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.)】
This course focuses on investigating the research, development and implementation of modern quantitative portfolio models. To differentiate from active portfolio management strategies, we will conduct company analysis, style analysis, industry analysis, and economic analysis using completely different approaches. Specifically, understanding and working with multivariate regression, factor analysis, multi-factor models, and mathematical programming skills is inevitable for our purposes. Furthermore, to handle the vast amount of stock prices, fund NAV, and index data, computer programming and database management ability is a plus. Of course, we tend to NOT intimidate participants of this course with overwhelmed computer coding workload. Therefore, standard code templates necessary for carrying out homework and assignments will be provided. Nevertheless, for those who are coding-workaholic, this course still leaves you enough innovative product development projects to spend your sleepless nights.
課程目標 Objectives
Portfolio management is not only a complicated technique but also an art in itself. 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.To keep abreast with current product development trends, we devote efforts to familiarizing participants to fast growing fund products based on quant models. Interesting products include equity market index funds, equity ETF, enhanced indexing, equity market neutral strategies, time-invariant & options-based portfolio insurance strategies, equity fund-of-funds, etc.For participants eager to embrassingembrace the challenges, some understanding of modern portfolio theories is beneficial but not required. Experiences show that: Technical computation is always the last thing to worry about. As long as we set the right goal and suitable objectives, adopt investment instruments and constraints, carry out rigorously risk management, and marketing strategies, and work in a disciplined manner based on the guidelines, the product will strive along healthily. The hope is that everyone taking this course will eventually share the vision and nurture core spirit of quantitative portfolio management.
授課方式 Teaching methods
Lectures, interactive discussions Student presentations and participations Group project and presentationsn Theme: Portfolio product design Demand analysis Investment objectives Investment strategy Investment instruments Investment guidelines Risk management Fees and expenses structure Requirements No more than 3 members in each group Written paper after oral presentation, incorporating instructors suggestions
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
Course materials and handouts will be distributed in class
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
Week
Date
Content and topic
1
2020/02/27~2020/02/29
Introduction - MPI Stylus & Taichi
2
2020/03/01~2020/03/07
Mutual fund market in Taiwan
3
2020/03/08~2020/03/14
Style analysis of equity funds
4
2020/03/15~2020/03/21
Style analysis of fixed income funds
5
2020/03/22~2020/03/28
Style analysis of balanced funds
6
2020/03/29~2020/04/04
Multi-factor model of equity funds
7
2020/04/05~2020/04/11
Testimg procedures of descriptors
8
2020/04/12~2020/04/18
Principal component analysis - forming factors
9
2020/04/19~2020/04/25
Midterm Examination
10
2020/04/26~2020/05/02
Alpha model in MFM
11
2020/05/03~2020/05/09
Enhanced index funds
12
2020/05/10~2020/05/16
Equity market neutral strategies
13
2020/05/17~2020/05/23
Portfolio insurance strategies
14
2020/05/24~2020/05/30
Target date funds
15
2020/05/31~2020/06/06
Global asset allocation model
16
2020/06/07~2020/06/13
Equity portfolio performance evaluation
17
2020/06/14~2020/06/20
Group project presentations
18
2020/06/21~2020/06/24
Final exam
課業討論時間 Office hours
時段1 Time period 1: 時間 Time：星期一12:00~14:00 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.
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V
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3.解決財務問題之能力 3. Problem solving ability in Finance.
V
V
V
4.溝通之能力 4. Communication skill.
V
V
V
5.財務管理專業知識之能力 5. Expertise in Financial management.
V
V
V
V
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V
※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 skills
V
V
V
2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities
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V
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
V
V
7.全球視野。 7. Global perspective
V
V
V
V
8.合作與領導能力。 8. Team work and leadership
9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature