投资学第十版课程设计
投资学精要英文版第十版课程设计
Course Design for the Essentials of Investments English 10thEditionInvesting is an important aspect of finance that has the potential to generate significant returns over time. Understanding the key concepts and principles behindinvesting is critical to making informed decisions in the financial markets. The Essentials of Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus is a comprehensive introduction to the world of investing that covers various investment vehicles such as stocks, bonds, options, and real estate. The 10th edition of this book provides a modern and relevant overview of the financial markets and their dynamics. This course design outlines the key concepts and topics covered in this book and provides a framework for teaching the subjectin an effective manner.Course ObjectivesKnowledge•To understand the fundamental principles of investing•To understand the financial markets and their various components•To understand the risks and rewards associated with different investment vehicles•To understand the importance of asset allocation and diversification in building a portfolio•To understand the basics of financial analysis and valuationSkills•To be able to evaluate different investment opportunities and make informed investment decisions •To be able to construct and manage a well-diversified investment portfolio•To be able to apply basic financial analysis and valuation techniques to different investment assets •To be able to interpret and analyze financial data to make informed investment decisionsCourse StructureTopics Covered1.Introduction to Investments2.Asset Classes and Financial Instruments3.Securities Markets4.Mutual Funds and Other Investment Companies5.Risk and Return: Past and Prologue6.Efficient Diversification7.Capital Asset Pricing and Arbitrage Pricing Theory8.The Efficient Market Hypothesis9.Behavioral Finance and Technical Analysis10.Bond Prices and Yields11.Managing Bond Portfolios12.Portfolio Analysis and Theory13.Equity Portfolio Management14.Options15.Futures16.Real Estate and Other Tangible Assets17.Alternative Investments18.Tax-Advantaged InvestmentsCourse OutlineWeek 1•Introduction to investments•Risk and return: past and prologue•Efficient diversificationWeek 2•Asset classes and financial instruments•Securities marketsWeek 3•Mutual funds and other investment companies•Capital asset pricing and arbitrage pricing theory Week 4•The efficient market hypothesis•Behavioral finance and technical analysisWeek 5•Bond prices and yields•Managing bond portfoliosWeek 6•Portfolio analysis and theory•Equity portfolio managementWeek 7•Options•FuturesWeek 8•Real estate and other tangible assets•Alternative investments•Tax-advantaged investmentsTeaching Methods•Lectures: The instructor will present the key concepts and principles of each topic through formallectures.•Class discussions: Students will be encouraged to participate in class discussions to share their opinions, insights, and questions.•Case studies: Students will analyze and discuss real-life case studies to apply the concepts covered in class to real-world situations.•Assignments: Students will be given assignments to analyze different investment opportunities, constructand manage investment portfolios, and interpretfinancial data.Assessment•Quizzes (20%): Short quizzes will be given at the end of each topic to evaluate the students’understanding of the material.•Assignments (40%): Students will be given various assignments throughout the course that will test their ability to apply the concepts covered in class to real-life scenarios.•Midterm Exam (20%): A midterm exam will be given halfway through the course to evaluate the students’understanding of the material covered up to that point.•Final Exam (20%): A final exam will be given at the end of the course to evaluate the students’ overallunderstanding of the material.ConclusionInvesting is a critical aspect of finance that requires a thorough understanding of the financial markets and their dynamics. The Essentials of Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus is an excellent resource that provides a comprehensive introduction to the world of investing. This course design outlines the key concepts and topics covered in this book and provides a framework for teaching the subject in an effective manner. By the end of this course, students will have developed the skills and knowledge necessary to make informed investment decisions and construct and manage well-diversified investment portfolios.。
投资学分析与管理第十版课程设计
投资学分析与管理第十版课程设计一、课程目的本课程旨在培养学生对国内外投资市场的了解及对投资项目的评估、分析和管理能力。
二、课程内容本课程主要包括以下内容：1.投资基础知识和概念2.投资市场与投资组合管理3.风险与收益分析4.投资分析和评估方法5.投资策略与决策6.投资组合构建与优化7.金融衍生产品8.金融风险管理9.投资管理中的道德和职业行为准则三、教学方法本课程采用讲授和案例分析相结合的教学方法。
讲授部分主要讲授基础理论和概念，案例分析部分主要针对实际投资项目及投资决策情况进行深入分析，并结合实际市场情况进行探讨和讨论。
四、评分方式1.出勤情况：10%2.课堂表现：20%3.课程作业：40%4.期末考试：30%五、参考教材1.《投资学》，第十版，作者：肯尼斯·E·菲舍、安德森、约林、博德鲁姆2.《投资组合管理》，第九版，作者：曼昆六、教学进度安排1.投资基础概念及投资组合管理2.投资组合风险度量与回报率分析3.投资分析与评估方法4.投资决策与策略5.投资组合构建与优化6.金融衍生品市场与交易7.金融风险管理8.投资管理中的道德和职业行为准则七、课程要求1.认真听课，积极参与讨论，提出自己的疑问和见解。
2.完成课程作业并按时提交，不得抄袭或剽窃他人作品。
3.严格遵守学术诚信，不得在任何形式下作弊。
4.准时到达上课地点，不得迟到早退。
缺课超过三次者将无法参加期末考试。
八、结语本课程将为学生提供一个全面了解投资市场和专业投资分析方法的机会，帮助学生提高自身的投资决策能力和专业素养。
课程要求学生在 classroom 上认真学习和交流，共同提升自身的学习效果和学习能力。
投资学第10版习题答案06分析解析讲课教案
