投资组合管理课程教学大纲

投资基金管理课程教学大纲课程名称：投资基金管理课程代码：06236708课程类型：拓展/选修总学时数：32学分：2先修课程：金融学开课单位：经济管理学院适用专业：金融工程一、课程的性质、目的和任务使学生了解和掌握投资基金的基本概念、种类、管理运作的原理和方法以及有关投资基金实务的基本知识，熟悉有关法律法规、自律规范的基本要求，培养学生在实际的投资工作中运用基金的能力，以利于提高投资效益。

二、教学内容及教学基本要求1.投资基金概述主要内容及基本要求：掌握投资基金的概念；熟练掌握投资基金的特征和种类；了解投资基金的发展历程和我国投资基金业的发展现状。

教学重点与难点：投资基金的特征和种类2.投资基金的治理结构主要内容及基本要求：掌握投资基金治理结构的概念及基本框架；了解国际上投资基金的治理模式；熟练掌握我国基金管理人、托管人、持有人及其他当事人的资格条件、职责和权利义务关系；教学重点与难点：投资基金治理结构的概念及基本框架3.投资基金的设立与募集主要内容及基本要求：了解投资基金发起设立的方式和步骤；掌握投资基金的设立条件和募集方式；熟练掌握投资者认购基金的方法和认购份额的计算。

教学重点与难点：认购基金的方法和认购份额的计算4.基金的上市交易主要内容及基本要求：了解基金上市交易的含义、意义和程序；掌握投资基金上市交易的条件；熟练掌握基金份额净值及交易价格的确定。

教学重点与难点：基金份额净值及交易价格的确定5.基金的申购与赎回主要内容及基本要求：掌握投资基金申购与赎回的含义和基金营销；熟练掌握未知价法和基金申购赎回价格的确定；了解投资基金申购与赎回的程序。

教学重点与难点：基金申购赎回价格的确定6. 投资基金的运作主要内容及基本要求：掌握基金的投资目标、投资策略、资产配置和投资限制；了解基金的投资决策模式和过程；了解基金应披露的信息；理解并掌握基金运作中的投资风险、流动性风险、管理风险及其防范。

教学重点与难点：基金的投资目标、投资策略、资产配置和投资限制7. 投资基金的收益、费用、税收及收益分配主要内容及基本要求：掌握基金的收益来源、费用种类及收益分配方式；了解基金的有关税收政策。

《投资学》教学大纲11 课程基本信息课程名称：《投资学》课程类别：专业核心课学分：X学分总学时：X学时111 课程目标通过本课程的学习，使学生系统掌握投资学的基本理论、基本方法和基本技能，培养学生的投资分析和决策能力，为学生今后从事投资相关工作打下坚实的基础。

112 课程内容1121 投资环境介绍投资的基本概念、投资工具、金融市场等。

1122 投资组合理论包括资产组合的风险与收益、有效前沿、资本资产定价模型等。

1123 债券投资债券的定价、收益率计算、债券投资策略等。

1124 股票投资股票的估值、投资分析方法、股票投资策略等。

1125 衍生证券投资期货、期权等衍生证券的基本原理和投资策略。

1126 投资组合管理资产配置、投资绩效评估等。

113 教学方法1131 课堂讲授通过讲解理论知识，使学生掌握投资学的基本概念和原理。

1132 案例分析结合实际案例，培养学生的分析和解决问题的能力。

1133 小组讨论组织学生进行小组讨论，促进学生之间的交流与合作。

1134 实践教学通过模拟投资等实践活动，增强学生的实际操作能力。

114 课程考核1141 平时成绩包括考勤、作业、课堂表现等，占总成绩的X%。

1142 考试成绩采用闭卷考试方式，占总成绩的X%。

115 教材及参考资料1151 教材教材名称，作者，出版社，出版年份1152 参考资料参考资料 1 名称，作者 1，出版社 1，出版年份 1参考资料 2 名称，作者 2，出版社 2，出版年份 2 12 教学进度安排121 第一部分：投资环境（X学时）1211 投资的概念与分类1212 金融市场概述1213 投资工具介绍122 第二部分：投资组合理论（X学时）1221 资产组合的风险与收益1222 有效前沿与无差异曲线1223 资本资产定价模型123 第三部分：债券投资（X学时）1231 债券的基本特征与分类1232 债券的定价模型1233 债券的收益率计算124 第四部分：股票投资（X学时）1241 股票的价值评估1242 基本分析与技术分析1243 股票投资策略125 第五部分：衍生证券投资（X学时）1251 期货与期权的基本概念1252 期货与期权的定价1253 衍生证券投资策略126 第六部分：投资组合管理（X学时）1261 资产配置的基本原理1262 投资绩效评估方法13 教学要求131 教师要求1311 认真备课，精心设计教学内容和教学方法。

《投资学》课程简介课程内容：本课程所谓的投资指的是证券投资。

证券投资是商品经济发展的必然产物，它的存在与发展，已经成为现代市场经济的一个重要标志。

在全球经济一体化的发展和电脑等高新技术全面介入经济生活的条件下，证券投资对一国经济、区域经济，甚至全球经济的推动作用更是达到前所未有的程度，同时也对企业财务管理产生重大的影响。

鉴于此，投资学课程被定位于财务管理专业的专业选修课。

课程着重讲授现代投资学的原理和方法，内容主要包括：1.证券与证券市场：掌握证券发行与承销，上市与交易，股票价格指数等基本内容；2.证券投资的基本面分析：掌握证券投资的宏观分析、产业分析、上市公司分析、证券内在价值评估等原理和方法；3. 证券组合投资理论与有效市场假说：掌握资本资产定价模型、套利模型、有效市场假说的原理和意义；4. 证券投资的技术分析：介绍K线、切线、形态、波浪理论的基本原理和部分技术指标；5.证券市场的监管与自律：介绍我国证券发行、交易等环节的监管制度。

