國立中興大學教學大綱

課程名稱	(中) 資產管理(6076)
	(Eng.) Portfolio Management
開課單位	財金所
課程類別	選修	學分	3	授課教師	林盈課
選課單位	財金所 / 碩士班	授課使用語言	中文	英文/EMI		開課學期	1141
課程簡述	Please see my website: http://www.fin.nchu.edu.tw/
先修課程名稱						課程含自主學習	Y

課程與核心能力關聯配比(%)

課程目標之教學方法與評量方法

課程目標

核心能力

配比(%)

教學方法

評量方法

1.批判思考

2.全球視野

3.社會責任感

4.創新

5.領導

6.自主解決問題

專題探討/製作

討論

講授

書面報告

口頭報告

作業

授課內容(單元名稱與內容、習作/每週授課、考試進度-共16週加自主學習)

週次	授課內容
第1週	Week 1 Class Introduction Value and Price Week 2 Diversification, Risk Analysis, and Risk Premium World Wealth Report 2017 Paper Discussion 1: Value Investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38 (Piotroski, 2000) Week 3 Holiday An Owner’s Manual to Berkshire’s shareholders by Warren Buffett: Website: www.berkshirehathaway.com Week 4 Capital Market Theory and Market Inefficiency Paper Discussion 2: In Search of Attention, Journal of Finance 66 (Da, Engelberg, and Cao, 2011) Week 5 Asset Valuation Methods Case Study of Firm Valuation : 茂順公司 /風力發電專案評價 Paper Discussion 3: When does investor sentiment predict stock returns? Journal of Empirical Finance 19. (Chung, Hung and Yeh, 2012) Week 6 Portfolio Construction: Yale Investment Office Group Project Introduction Paper Discussion 4: Contrarian strategies and investor overreaction under price limits, Journal of Economics and Finance (Lin and Swanson, 2010) Week 7 Investment Company: Mutual Fund, Index Fund and Pension Fund/Motif Index Paper Discussion 5: The case for structured equity: An active quantitative investment strategy, Vanguard Investment Counseling & Research (2003) Week 8 Alternative Investments: Silicon Valley Unicorns and the Role of Real Assets Internet Trend KPCB 2017 Paper Discussion 6: Herding of Institutional Investors and Margin Traders on Extreme Market Movements, International Interview of Economics and Finance 33 (Lin and Lin, 2014) Week 9 Hedge Fund Strategies/ Flash Trading and Machine Trading Group Project Proposal Due Week 10 Arbitrage and Limitation of Arbitrage/ Noise Traders Paper Discussion 7: How are stock prices affected by the location of trade, Journal of Financial Economics 53 (Froot and Dabora, 1999) Week 11 The Misbehavior of Mr. Markets/Anti-fragile Strategies I Paper Discussion 8: Contagious speculation and a curve for cancer: A nonevent that made stock prices soar, Journal of Finance 56 (Huberman and Regev, 2001) Week 12 Financial Crisis and Portfolio Protection/ Anti-fragile Strategies II Article Discussion: The Black Swan Effect and Black-Swan Portfolios Paper Discussion 9: Is there a bubble in the house markets? Cowles Foundation, Paper No. 1089 (Case and Shiller, 2004). Week 13 Psychology of Investment/ Think Fast and Slow Paper Discussion 10: Buffett’s Alpha, NBER, Working Paper (Frazzini, et al., 2013) Week 14 Student Group Project Presentation Week 15 Student Group Project Presentation Week 16 Behavioral Finance Paper Discussion 11: All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, RFS (Barber and Odean, 2008) Paper Discussion 12: Noise, JF (Black 1986) Week 17 The Emerging Topics on Portfolio Management: FinTech and Life Cycle Investing Week 18 Final Examination
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第10週
第11週
第12週
第13週
第14週
第15週
第16週
自主學習內容

學習評量方式

Homework and Class Participation 20% Individual Investment Report/Motif Indexing 20%
Group Project and Presentation 30% Final Examination 30%

教科書＆參考書目(書名、作者、書局、代理商、說明)

Text and References
Strong, Robert A. 2012, Portfolio Construction, Management, & Protection, 2nd, South-Western College Publishing, Ohio, U.S.A.
Ineichen, Alexander M., 2003, Absolute Returns: The Risk and Opportunities of Hedge Fund Investing, John Wiley & Sons, Inc., The USA.
Swensen, David F., 2000, Pioneering Portfolio Management, The Free Press, The USA.
Akerlof, George and Robert Shiller, 2009. Animal Spirits: How human psychology drives the economics and why it matters for global capitalism, Princeton University Press. (中文版：動物本能，天下文化)
Akerlof, George and Robert Shiller, 2015. Phishing for Phools: The Economics of Manipulation and Deception, Princeton University Press. (中文版：釣愚，天下文化)
**Kahneman, Daniel, 2011. Thinking Fast and Slow, Penguin Group. (中文版：快思慢想，天下文化)
Levitt, Steven and Stephen Dubner, 2007, Freakonomics, Harper Collins Company, USA. (中文版：蘋果橘子經濟學，大塊文化)
**Levitt, Steven and Stephen Dubner, 2014. Think like a freak: the authors of Freakonomics offer to retrain your brain. HarperCollins Publishers (中文版：蘋果橘子思考術，大塊文化)
Lewis, Michael, 2014. Flash Boys: A Wall Street Revolt, Writers House LLC. (中文版：快閃大對決，早安財金文化)
Lynch, Peter and John Rothchild, 1989, One Up on Wall Street: How to Use What You Already Know to Make Money in the Market, Simon & Schuster Inc. (中文版：彼得林區選股戰略，財信出版)
Mandelbrot, Benoit and Richard Hudson, 2004. The Misbehavior of Markets: A Fractal View of Risk, Ruin, and Reward, Basic Books, New York. (中文版：股價、棉花與尼羅河密碼，早安財金文化)

**Munger, Charles T., 2008. Poor Charlie’s Almanack: The Wit and Wisdom of Charles T. Munger, PCA Publications, (中文版：窮查理的普通常識，商業周刊)
Schroeder, Alice, 2009. The Snowball: Warren Buffett and the Business of Life, Bantam House, Inc. (中文版：雪球，天下文化)
Silver, Nate, 2012. The Signal and the Noise: Why so many predictions fail-but some don’t, The Penguin Press (中文版：精準預測，三采文化)
**Taleb, Nassim Nicholas, 2005. Fooled by Randomness: The hidden role of chance in life and in the markets, Random House. (中文版：隨機騙局，大塊文化)
Taleb, Nassim Nicholas, 2007. The Balck Swan: The Impact of the Highly Improbable, Random House. (中文版：黑天鵝效應，大塊文化)
Taleb, Nassim Nicholas, 2012. Antifragile: Things that gain from disorder, Locus Publishing Company. (中文版：反脆弱，大塊文化)
Thaler, Richard, 2015. Misbehaving: The Making of Behavioral Economics, W.W. Norton & Company.
FinTech and Unicorns: http://graphics.wsj.com/billion-dollar-club/

課程教材（教師個人網址請列在本校內之網址）

Taleb, Nassim Nicholas, 2005. Fooled by Randomness: The hidden role of chance in life and in the markets, Random House. (中文版：隨機騙局，大塊文化)

課程輔導時間

Mondays 12:00 – 13:00 p.m. and other time by appointment

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提供體驗課程：N

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更新日期西元年/月/日：無	列印日期西元年/月/日：2025 / 7 / 04
MyTB教科書訂購平台：http://www.mytb.com.tw/