投资学第10版习题答案06分析解析CHAPTER 6: CAPITAL ALLOCATION TO RISKY ASSETSPROBLEM SETS1. (e) The first two answer choices are incorrect because a highly risk averse investorwould avoid portfolios with higher risk premiums and higher standard deviations.In addition, higher or lower Sharpe ratios are not an indication of an investor'stolerance for risk. The Sharpe ratio is simply a tool to absolutely measure the return premium earned per unit of risk.2. (b) A higher borrowing rate is a consequence of the risk of the borrowers’ default.In perfect markets with no additional cost of default, this increment would equal the value of the borrower’s option to default, and the Sharpe measure, with appropriate treatment of the default option, would be the same. However, in reality there arecosts to default so that this part of the increment lowers the Sharpe ratio. Also,notice that answer (c) is not correct because doubling the expected return with afixed risk-free rate will more than double the risk premium and the Sharpe ratio. 3. Assuming no change in risk tolerance, that is, an unchanged risk-aversioncoefficient (A), higher perceived volatility increases the denominator of theequation for the optimal investment in the risky portfolio (Equation 6.7). Theproportion invested in the risky portfolio will therefore decrease.4. a. The expected cash flow is: (0.5 × $70,000) + (0.5 × 200,000) = $135,000.With a risk premium of 8% over the risk-free rate of 6%, the required rate ofreturn is 14%. Therefore, the present value of the portfolio is:$135,000/1.14 = $118,421b. If the portfolio is purchased for $118,421 and provides an expected cashinflow of $135,000, then the expected rate of return [E(r)] is as follows:$118,421 × [1 + E(r)] = $135,000Therefore, E(r) =14%. The portfolio price is set to equate the expected rate ofreturn with the required rate of return.c. If the risk premium over T-bills is now 12%, then the required return is:6% + 12% = 18%The present value of the portfolio is now:$135,000/1.18 = $114,407d. For a given expected cash flow, portfolios that command greater riskpremiums must sell at lower prices. The extra discount from expectedvalue is a penalty for risk.5.When we specify utility by U = E(r) – 0.5Aσ2, the utility level for T-bills is: 0.07The utility level for the risky portfolio is:U = 0.12 – 0.5 ×A × (0.18)2 = 0.12 – 0.0162 ×AIn order for the risky portfolio to be preferred to bills, the following must hold:0.12 – 0.0162A > 0.07 ⇒A < 0.05/0.0162 = 3.09A must be less than 3.09 for the risky portfolio to be preferred to bills.6. Points on the curve are derived by solving for E(r) in the following equation:U = 0.05 = E(r) – 0.5Aσ2 = E(r) – 1.5σ2The values of E(r), given the values of σ2, are therefore:σσ 2E(r)0.00 0.0000 0.050000.05 0.0025 0.053750.10 0.0100 0.065000.15 0.0225 0.083750.20 0.0400 0.110000.25 0.0625 0.14375The bold line in the graph on the next page (labeled Q6, for Question 6) depicts the indifference curve.7. Repeating the analysis in Problem 6, utility is now:U = E(r) – 0.5Aσ2 = E(r) –2.0σ2 = 0.05The equal-utility combinations of expected return and standard deviation arepresented in the table below. The indifference curve is the upward sloping line in the graph on the next page, labeled Q7 (for Question 7).σσ 2E(r)0.00 0.0000 0.05000.05 0.0025 0.05500.10 0.0100 0.07000.15 0.0225 0.09500.20 0.0400 0.13000.25 0.0625 0.1750The indifference curve in Problem 7 differs from that in Problem 6 in slope.When A increases from 3 to 4, the increased risk aversion results in a greaterslope for the indifference curve since more expected return is needed in order to compensate for additional σ.8. The coefficient of risk aversion for a risk neutral investor is zero. Therefore, thecorresponding utility is equal to the portfolio’s expected return. The corresponding indifference curve in the expected return-standard deviation plane is a horizontal line, labeled Q8 in the graph above (see Problem 6).9. A risk lover, rather than penalizing portfolio utility to account for risk, derivesgreater utility as variance increases. This amounts to a negative coefficient of risk aversion. The corresponding indifference curve is downward sloping in the graph above (see Problem 6), and is labeled Q9.10. The portfolio expected return and variance are computed as follows:(1) W Bills (2)r Bills(3)W Index(4)r Indexr Portfolio(1)×(2)+(3)×(4)σPortfolio(3) × 20%σ 2 Portfolio0.0 5% 1.0 13.0% 13.0% = 0.130 20% = 0.20 0.04000.2 5 0.8 13.0 11.4% = 0.114 16% = 0.16 0.02560.4 5 0.6 13.0 9.8% = 0.098 12% = 0.12 0.01440.6 5 0.4 13.0 8.2% = 0.082 8% = 0.08 0.00640.8 5 0.2 13.0 6.6% = 0.066 4% = 0.04 0.00161.0 5 0.0 13.0 5.0% = 0.050 0% = 0.00 0.0000 11. Computing utility from U = E(r) – 0.5 ×Aσ2 = E(r) –σ2, we arrive at the values inthe column labeled U(A = 2) in the following table:W Bills W Index r PortfolioσPortfolioσ2Portfolio U(A = 2) U(A = 3)0.0 1.0 0.130 0.20 0.0400 0.0900 .07000.2 0.8 0.114 0.16 0.0256 0.0884 .07560.4 0.6 0.098 0.12 0.0144 0.0836 .07640.6 0.4 0.082 0.08 0.0064 0.0756 .07240.8 0.2 0.066 0.04 0.0016 0.0644 .06361.0 0.0 0.050 0.00 0.0000 0.0500 .0500The column labeled U(A = 2) implies that investors with A = 2 prefer a portfolio that is invested 100% in the market index to any of the other portfolios in the table.12. The column labeled U(A = 3) in the table above is computed from:U = E(r) – 0.5Aσ2 = E(r) – 1.5σ2The more risk averse investors prefer the portfolio that is invested 40% in themarket, rather than the 100% market weight preferred by investors with A = 2.13. Expected return = (0.7 × 18%) + (0.3 × 8%) = 15%Standard deviation = 0.7 × 28% = 19.6%14. Investment proportions: 30.0% in T-bills0.7 × 25% = 17.5% in Stock A0.7 × 32% = 22.4% in Stock B0.7 × 43% = 30.1% in Stock C15. Your reward-to-volatility ratio:.18.080.3571.28S-==Client's reward-to-volatility ratio:.15.080.3571.196S-==16.17. a. E(r C) = r f + y × [E(r P) –r f] = 8 + y × (18 - 8)If the expected return for the portfolio is 16%, then:16% = 8% + 10% ×y⇒.16.080.8.10y-==Therefore, in order to have a portfolio with expected rate of return equal to 16%, the client must invest 80% of total funds in the risky portfolio and 20% in T-bills.b.Client’s investment proportions:20.0% in T-bills0.8 × 25% = 20.0% in Stock A0.8 × 32% = 25.6% in Stock B0.8 × 43% = 34.4% in Stock Cc. σC = 0.8 ×σP = 0.8 × 28% = 22.4%18. a.