Brief IntroductionCourse Description:The so-called investments are the securities investments. The securities investments are the product of commercial economy, whose existence and development is an important symbol of modern market economy. With the development of global economic integration and all-round impact of high technology such as computers to economy, the securities investments improve not only the economy of one country, but also regional economy and global economy at an unprecedented pace, giving profound impact to financial management in companies. In view of such circumstance, the course of securities investments is designed as an academic selective course. The course attaches importance to teach principles and methods, including:1. Securities and securities market：the issue and underwriting, listing and trading of securities, and stock price indexes etc；2.Fundamental analysis：the principles and methods of macroeconomic analysis, industry analysis and listed company analysis for securities investments; intrinsic value appraisal of securities etc；3. Technical analysis：basic principle of candle line, trend, pattern and wave theory and some technical indexes;4. Efficient Market Hypothesis and Modern Portfolio theory.《投资学》课程教学大纲一、教学内容CHAPTER 1 INVESTMENTS: BACKGROUND AND ISSUESAfter studying this chapter,1.Students should have an understanding of the overall investment process and understandsome key elements involved in the investment process.2.Students should understand differences in financial and real assets and be able toidentify the major components of the investment process.3.Students should be able to describe a derivative security and understand how they areused in our markets after studying this chapter.Key points：Investments & Financial Assets；Types of SecuritiesDifficulties：Investments and InnovationCHAPTER 2 GLOBAL FINANCIAL INSTRUMENTSUpon completion of this chapter,1.Students should have a thorough understanding of the various financial instrumentsavailable to the potential investor.2.The student should have an insight as to the interpretation, composition, and calculationprocess involved in the various market indexes presented on the evening news.3.Finally, the student should have some understanding of the basics of options and futurescontracts.Key points：Primary and Secondary Markets; Market Indexes; Basics of Options and Futures Difficulties：Market IndexesCHAPTER 3 HOW SECURITIES ARE TRADED After studying this chapter,1.The student should have considerable insight as to how securities are traded on both theprimary and secondary markets.2.The student should understand the mechanics, risk, and calculations involved in bothmargin and short trading.3.The student should begin to understand some of the implications, ambiguities, andcomplexities of insider trading and the regulations concerning these issues.Key points：Over The Counter Activities; Margin Trading and Short Selling Difficulties：Short SellingCHAPTER 4 MUTUAL FUNDS AND OTHER INVESTMENTCOMPANIESAfter studying this chapter,1.The students should be able to identify key differences between open-end andclosed-end investment companies.2.Students should be able to describe the expenses associated with investment in mutualfunds and identify the major types of investment policies of mutual funds.3.Students should be able to describe services provided by mutual funds and be able toidentify sources of information on investment companies.Key points：Investment Companies and Mutual FundsDifficulties：NA VCHAPTER 5 THE EFFICIENT MARKET HYPOTHESISAfter studying this chapter,1.the student should thoroughly understand the concept of market efficiency and how tomake rational investment decisions based upon the existence of market efficiency.2.The student also should have a thorough understanding of the many tests of marketefficiency, the forms of market efficiency, and observed market anomalies.Key points：The Forms of Market EfficiencyDifficulties：The Implications of Market Efficiency for InvestorsCHAPTER 6 MACROECONOMIC AND INDUSTRY ANALYSISUpon reading this chapter,1.The student should have a thorough understanding of the macroeconomic factors thataffect security prices.2.The student should understand the roles of fiscal and monetary policy in influencinginterest rates.3.The student should also understand why some industry groups are more affected bymacroeconomic factors than others.Key points：Macroeconomic and Industry Analysis; Industrial Life CycleDifficulties：Industrial Life CycleCHAPTER 7 EQUITY V ALUATIONAfter studying this chapter,1.The student should be able to value a firm using the appropriate dividend discountmodel and the dividend discount-derived price/earnings ratio.2.The student should understand the limitations of each of these models.Key points：Dividend Discount Model; Price/Earnings RatioDifficulties：The Dividend Discount-Derived Price/Earnings RatioCHAPTER 8 FINANCIAL STATEMENT ANALYSISAfter studying this chapter,1.The student should be able to analyze a firm using the basic financial statements toperform ratio analysis.2.The student should be able to identify the source of problems over time by decomposingthe ROE using the Du Pont procedure.3.The student should also be able to identify comparability problems across firms due tothe varying generally accepted accounting principles available to the firm.Key points：Decomposing the ROE Using the Du Pont Procedure; Comparability Problems Difficulties：Decomposing the ROE Using the Du Pont ProcedureCHAPTER 9 BEHA VIORAL FINANCE AND TECHNICAL ANALYSIS After studying this chapter,1.The student should understand the concepts put forth in area of behavioral finance andbe able to describe some of the behavior patterns that may lead to pricing errors.2.The student should understand and be able to use the various technical indicatorspresented in this chapter.3.The student should also understand the theoretical problems of technical analysis in aworld of efficient markets.Key points：Behavioral Finance; Various Technical IndicatorsDifficulties：Candlestick Chart二、教学基本要求CHAPTER 1 INVESTMENTS: BACKGROUND AND ISSUESIn this chapter the student is introduced to the general concept of investing, that is, to forego spending cash today in the hopes of increasing wealth in the future. Real assets are differentiated from financial assets, and the major categories of financial assets are defined. The risk/return tradeoff and the reality that most assets are efficiently (fairly) priced most of the time are introduced. The role of financial intermediaries is discussed as is the increased globalization of the financial markets.CHAPTER 2 GLOBAL FINANCIAL INSTRUMENTSThis chapter describes the financial instruments traded in the primary and secondary markets. The various market indexes that are used as indicators of "the market" are also described. The chapter concludes with a discussion of options and futures.CHAPTER 3 HOW SECURITIES ARE TRADEDThis chapter discusses how securities are traded on both the primary and secondary markets, with detailed coverage of both organized exchange and over the counter activities. Margin trading and short selling are discussed along with detailed examples of margin arrangements. The chapter discusses elements of regulation and ethics issues associated with security transactions.CHAPTER 4 MUTUAL FUNDS AND OTHER INVESTMENTCOMPANIESThis chapter describes the various types of investment companies and mutual funds. The chapter discusses services provided by mutual funds and describes expenses and loads associated with investment in investment companies. Investment policies of different funds are described and sources of information on investment companies are identified.CHAPTER 5 THE EFFICIENT MARKET HYPOTHESISThis chapter examines the concept of market efficiency, that is, in general, securities are fairly priced and one cannot expect to outperform the market, risk-adjusted consistently over time. The implications of market efficiency for investors and studies of the efficient capital market hypothesis are presented in detail.CHAPTER 6 MACROECONOMIC AND INDUSTRY ANALYSISThis chapter discusses the broad-based aspects of fundamental analysis--macroeconomic and industry analysis. Initially, the analysis is placed in a global context, as the performance of domestic firms is being influenced by international economic performance. However, the chapter focuses on aspects of the U. S. economy that affect security returns. Factors such as leading, coincident, and lagging indicators are discussed. In addition, a thorough presentation of the determinants of interest rates is presented. The chapter concludes with a discussion of industry analysis, including information sources and the usefulness of the industrial life cycle in security analysis.CHAPTER 7 EQUITY V ALUATIONThis chapter discusses the process of valuation of common stock. The relationships between intrinsic value and market and book values are presented. Various valuation techniques, and the strengths and weaknesses of these techniques are presented and discussed.CHAPTER 8 FINANCIAL STATEMENT ANALYSISThis chapter discusses the basic financial statements, the differences between accounting and economic income, return on equity (ROE), the decomposition of the ROE into component ratios for the purpose of financial analysis, other ratios relevant for financial analysis, and financial statement comparability problems.CHAPTER 9 BEHA VIORAL FINANCE AND TECHNICAL ANALYSIS The chapter describes the developing area of behavioral finance and describes some of the types of behavior that may lead to price movements being predictable. Technical analysis may be useful in an environment that features some of the behavior patterns presented in behavioral finance. The origin, with the Dow Theory, of technical analysis is presented and charting is explained. Various other types of technical indicators are presented.三、章节学时分配四、教材与主要参考资料教材[1] Jones, C. P., Gilroy, N., Shamsuddin, A., & Naumann, K. (2007). Investments: Analysis and management (2nd Australian ed.). Australia: John Wiley & Sons.参考资料[1] Bodie, Zvi, Alex Kane, and Alan J. Marcus, 2011. Investments (McGraw-Hill/Irwin, New York).[2] Malkiel, Burton Gordon, 2012. A random walk down wall street : The time-tested strategy for successful investing (W.W. Norton & Co., New York).执笔：审核：批准：。

