)。
No:The instructor will include an 18-week course plan in the weekly scheduled progress (each credit corresponds to 18 hours of instruction)
是:教師需於「每週課程內容及預計進度」填寫16週課程內容(每1學分16小時之正課內容),並於下列欄位填寫每1學分2小時學生彈性或自主學習內容。
    Yes:The instructor will include a 16-week course plan in the weekly scheduled progress (each credit corresponds to 16 hours of instruction);the details of the planned alternative learning periods are provided below (each credit corresponds to two hours of activity).

學生彈性或自主學習活動
Alternative learning periods
勾選或填寫規劃內容
Place a check in the appropriate box or provide details
時數
Number of hours
學生分組實作及討論
Group work and discussion
參與課程相關作業、作品、實驗
Participation in course-related assignments, work, or experiments
參與校內外活動(研習營、工作坊、參訪)或競賽
Participation in on- or off-campus activities (e.g., seminars, workshops, and visits) or competitions
課外閱讀
Extracurricular reading
線上數位教材學習
Learning with online digital learning materials
其他(請填寫規劃內容)
Other (please provide details)

每週課程內容及預計進度 Weekly scheduled progress

        
週次日期授課內容及主題
WeekDateContent and topic
12019/09/09~2019/09/15Introduction to Portfolio Theory
22019/09/16~2019/09/22Risk & Return
32019/09/23~2019/09/29Efficient Portfolio
42019/09/30~2019/10/06Utility Theory
52019/10/07~2019/10/13Single Factor Models
62019/10/14~2019/10/20Multi-Factor Models
72019/10/21~2019/10/27Capital Asset Pricing Model-CAPM
82019/10/28~2019/11/03Preparatory session
92019/11/04~2019/11/10Midterm Exam
102019/11/11~2019/11/17Arbitrage Pricing Theory-APT
112019/11/18~2019/11/24Performance Evaluation
122019/11/25~2019/12/01Portfolio Investment Strategies-Active v. Passive
132019/12/02~2019/12/08Portfolio Manager's Style analysis
142019/12/09~2019/12/15A Closer View to Mutual funds, Fund of funds, Hedge funds
152019/12/16~2019/12/22Risk Budgeting and Optimal Manager Allocation
162019/12/23~2019/12/29Group Project Presentation
172019/12/30~2020/01/05Group Project Presentation
182020/01/06~2020/01/12Final Exam

課業討論時間 Office hours

         時段1 Time period 1:
時間 Time:星期二12:00~14:00
地點 Office/Laboratory:管CM4102
時段2 Time period 2:
時間 Time:星期四12:00~14:00
地點 Office/Laboratory:管CM4102

系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilitics of the dcpartment and the university

        
系所學生專業能力/全校學生基本素養與核心能力
basic disciplines and core capabilities of the department and the university
課堂活動與評量方式
Class activities and evaluation
本課程欲培養之能力與素養 This course enables students to achieve.紙筆考試或測驗 Test.課堂討論︵含個案討論︶ Group discussion (case analysis).個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment.群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment.個人口頭報告 Indivisual oral presentation.群組口頭報告 Group oral presentation.課程規劃之校外參訪及實習 Off-campus visit and intership.證照/檢定 License.參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions.課外閱讀 Outside reading.
※系所學生專業能力 Basic disciplines and core capabilities of the department
1.財務倫理之能力與社會責任實踐 1. Financial ethics ability.           
2.國際觀之能力 2. Global perspective.V VVVVV    
3.解決財務問題之能力 3. Problem solving ability in Finance.VVVVVVV    
4.溝通之能力 4. Communication skill.           
5.財務管理專業知識之能力 5. Expertise in Financial management.VVVVVVV    
※全校學生基本素養與核心能力 Basic disciplines and core capabilities of the university
1.表達與溝通能力。 1. Articulation and communication skillsV V VVV    
2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities           
3.終身學習能力。 3. Lifelong learning           
4.倫理與社會責任。 4. Ethnics and social responsibility           
5.美感品味。 5. Aesthetic appreciation           
6.創造力。 6. Creativity           
7.全球視野。 7. Global perspectiveV V V V    
8.合作與領導能力。 8. Team work and leadershipV V V V    
9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature            

本課程與SDGs相關項目:The course relates to SDGs items:

         尚未建立SDGS資料

本課程校外實習資訊: This course is relevant to internship:

         本課程無註記包含校外實習

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