σC = y × 28%If your client prefers a standard deviation of at most 18%, then: y = 18/28 = 0.6429 = 64.29% invested in the risky portfolio.b. ().08.1.08(0.6429.1)14.429%C E r y =+⨯=+⨯=19. a.y *0.36440.27440.100.283.50.080.18σ22==⨯-=-=PfP A r )E(r Therefore, th e client’s optimal proportions are: 36.44% invested in the risky portfolio and 63.56% invested in T-bills.b. E (r C ) = 0.08 + 0.10 × y * = 0.08 + (0.3644 × 0.1) = 0.1164 or 11.644% σC = 0.3644 × 28 = 10.203%20. a.If the period 1926–2012 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) − r f = 8.10%, σM = 20.48% (we use the standard deviation of the risk premium from Table 6.7). Then y * is given by:That is, 48.28% of the portfolio should be allocated to equity and 51.72% should be allocated to T-bills.b.If the period 1968–1988 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) − r f = 3.44%, σM = 16.71% and y * is given by:22()0.0344*0.308040.1671M fME r r y A σ-===⨯Therefore, 30.80% of the complete portfolio should be allocated to equity and 69.20% should be allocated to T-bills.c.In part (b), the market risk premium is expected to be lower than in part (a) and market risk is higher. Therefore, the reward-to-volatility ratio is expected to be lower in part (b), which explains the greater proportioninvested in T-bills.21. a. E (r C ) = 8% = 5% + y × (11% – 5%) ⇒ .08.050.5.11.05y -==-b. σC = y × σP = 0.50 × 15% = 7.5%c.The first client is more risk averse, preferring investments that have less risk as evidenced by the lower standard deviation.22. Johnson requests the portfolio standard deviation to equal one half the marketportfolio standard deviation. The market portfolio 20%M σ=, which implies 10%P σ=. The intercept of the CML equals 0.05f r =and the slope of the CMLequals the Sharpe ratio for the market portfolio (35%). Therefore using the CML:()()0.050.350.100.0858.5%M fP f P ME r r E r r σσ-=+=+⨯==23. Data: r f = 5%, E (r M ) = 13%, σM = 25%, and B f r = 9%The CML and indifference curves are as follows:24. For y to be less than 1.0 (that the investor is a lender), risk aversion (A ) must belarge enough such that:1σ<-=2MfM A r )E(r y ⇒ 1.280.250.050.132=->A For y to be greater than 1 (the investor is a borrower), A must be small enough:1σ)(>-=2MfM A r r E y ⇒ 0.640.250.090.132=-<A For values of risk aversion within this range, the client will neither borrow nor lend but will hold a portfolio composed only of the optimal risky portfolio:y = 1 for 0.64 ≤ A ≤ 1.2825. a.The graph for Problem 23 has to be redrawn here, with: E (r P ) = 11% and σP = 15%b. For a lending position: 2.670.150.050.112=->AFor a borrowing position: 0.890.150.090.112=-<A Therefore, y = 1 for 0.89 ≤ A ≤ 2.6726. The maximum feasible fee, denoted f , depends on the reward-to-variability ratio.For y < 1, the lending rate, 5%, is viewed as the relevant risk-free rate, and we solve for f as follows:.11.05.13.05.15.25f ---= ⇒ .15.08.06.012, or 1.2%.25f ⨯=-= For y > 1, the borrowing rate, 9%, is the relevant risk-free rate. Then we notice that,even without a fee, the active fund is inferior to the passive fund because:.11 – .09 – f= 0.13 <.13 – .09 = 0.16 → f = –.004.15.25More risk tolerant investors (who are more inclined to borrow) will not be clients of the fund. We find that f is negative: that is, you would need to pay investors to choose your active fund. These investors desire higher risk –higher return complete portfolios and thus are in the borrowing range of the relevant CAL. In this range, the reward-to-variability ratio of the index (the passive fund) is better than that of the managed fund. 27. a.Slope of the CML .13.080.20-==28. a.With 70% of his money invested in my fund’s portfolio, the client’s expected return is 15% per year with a standard deviation of 19.6% per year. If he shifts that money to the passive portfolio (which has an expected return of 13% and standard deviation of 25%), his overall expected return becomes: E (r C ) = r f + 0.7 × [E (r M ) − r f ] = .08 + [0.7 × (.13 – .08)] = .115, or 11.5% The standard deviation of the complete portfolio using the passive portfolio would be:σC = 0.7 × σM = 0.7 × 25% = 17.5%Therefore, the shift entails a decrease in mean from 15% to 11.5% and a decrease in standard deviation from 19.6% to 17.5%. Since both mean return and standard deviation decrease, it is not yet clear whether the move is beneficial. The disadvantage of the shift is that, if the client is willing toaccept a mean return on his total portfolio of 11.5%, he can achieve it with a lower standard deviation using my fund rather than the passive portfolio. To achieve a target mean of 11.5%, we first write the mean of the complete portfolio as a function of the proportion invested in my fund (y ): E (r C ) = .08 + y × (.18 − .08) = .08 + .10 × y Our target is: E (r C ) = 11.5%. Therefore, the proportion that must be invested in my fund is determined as follows: .115 = .08 + .10 × y ⇒ .115.080.35.10y -== The standard deviation of this portfolio would be: σC = y × 28% = 0.35 × 28% = 9.8% Thus, by using my portfolio, the same 11.5% expected return can be achieved with a standard deviation of only 9.8% as opposed to the standard deviation of 17.5% using the passive portfolio.b.The fee would reduce the reward-to-volatility ratio, i.e., the slope of the CAL. The client will be indifferent between my fund and the passive portfolio if the slope of the after-fee CAL and the CML are equal. Let f denote the fee: Slope of CAL with fee .18.08.10.28.28f f ---== Slope of CML (which requires no fee).13.080.20.25-== Setting these slopes equal we have: .100.200.044 4.4%.28f f -=⇒==per year29. a. The formula for the optimal proportion to invest in the passive portfolio is: 2σ)(*M f M A r r E y -= Substitute the following: E (r M ) = 13%; r f = 8%; σM = 25%; A = 3.5: 20.130.08*0.2286, or 22.86% in the passive portfolio 3.50.25y -==⨯b. The answer here is the same as the answer to Problem 28(b). The fee that youcan charge a client is the same regardless of the asset allocation mix of theclient’s portfolio. You can charge a fee that will equate the reward-to-volatility ratio of your portfolio to that of your competition.CFA PROBLEMS1. Utility for each investment = E(r) – 