投资学》课程教学大纲课程名称：投资学课程名称：050131总学时：54学时学分：3学分一、课程目的和任务本课程的教学目的是提供投资学的基本知识，使学生理解：投资的机会是什么，如何确定投资的最佳组合，以及在投资出现问题时怎样来处理。

该课程旨在使学生系统了解和掌握投资学的基础知识和基本技能，认识投资过程、投资环境、掌握有效市场、资本资产定价等理论以及投资决策的分析方法，了解国内外最新研究成果。

二、教学基本要求（含素质教育与创新能力培养的要求）1．理解各种理论的基本假设、优缺点和相互关系。

2．熟练掌握资产组合理论、资本资产定价模型、套利定价模型、有效市场假说。

3．熟练掌握投资组合收益与风险的衡量、系统性风险与非系统性风险、有效集、最优投资组合、分离定理、市场组合、资本市场线、证券市场线、无套利定价原理。

4．了解主要的随机过程模型。

5．掌握投资的一般原理，效用函数、确定性等价，效用函数与均值－方差准则，线性定价，对数最优定价，状态价格，风险中性定价，Var。

6．掌握投资业绩评价方法。

三、前修课程、后续课程前修课程：金融市场学、证券投资学后续课程：期货理论与实务、金融工程、金融风险管理四、教学方法及手段（含现代化教学手段）采用多媒体教学，以讲授为主、同时结合上机实验。

