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Contact Information
Course Summary and Objectives
Course Summary and Objectives
The course is designed to provide graduate students with a thorough grounding in the dynamic process of portfolio management, from the asset allocation decision to the performance evaluation and risk management of the portfolio. The focus of this course is mainly on the application of modern portfolio theory to the issues faced by portfolio managers and institutions investors in financial markets.
The course will cover the following topics:
Overviews the portfolio theory
Asset allocation and portfolio optimization;
Market efficiency and behavior finance
Active and passive portfolio management;
Performance measurement and performance attribution.
Risk management
Market microstructure
ESG Investing and Green Finance
By the end of this course, you will know how to create optimal investment strategies within frameworks of specific objectives and constraints. The course also provides the background necessary for preparing for the CFA® and FRM® exams.
Instructional Methods
Instructional Methods
Material for this course will be presented using multiple teaching approaches:
Interactive lecture
Project-based learning
Cooperative teaching
Game-based learning
Cooperative group work, demonstrations, and/or presentations
Prerequisites and Expectations
Prerequisites and Expectations
This is a quantitative course, but it does not focus on mathematical derivations or complicated statistical analysis. Given that investment management requires one to understand and deal effectively with randomness, a good grounding in statistics is essential, and familiarity with statistics should extend through regression, covariance, and correlation. In addition, you should have a good working knowledge of common software useful for financial and statistical analysis. A spreadsheet program like Excel is an example as is Eviews, Matlab, etc.
If you feel uncomfortable with standard quantitative texts, the below reference is for you. http://highered.mheducation.com/sites/0077861671/student_view0/quantitative_reviews.html
本課程涉及計量方法，但不會特別強調數學推導或複雜的統計分析。有鑑於投資管理需要理解和有效地處理隨機性，因此修課前最好具有良好的統計基礎知識，並且熟悉統計中有關回歸，共變數和相關性等作法。此外，在修課前最好具備統計軟體的基本概念，例如：Excel，Eviews，Python, R, Matlab等。若對計量方法不熟悉，請見參考資料。
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