0.5 × 4 ×σ2We choose the investment with the highest utility value, Investment 3.Investment ExpectedreturnE(r)StandarddeviationσUtilityU1 0.12 0.30 -0.06002 0.15 0.50 -0.35003 0.21 0.16 0.15884 0.24 0.21 0.15182. When investors are risk neutral, then A = 0; the investment with the highest utilityis Investment 4 because it has the highest expected return.3. (b)4. Indifference curve 2 because it is tangent to the CAL.5. Point E6. (0.6 × $50,000) + [0.4 × (-$30,000)] - $5,000 = $13,0007. (b) Higher borrowing rates will reduce the total return to the portfolio and thisresults in a part of the line that has a lower slope.8. Expected return for equity fund = T-bill rate + Risk premium = 6% + 10% = 16%Expected rate of return of the client’s portfolio = (0.6 × 16%) + (0.4 × 6%) = 12% Expected return of the client’s portfolio = 0.12 × $100,000 = $12,000(which implies expected total wealth at the end of the period = $112,000)Standard deviation of client’s ov erall portfolio = 0.6 × 14% = 8.4%9. Reward-to-volatility ratio = .100.71 .14=CHAPTER 6: APPENDIX1.By year-end, the $50,000 investment will grow to: $50,000 × 1.06 = $53,000Without insurance, the probability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $253,000Fire 0.001 53,000For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(253,000)] + [0.001 ×ln(53,000)] = 12.439582 The certainty equivalent is:W CE = e 12.439582 = $252,604.85With fire insurance, at a cost of $P, the investment in the risk-free asset is: $(50,000 –P)Year-end wealth will be certain (since you are fully insured) and equal to: [$(50,000 –P) × 1.06] + $200,000Solve for P in the following equation:[$(50,000 –P) × 1.06] + $200,000 = $252,604.85 ⇒P = $372.78 This is the most you are willing to pay for insurance. Note that the expected loss is “only” $200, so you are willing to pay a substantial risk premium over the expected value of losses. The primary reason is that the value of the house is a largeproportion of your wealth.2. a. With insurance coverage for one-half the value of the house, the premiumis $100, and the investment in the safe asset is $49,900. By year-end, theinvestment of $49,900 will grow to: $49,900 × 1.06 = $52,894If there is a fire, your insurance proceeds will be $100,000, and theprobability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $252,894Fire 0.001 152,894For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(252,894)] + [0.001×ln(152,894)] = 12.4402225 The certainty equivalent is:W CE = e 12.4402225 = $252,766.77b.With insurance coverage for the full value of the house, costing $200, end-of-year wealth is certain, and equal to:[($50,000 – $200) × 1.06] + $200,000 = $252,788Since wealth is certain, this is also the certainty equivalent wealth of the fully insured position.c.With insurance coverage for 1½ times the value of the house, the premiumis $300, and the insurance pays off $300,000 in the event of a fire. Theinvestment in the safe asset is $49,700. By year-end, the investment of$49,700 will grow to: $49,700 × 1.06 = $52,682The probability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $252,682Fire 0.001 352,682For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(252,682)] + [0.001 ×ln(352,682)] = 12.4402205 The certainty equivalent is:W CE = e 12.440222 = $252,766.27Therefore, full insurance dominates both over- and underinsurance.Overinsuring creates a gamble (you actually gain when the house burns down).Risk is minimized when you insure exactly the value of the house.。
Investments第十版教学设计
Investments第十版教学设计1. 简介本文旨在为读者提供一份Investments第十版的教学设计。
Investments第十版是一本经典的投资学教材，介绍了投资学的基础知识、投资组合理论、股票、债券和衍生产品等内容。
本教学设计包含了教学目标、教学内容、教学方法、教学评估等方面，旨在帮助教师完成一次高质量、有效性的教学过程。
2. 教学目标本教学设计的目标是：1.理解投资学的基本概念和相关理论；2.掌握投资组合的构建和管理方法；3.了解股票、债券和衍生产品的基本知识和投资策略；4.培养学生的财务和投资意识，提高他们的金融素养。
3. 教学内容本教学设计的主要内容包括：1.投资学基础知识：投资、风险、收益率等概念；2.投资组合理论：有效前沿、资本市场线、风险资产的定价等；3.股票投资：公司价值、财务分析、股票评估等；4.债券投资：债券基础知识、风险分析、债券组合管理等；5.衍生产品投资：期货、期权、互换等基础知识。
4. 教学方法本教学设计采用多种教学方法，包括：1.讲授：教师通过讲授课程内容，帮助学生理解投资学的基本概念和相关理论；2.讨论：教师引导学生参与投资案例分析、股票评估和债券投资模拟等讨论和实践活动；3.研究性学习：教师鼓励学生独立阅读书籍、查找相关资料、撰写小论文等形式，深入研究课程内容和相关领域；4.课外实践：教师推荐学生参与股票、债券和期货等实践活动，在真实的市场环境中改善他们的投资技能和决策能力。
5. 教学评估本教学设计以学生为中心，注重他们的认知和能力提升，采用多种评估手段，包括：1.课堂测验：教师定期组织课堂测验，检查学生对投资学知识的掌握程度；2.报告和论文：教师布置研究性学习任务，要求学生提交相关报告和小论文，展示他们的深入思考和研究成果；3.课堂参与：教师鼓励学生积极参与课堂讨论和互动，考察他们的表达和思维能力；4.实践活动：教师安排投资实践活动，观察学生的投资决策和风险管理能力。
投资学第10版课后习题答案
CHAPTER 7: OPTIMAL RISKY PORTFOLIOSPROBLEM SETS1. (a) and (e). Short-term rates and labor issues are factors thatare common to all firms and therefore must be considered as market risk factors. The remaining three factors are unique to this corporation and are not a part of market risk.2. (a) and (c). After real estate is added to the portfolio, there arefour asset classes in the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a variance term for real estate returns and a covariance term for real estate returns with returns for each of the other three asset classes. Therefore,portfolio risk is affected by the variance (or standard deviation) of real estate returns and the correlation between real estatereturns and returns for each of the other asset classes. (Note that the correlation between real estate returns and returns for cash is most likely zero.)3. (a) Answer (a) is valid because it provides the definition of theminimum variance portfolio.4. The parameters of the opportunity set are:E (r S ) = 20%, E (r B ) = 12%, σS = 30%, σB = 15%, ρ =From the standard deviations and the correlation coefficient we generate the covariance matrix [note that (,)S B S B Cov r r ρσσ=⨯⨯]: Bonds Stocks Bonds 225 45 Stocks 45 900The minimum-variance portfolio is computed as follows:w Min (S ) =1739.0)452(22590045225)(Cov 2)(Cov 222=⨯-+-=-+-B S B S B S B ,r r ,r r σσσ w Min (B ) = 1 =The minimum variance portfolio mean and standard deviation are:E (r Min ) = × .20) + × .12) = .1339 = %σMin = 2/12222)],(Cov 2[B S B S B B S Sr r w w w w ++σσ = [ 900) + 225) + (2 45)]1/2= %5.Proportion