五、教学内容与学时分配第一章证券投资概述第一节投资的概念第二节证券投资学的研究对象第二章股份公司与股票第一节股份公司第二节股票概述第三节普通股股票与优先股股票第三章债券第一节政府债券第二节金融债券第三节公司债券第四章投资基金第一节投资基金概述第二节证券投资基金的运作第五章证券市场概述第一节证券市场的形成和发展第二节证券市场的作用第三节证券市场的构成第六章证券发行市场第一节证券发行市场概述第二节股票的发行与承销第三节债券的发行与承销第四节基金的发行第七章证券交易市场第一节证券交易市场的功能第二节证券上市第三节债券交易第八章证券价格的确定和投资收益第一节证券的价值第二节股票价格的确定第三节债券价格的确定第四节投资基金价格的确定第五节证券投资收益及收益率的计算第六节股票价格指数第九章证券投资的基本分析第一节证券投资宏观经济分析第二节宏观经济政策分析第三节区域分析第四节行业分析第五节公司分析第十章证券投资的技术分析第一节技术分析概述第二节技术分析理论第三节技术指标分析第十一章证券投资风险与收益第一节风险与风险分类第二节风险的测量第三节投资组合效果第四节风险与收益的关系第十二章证券市场的管理第一节证券市场监管体系第二节证券市场法规体系第十三章证券投资组合理论第一节投资组合理论的产生和发展第二节马柯威茨模型的均值方差模型第三节资本资产定价模型第十四章金融衍生证券第一节金融衍生证券概述第二节金融衍生证券的主要品种第三节金融衍生证券的交易与运作第四节金融衍生证券在我国的运用章次章节名称总计课时辅导练习课时1证券投资概述3 02股份公司与股票6 03债券3 04投资基金6 05证券市场概述3 06证券发行市场3 07证券交易市场3 08证券价格的确定与投资收益6 09证券投资的基本分析3010证券投资的技术分析6011证券投资的风险与收益3012证券市场管理30说明：本课程为学期课，按每学期18教学周、 3 课时/周计算，共 54课时。

教学大纲《投资学》教学大纲课程编号：课程类型：□通识教育必修课□通识教育选修课□专业必修课■专业选修课□学科基础课总学时：36讲课学时：36实验（上机）学时：0学分：2适用对象：金融学先修课程：宏观经济学、统计学、金融学一、教学目标了解资本市场在现代金融发展中的地位及其作用。

全面掌握投资领域相关理论和投资工具（市场）。

全面掌握投资的基本分析法和技术分析法以及其主要经济意义。

了解投资风险防范的基本方法，了解国内外投资理论和实践的发展趋势。

运用教学、科研、实训等多样化手段，着重培养学生投资领域的发现、分析及解决问题的思维能力，做到理论与实践相结合、国际视野与本土操作相结合、历史-现实-未来相结合，为学生在以后的投资专业课程打好广泛而坚实的学科基础。

目标1：全面掌握投资领域相关理论和投资工具目标2：国内外投资理论和实践的发展趋势目标3：培养发现、分析及解决问题的思维能力二、教学内容及其与毕业要求的对应关系（一）教学内容教学的基本内容：（1）投资学的相关概念与理论。

如资本市场、投资工具、资产定价理论等。

（2）投资的主要分析方法。

从基本面分析方法，具体包括宏观经济分析、产业分析、公司财务分析以及公司价值分析，再到技术分析方法（本课程重点内容，用案例方法引导学生学习，掌握基本方法）。

（3）投资组合的管理，包括对风险资产的定价与证券组合管理的应用、投资组合管理业绩评价模型以及债券组合管理（本课程难点内容，用案例方法引导学生学习，掌握基本方法）。

（4）量化分析与交易策略，具体包括量化投资与信息比率、配对交易策略。

（二）教学方法和手段本课教学方法包括：课堂讲授、案例分析、随堂练习和课后作业，同时进行必要的实训辅助，举办专业讲座，使学生既能掌握理论，也能投资实操，切实做到理论与实践相结合。

本课程强调案例分析，力图通过一些案例和讨论培养专业习惯，训练学生的分析能力与思维能力；另外，积极鼓励学生参加国内的证券从业考试和国外的CFA 考试，为今后职业发展奠定良好基础。