in Stock Fund Proportionin Bond Fund ExpectedReturnStandard Deviation% % % %minimumtangencyGraph shown below.0.005.0010.0015.0020.0025.000.00 5.00 10.00 15.00 20.00 25.00 30.00Tangency PortfolioMinimum Variance PortfolioEfficient frontier of risky assetsCMLINVESTMENT OPPORTUNITY SETr f = 8.006. The above graph indicates that the optimal portfolio is thetangency portfolio with expected return approximately % andstandard deviation approximately %.7. The proportion of the optimal risky portfolio invested in the stockfund is given by:222[()][()](,)[()][()][()()](,)S f B B f S B S S f B B f SS f B f S B E r r E r r Cov r r w E r r E r r E r r E r r Cov r r σσσ-⨯--⨯=-⨯+-⨯--+-⨯[(.20.08)225][(.12.08)45]0.4516[(.20.08)225][(.12.08)900][(.20.08.12.08)45]-⨯--⨯==-⨯+-⨯--+-⨯10.45160.5484B w =-=The mean and standard deviation of the optimal risky portfolio are:E (r P ) = × .20) + × .12) = .1561 = % σp = [ 900) +225) + (2× 45)]1/2= %8. The reward-to-volatility ratio of the optimal CAL is:().1561.080.4601.1654p fpE r r σ--==9. a. If you require that your portfolio yield an expected return of14%, then you can find the corresponding standard deviation from the optimal CAL. The equation for this CAL is:()().080.4601p fC f C C PE r r E r r σσσ-=+=+If E (r C ) is equal to 14%, then the standard deviation of the portfolio is %.b. To find the proportion invested in the T-bill fund, rememberthat the mean of the complete portfolio ., 14%) is an average of the T-bill rate and the optimal combination of stocks and bonds (P ). Let y be the proportion invested in the portfolio P . The mean of any portfolio along the optimal CAL is:()(1)()[()].08(.1561.08)C f P f P f E r y r y E r r y E r r y =-⨯+⨯=+⨯-=+⨯-Setting E (r C ) = 14% we find: y = and (1 − y ) = (the proportion invested in the T-bill fund).To find the proportions invested in each of the funds, multiply times the respective proportions of stocks and bonds in the optimal risky portfolio:Proportion of stocks in complete portfolio = =Proportion of bonds in complete portfolio = =10. Using only the stock and bond funds to achieve a portfolio expectedreturn of 14%, we must find the appropriate proportion in the stock fund (w S) and the appropriate proportion in the bond fund (w B = 1 −w S) as follows:= × w S + × (1 −w S) = + × w S w S =So the proportions are 25% invested in the stock fund and 75% inthe bond fund. The standard deviation of this portfolio will be:σP = [ 900) + 225) + (2 45)]1/2 = %This is considerably greater than the standard deviation of %achieved using T-bills and the optimal portfolio.11. a.Even though it seems that gold is dominated by stocks, gold mightstill be an attractive asset to hold as a part of a portfolio. Ifthe correlation between gold and stocks is sufficiently low, goldwill be held as a component in a portfolio, specifically, theoptimal tangency portfolio.b.If the correlation between gold and stocks equals +1, then no onewould hold gold. The optimal CAL would be composed of bills andstocks only. Since the set of risk/return combinations of stocksand gold would plot as a straight line with a negative slope (seethe following graph), these combinations would be dominated bythe stock portfolio. Of course, this situation could not persist.If no one desired gold, its price would fall and its expectedrate of return would increase until it became sufficientlyattractive to include in a portfolio.12. Since Stock A and Stock B are perfectly negatively correlated, arisk-free portfolio can be created and the rate of return for thisportfolio, in equilibrium, will be the risk-free rate. To find theproportions of this portfolio [with the proportion w A invested inStock A and w B = (1 –w A) invested in Stock B], set the standarddeviation equal to zero. With perfect negative correlation, theportfolio standard deviation is:σP = Absolute value [w AσA w BσB]0 = 5 × w A− [10 (1 –w A)] w A =The expected rate of return for this risk-free portfolio is:E(r) = × 10) + × 15) = %Therefore, the risk-free rate is: %13. False. If the borrowing and lending rates are not identical, then,depending on the tastes of the individuals (that is, the shape oftheir indifference curves), borrowers and lenders could havedifferent optimal risky portfolios.14. False. The portfolio standard deviation equals the weighted averageof the component-asset standard deviations only in the special case that all assets are perfectly positively correlated. Otherwise, as the formula for portfolio standard deviation shows, the portfoliostandard deviation is less than the weighted average of thecomponent-asset standard deviations. The portfolio variance is aweighted sum of the elements in the covariance matrix, with theproducts of the portfolio proportions as weights.15. The probability distribution is:Probability Rate ofReturn100%−50Mean = [ × 100%] + [ × (-50%)] = 55%Variance = [ × (100 − 55)2] + [ × (-50 − 55)2] = 4725Standard deviation = 47251/2 = %16. σP = 30 = y× σ = 40 × y y =E(r P) = 12 + (30 − 12) = %17. The correct choice is (c). Intuitively, we note that since allstocks have the same expected rate of return and standard deviation, we choose the stock that will result in lowest risk. This is thestock that has the lowest correlation with Stock A.More formally, we note that when all stocks have the same expected rate of return, the optimal portfolio for any risk-averse investor is the global minimum variance portfolio (G). When the portfolio is restricted to Stock A and one additional stock, the objective is to find G for any pair that includes Stock A, and then select thecombination with the lowest variance. With two stocks, I and J, theformula for the weights in G is:)(1)(),(Cov 2),(Cov )(222I w J w r r r r I w Min Min J I J I J I J Min -=-+-=σσσSince all standard deviations are equal to 20%:(,)400and ()()0.5I J I J Min Min Cov r r w I w J ρσσρ====This intuitive result is an implication of a property of any efficient frontier, namely, that the covariances of the global minimum variance portfolio with all other assets on the frontier are identical and equal to its own variance. (Otherwise, additional diversification would further reduce the variance.) In this case, the standard deviation of G(I, J) reduces to:1/2()[200(1)]Min IJ G σρ=⨯+This leads to the intuitive result that the desired addition would be the stock with the lowest correlation with Stock A, which is Stock D. The optimal portfolio is equally invested in Stock A and Stock D, and the standard deviation is %.18. No, the answer to Problem 17 would not change, at least as long asinvestors are not risk lovers. Risk neutral investors would not care which portfolio they held since all portfolios have an expected return of 8%.19. Yes, the answers to Problems 17 and 18 would change. The efficientfrontier of risky assets is horizontal at 8%, so the optimal CAL runs from the risk-free rate through G. This implies risk-averse investors will just hold Treasury bills.20. Rearrange the table (converting rows to columns) and compute serialcorrelation results in the following table:Nominal RatesFor example: to compute serial correlation in decade nominalreturns for large-company stocks, we set up the following twocolumns in an Excel spreadsheet. Then, use the Excel function“CORREL” to calculate the correlation for the data.Decade Previous1930s%%1940s%%1950s%%1960s%%1970s%%1980s%%1990s%%Note that each correlation is based on only seven observations, so we cannot arrive at any statistically significant conclusions.Looking at the results, however, it appears that, with theexception of large-company stocks, there is persistent serialcorrelation. (This conclusion changes when we turn to real rates in the next problem.)21. The table for real rates (using the approximation of subtracting adecade’s average inflation from the decade’s average nominalreturn) is:Real RatesSmall Company StocksLarge Company StocksLong-TermGovernmentBondsIntermed-TermGovernmentBondsTreasuryBills 1920s1930s1940s1950s1960s1970s1980s1990sSerialCorrelationWhile the serial correlation in decade nominal returns seems to be positive, it appears that real rates are serially uncorrelated. The decade time series (although again too short for any definitiveconclusions) suggest that real rates of return are independent from decade to decade.22. The 3-year risk premium for the S&P portfolio is, the 3-year risk premium for thehedge fund portfolio is S&P 3-year standard deviation is 0. The hedge fund 3-year standard deviation is 0. S&P Sharpe ratio is = , and the hedge fund Sharpe ratio is = .23. With a ρ = 0, the optimal asset allocation is,.With these weights,EThe resulting Sharpe ratio is = . Greta has a risk aversion of A=3, Therefore, she will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: = % and Hedge: = %. The remaining 26% will be invested in the risk-free asset.24. With ρ = , the annual covariance is .25. S&P 3-year standard deviation is . The hedge fund 3-year standard deviation is . Therefore, the 3-year covariance is 0.26. With a ρ=.3, the optimal asset allocation is, .With these weights,E. The resulting Sharpe ratio is = . Notice that the higher covariance results in a poorer Sharpe ratio.Greta will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: =% and hedge: = %. The remaining % will be invested in the risk-free asset.CFA PROBLEMS1. a. Restricting the portfolio to 20 stocks, rather than 40 to 50stocks, will increase the risk of the portfolio, but it ispossible that the increase in risk will be minimal. Suppose that, for instance, the 50 stocks in a universe have the same standard deviation () and the correlations between each pair areidentical, with correlation coefficient ρ. Then, the covariance between each pair of stocks would be ρσ2, and the variance of an equally weighted portfolio would be:222ρσ1σ1σnn n P -+=The effect of the reduction in n on the second term on theright-hand side would be relatively small (since 49/50 is close to 19/20 and ρσ2 is smaller than σ2), but thedenominator of the first term would be 20 instead of 50. For example, if σ = 45% and ρ = , then the standard deviation with 50 stocks would be %, and would rise to % when only 20 stocks are held. Such an increase might be acceptable if the expected return is increased sufficiently.b. Hennessy could contain the increase in risk by making sure thathe maintains reasonable diversification among the 20 stocks that remain in his portfolio. This entails maintaining a low correlation among the remaining stocks. For example, in part (a), with ρ = , the increase in portfolio risk was minimal. As a practical matter, this means that Hennessy would have to spread his portfolio among many industries; concentrating on just a few industries would result in higher correlations among the included stocks.2. Risk reduction benefits from diversification are not a linearfunction of the number of issues in the portfolio. Rather, the incremental benefits from additional diversification are mostimportant when you are least diversified. Restricting Hennessy to 10 instead of 20 issues would increase the risk of his portfolio by a greater amount than would a reduction in the size of theportfolio from 30 to 20 stocks. In our example, restricting the number of stocks to 10 will increase the standard deviation to %. The % increase in standard deviation resulting from giving up 10 of20 stocks is greater than the % increase that results from givingup 30 of 50 stocks.3. The point is well taken because the committee should be concernedwith the volatility of the entire portfolio. Since Hennessy’sportfolio is only one of six well-diversified portfolios and issmaller than the average, the concentration in fewer issues mighthave a minimal effect on the diversification of the total fund.Hence, unleashing Hennessy to do stock picking may be advantageous.4. d. Portfolio Y cannot be efficient because it is dominated byanother portfolio. For example, Portfolio X has both higherexpected return and lower standard deviation.5. c.6. d.7. b.8. a.9. c.10. Since we do not have any information about expected returns, wefocus exclusively on reducing variability. Stocks A and C have equal standard deviations, but the correlation of Stock B with Stock C is less than that of Stock A with Stock B . Therefore, a portfoliocomposed of Stocks B and C will have lower total risk than aportfolio composed of Stocks A and B.11. Fund D represents the single best addition to complementStephenson's current portfolio, given his selection criteria. Fund D’s expected return percent) has the potential to increase theportfolio’s return somewhat. Fund D’s relatively low correlation with his current portfolio (+ indicates that Fund D will providegreater diversification benefits than any of the other alternativesexcept Fund B. The result of adding Fund D should be a portfolio with approximately the same expected return and somewhat lower volatility compared to the original portfolio.The other three funds have shortcomings in terms of expected return enhancement or volatility reduction through diversification. Fund A offers the potential for increasing the portfolio’s return but is too highly correlated to provide substantial volatility reduction benefits through diversification. Fund B provides substantial volatility reduction through diversification benefits but is expected to generate a return well below the current portfolio’s return. Fund C has the greatest potential to increase the portfolio’s return but is too highly correlated with the current portfolio to provide substantial volatility reduction benefits through diversification.12. a. Subscript OP refers to the original portfolio, ABC to thenew stock, and NP to the new portfolio.i. E(r NP) = w OP E(r OP) + w ABC E(r ABC) = + = %ii. Cov = ρOP ABC = =iii. NP = [w OP2OP2 + w ABC2ABC2 + 2 w OP w ABC(Cov OP , ABC)]1/2= [ 2 + + (2 ]1/2= % %b. Subscript OP refers to the original portfolio, GS to governmentsecurities, and NP to the new portfolio.i. E(r NP) = w OP E(r OP) + w GS E(r GS) = + = %ii. Cov = ρOP GS = 0 0 = 0iii. NP = [w OP2OP2 + w GS2GS2 + 2 w OP w GS (Cov OP , GS)]1/2= [ + 0) + (2 0)]1/2= % %c. Adding the risk-free government securities would result in alower beta for the new portfolio. The new portfolio beta will bea weighted average of the individual security betas in theportfolio; the presence of the risk-free securities would lowerthat weighted average.d. The comment is not correct. Although the respective standarddeviations and expected returns for the two securities underconsideration are equal, the covariances between each security andthe original portfolio are unknown, making it impossible to drawthe conclusion stated. For instance, if the covariances aredifferent, selecting one security over the other may result in alower standard deviation for the portfolio as a whole. In such acase, that security would be the preferred investment, assumingall other factors are equal.e. i. Grace clearly expressed the sentiment that the risk of losswas more important to her than the opportunity for return. Usingvariance (or standard deviation) as a measure of risk in her casehas a serious limitation because standard deviation does notdistinguish between positive and negative price movements.ii. Two alternative risk measures that could be used instead ofvariance are:Range of returns, which considers the highest and lowestexpected returns in the future period, with a larger rangebeing a sign of greater variability and therefore of greaterrisk.Semivariance can be used to measure expected deviations ofreturns below the mean, or some other benchmark, such as zero.Either of these measures would potentially be superior tovariance for Grace. Range of returns would help to highlightthe full spectrum of risk she is assuming, especially thedownside portion of the range about which she is so concerned.Semivariance would also be effective, because it implicitlyassumes that the investor wants to minimize the likelihood ofreturns falling below some target rate; in Grace’s case, thetarget rate would be set at zero (to protect against negativereturns).13. a. Systematic risk refers to fluctuations in asset prices causedby macroeconomic factors that are common to all risky assets;hence systematic risk is often referred to as market risk.Examples of systematic risk factors include the business cycle,inflation, monetary policy, fiscal policy, and technologicalchanges.Firm-specific risk refers to fluctuations in asset pricescaused by factors that are independent of the market, such asindustry characteristics or firm characteristics. Examples offirm-specific risk factors include litigation, patents,management, operating cash flow changes, and financial leverage.b. Trudy should explain to the client that picking only the topfive best ideas would most likely result in the client holdinga much more risky portfolio. The total risk of a portfolio, orportfolio variance, is the combination of systematic risk andfirm-specific risk.The systematic component depends on the sensitivity of theindividual assets to market movements as measured by beta.Assuming the portfolio is well diversified, the number ofassets will not affect the systematic risk component ofportfolio variance. The portfolio beta depends on theindividual security betas and the portfolio weights of those securities.On the other hand, the components of firm-specific risk (sometimes called nonsystematic risk) are not perfectly positively correlated with each other and, as more assets are added to the portfolio, those additional assets tend to reduce portfolio risk. Hence, increasing the number of securities in a portfolio reduces firm-specific risk. For example, a patent expiration for one company would not affect the othersecurities in the portfolio. An increase in oil prices islikely to cause a drop in the price of an airline stock butwill likely result in an increase in the price of an energy stock. As the number of randomly selected securities increases, the total risk (variance) of the portfolio approaches its systematic variance.。
投资学课程教案
投资学课程教案一、课程概述投资学课程旨在帮助学生全面了解和掌握投资领域的基本理论和实践知识，培养学生在投资决策方面的能力和技巧。
通过本课程的学习，学生将能够熟悉市场中的各种金融工具，了解投资组合的构建与管理，掌握基本的风险与收益评估方法，以及适应投资环境的策略规划。
此外，本课程还将引导学生了解和探索不同的投资策略和市场情况。
二、教学目标1. 熟练掌握投资学的基本概念和理论框架；2. 能够分析和评估不同投资工具的风险和收益特征；3. 掌握投资组合的构建与管理方法；4. 理解不同市场环境对投资策略的影响；5. 培养学生的独立思考和决策能力。
三、教学内容1. 投资学基础知识1.1 投资学的定义和发展历程1.2 投资决策的基本原理和方法1.3 投资组合理论及现代投资组合理论1.4 有效市场假说2. 投资工具与分析2.1 股票、债券和共同基金等金融工具的分类与特点 2.2 股票和债券的估值方法2.3 投资风险与收益评估方法3. 投资组合的构建与管理3.1 投资组合理论与资产配置3.2 投资组合的优化与风险分散3.3 投资组合绩效评价方法4. 不同市场环境下的投资策略4.1 多因子模型与交易策略4.2 期权投资与套利策略4.3 不同市场环境下的资产配置策略5. 投资学实践案例分析5.1 盈余管理与财务报表分析5.2 行为金融学与投资决策5.3 投资风险管理与衍生品市场四、教学方法1. 理论讲授：通过教师讲解、课堂讨论等方式，传授投资学的基础理论知识和实践方法；2. 实践案例分析：选取真实的投资案例，进行分析和讨论，帮助学生将理论知识应用到实际投资决策中；3. 小组讨论：组织学生进行小组讨论，提升他们的团队合作和解决问题的能力；4. 课外阅读：引导学生进行相关领域的阅读，拓宽他们对投资学的理解和认识；5. 案例演示：邀请专业投资人士参与教学过程，进行案例演示，使学生更好地了解投资实际操作。
五、教材与参考书目1. 教材：《投资学》作者：麦基尔维 B.霍贾特《投资组合管理》作者：普兰·巴尔塔修克，弗林特·贝尔2. 参考书目：《证券投资分析》作者：赵景安《价值投资新思维》作者：何首元六、教学评价与考核1. 平时表现：课堂积极参与、小组讨论、作业完成情况等；2. 期中考试：针对课程的基础知识进行笔试考核；3. 期末考试：综合考查学生对整个课程的掌握程度，包括理论与实践能力；4. 课程作业：根据教师布置的相关作业，如案例分析、论文写作等，评估学生对所学内容的理解和应用能力。
博迪《投资学》（第10版）笔记和课后习题详解答案
博迪《投资学》（第10版）笔记和课后习题详解答案博迪《投资学》（第10版）笔记和课后习题详解完整版>精研学习?>无偿试用20％资料全国547所院校视频及题库全收集考研全套>视频资料>课后答案>往年真题>职称考试第一部分绪论第1章投资环境1.1复习笔记1.2课后习题详解第2章资产类别与金融工具2.1复习笔记2.2课后习题详解第3章证券是如何交易的3.1复习笔记3.2课后习题详解第4章共同基金与其他投资公司4.1复习笔记4.2课后习题详解第二部分资产组合理论与实践第5章风险与收益入门及历史回顾5.1复习笔记5.2课后习题详解第6章风险资产配置6.1复习笔记6.2课后习题详解第7章最优风险资产组合7.1复习笔记7.2课后习题详解第8章指数模型8.2课后习题详解第三部分资本市场均衡第9章资本资产定价模型9.1复习笔记9.2课后习题详解第10章套利定价理论与风险收益多因素模型10.1复习笔记10.2课后习题详解第11章有效市场假说11.1复习笔记11.2课后习题详解第12章行为金融与技术分析12.1复习笔记12.2课后习题详解第13章证券收益的实证证据13.1复习笔记13.2课后习题详解第四部分固定收益证券第14章债券的价格与收益14.1复习笔记14.2课后习题详解第15章利率的期限结构15.1复习笔记15.2课后习题详解第16章债券资产组合管理16.1复习笔记16.2课后习题详解第五部分证券分析第17章宏观经济分析与行业分析17.2课后习题详解第18章权益估值模型18.1复习笔记18.2课后习题详解第19章财务报表分析19.1复习笔记19.2课后习题详解第六部分期权、期货与其他衍生证券第20章期权市场介绍20.1复习笔记20.2课后习题详解第21章期权定价21.1复习笔记21.2课后习题详解第22章期货市场22.1复习笔记22.2课后习题详解第23章期货、互换与风险管理23.1复习笔记23.2课后习题详解第七部分应用投资组合管理第24章投资组合业绩评价24.1复习笔记24.2课后习题详解第25章投资的国际分散化25.1复习笔记25.2课后习题详解第26章对冲基金26.1复习笔记26.2课后习题详解第27章积极型投资组合管理理论27.1复习笔记27.2课后习题详解第28章投资政策与特许金融分析师协会结构28.1复习笔记28.2课后习题详解。
投资学课程设计
投资学课程设计一、课程目标知识目标：1. 让学生理解投资学的基本概念，掌握投资决策的基本原则和方法。
2. 帮助学生掌握股票、债券、基金等不同投资工具的特点和评估方法。
3. 使学生了解我国投资市场的现状及发展趋势，认识投资风险与收益的关系。
技能目标：1. 培养学生运用投资学理论进行投资分析和决策的能力。
2. 提高学生搜集、整理投资信息的能力，学会运用投资分析工具进行数据解读。
3. 培养学生团队合作精神，提升沟通、表达和批判性思维能力。
情感态度价值观目标：1. 培养学生正确的投资观念，树立风险意识，遵循投资道德规范。
2. 引导学生关注国家经济发展，理解投资对社会和个人的意义，增强社会责任感。
3. 激发学生对投资学的兴趣，鼓励学生积极探索，形成自主学习、终身学习的习惯。
课程性质分析：本课程为投资学入门课程，旨在帮助学生建立投资学的基本知识体系，培养投资分析能力。
课程内容紧密结合实际，注重理论与实践相结合。
学生特点分析：学生为高中年级学生，具备一定的数学、经济学基础，思维活跃，求知欲强。
但投资学知识较为陌生，需要从基本概念入手，逐步引导学生掌握投资学知识。
教学要求：1. 结合实际案例，激发学生学习兴趣，注重培养学生的实际操作能力。
2. 采用启发式教学，引导学生主动思考，提高课堂互动性。
3. 注重过程评价，关注学生个体差异，鼓励学生积极参与，及时反馈学习成果。
二、教学内容根据课程目标，本课程教学内容分为以下五个部分：1. 投资学基本概念与原则- 投资的定义、目的与分类- 投资决策原则- 投资风险与收益分析2. 投资工具及其评估方法- 股票、债券、基金等投资工具的特点- 投资工具的评估方法- 投资组合理论及应用3. 投资市场分析- 我国投资市场现状与趋势- 投资市场风险分析- 宏观经济政策对投资市场的影响4. 投资决策与操作- 投资策略与技巧- 投资决策模型- 投资操作流程及注意事项5. 投资风险管理- 投资风险识别与评估- 风险控制策略与应对措施- 投资者心理与行为偏差分析教学大纲安排：第一周：投资学基本概念与原则第二周：投资工具及其评估方法第三周：投资市场分析第四周：投资决策与操作第五周：投资风险管理教材章节及内容列举：第一章：投资学概述第二章：投资工具第三章：投资市场分析第四章：投资决策与操作第五章：投资风险管理教学内容科学性和系统性：本课程教学内容按照投资学的基本知识体系进行组织，由浅入深，循序渐进，确保学生能够系统地掌握投资学知识。
(完整版)《投资学》课程教学大纲精选全文
可编辑修改精选全文完整版投资学》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60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。
投资学 课程教案讲稿
投资学课程教案讲稿一、课程简介1.1 课程背景投资学是研究投资对象、投资策略、投资风险和投资收益等方面的学科。
随着我国经济的快速发展，越来越多的人关注投资，希望通过投资实现财富增值。
本课程旨在帮助学员掌握投资基本概念、投资方法和投资策略，提高投资分析和决策能力。
1.2 课程目标通过本课程的学习，学员将能够：（1）理解投资的基本概念和原理；（2）掌握投资分析的方法和技术；（3）了解投资的风险和收益；（4）学会制定投资策略和决策。
二、教学内容2.1 投资概述2.1.1 投资定义2.1.2 投资分类2.1.3 投资目的2.2 投资分析方法2.2.1 基本分析法2.2.2 技术分析法2.2.3 量化分析法2.3 投资风险与收益2.3.1 投资风险概述2.3.2 投资风险管理2.3.3 投资收益分析2.4 投资策略与实践2.4.1 股票投资策略2.4.2 债券投资策略2.4.3 基金投资策略2.4.4 资产管理与配置三、教学方法3.1 讲授法通过讲解投资学的基本概念、原理和方法，使学员对投资学有一个全面、系统的了解。
3.2 案例分析法通过分析实际投资案例，使学员更好地理解和掌握投资分析技巧。
3.3 讨论法组织学员就投资相关话题进行讨论，提高学员的投资思维和分析能力。
3.4 实践操作法安排学员进行投资模拟操作，提高学员的投资实战能力。
四、教学评估4.1 课堂互动评估通过提问、回答、讨论等方式，评估学员在课堂上的参与程度和理解程度。
4.2 课后作业评估布置相关投资案例分析作业，评估学员对投资分析方法的掌握情况。
4.3 投资模拟操作评估组织学员进行投资模拟操作，评估学员的投资实战能力。
五、教学计划5.1 授课时间安排共计32课时，每课时45分钟。
5.2 授课地点教室101。
5.3 授课教师张华，经济学博士，具备丰富的投资实战经验和教学能力。
六、投资评估与决策6.1 投资评估方法6.1.1 净现值（NPV）6.1.2 内部收益率（IRR）6.1.3 回收期（PBP）6.2 投资决策模型6.2.1 独立投资决策6.2.2 互斥投资决策6.2.3 组合投资决策6.3 投资项目风险评估6.3.1 风险识别与分析6.3.2 风险量化与评估6.3.3 风险应对策略七、股票投资7.1 股票市场概述7.1.1 股票市场结构7.1.2 股票市场功能7.1.3 股票市场参与者7.2 股票投资分析7.2.1 宏观经济分析7.2.2 行业分析7.2.3 公司基本面分析7.3 股票投资策略7.3.1 价值投资策略7.3.2 成长投资策略7.3.3 技术分析策略八、债券投资8.1 债券市场概述8.1.1 债券市场结构8.1.2 债券品种与特点8.1.3 债券市场参与者8.2 债券投资分析8.2.1 债券信用评级8.2.2 利率变动对债券价格的影响8.2.3 债券投资风险分析8.3 债券投资策略8.3.1 利率策略8.3.2 信用策略8.3.3 债券组合管理九、基金投资9.1 基金市场概述9.1.1 基金市场结构9.1.2 基金类型与特点9.1.3 基金市场参与者9.2 基金投资分析9.2.1 基金业绩评估9.2.2 基金经理分析9.2.3 基金投资组合分析9.3 基金投资策略9.3.1 股票型基金投资策略9.3.2 债券型基金投资策略9.3.3 混合型基金投资策略十、衍生品投资10.1 衍生品市场概述10.1.1 衍生品市场结构10.1.2 主要衍生品品种10.1.3 衍生品市场参与者10.2 衍生品投资分析10.2.1 衍生品定价模型10.2.2 衍生品交易策略10.2.3 衍生品投资风险管理10.3 衍生品投资策略10.3.1 期货投资策略10.3.2 期权投资策略10.3.3 掉期投资策略十一、国际投资11.1 国际投资概述11.1.1 国际投资定义11.1.2 国际投资类型11.1.3 国际投资动机11.2 国际投资环境分析11.2.1 政治风险分析11.2.2 经济风险分析11.2.3 金融环境分析11.3 国际投资策略11.3.1 直接投资策略11.3.2 间接投资策略11.3.3 跨国公司投资策略十二、投资组合管理12.1 投资组合概述12.1.1 投资组合概念12.1.2 投资组合目的12.1.3 投资组合类型12.2 投资组合优化12.2.1 马科维茨投资组合理论12.2.2 资本资产定价模型（CAPM）12.2.3 投资组合风险与收益分析12.3 投资组合管理策略12.3.1 股票投资组合管理12.3.2 债券投资组合管理12.3.3 混合投资组合管理十三、行为投资学13.1 行为投资学概述13.1.1 行为投资学定义13.1.2 行为投资学理论13.1.3 行为投资学应用13.2 投资者心理与行为偏差13.2.1 代表性偏差13.2.2 可用性偏差13.2.3 确认偏差13.3 行为投资策略13.3.1 市场时机选择策略13.3.2 价值投资策略13.3.3 指数投资策略十四、金融科技与投资14.1 金融科技概述14.1.1 金融科技定义14.1.2 金融科技发展14.1.3 金融科技应用14.2 金融科技对投资的影响14.2.1 与投资14.2.2 区块链与投资14.2.3 大数据与投资14.3 金融科技投资策略14.3.1 算法交易策略14.3.2 智能投顾策略14.3.3 基于机器学习的投资策略十五、投资伦理与法规15.1 投资伦理概述15.1.1 投资伦理定义15.1.2 投资伦理原则15.1.3 投资伦理实践15.2 投资法规与政策15.2.1 投资法规体系15.2.2 投资政策环境15.2.3 投资监管制度15.3 投资伦理与法规实践15.3.1 投资合规管理15.3.2 投资纠纷处理15.3.3 投资法律责任重点和难点解析本文教案涵盖了投资学的基本概念、投资分析方法、投资风险与收益、投资策略与实践、投资评估与决策、股票投资、债券投资、基金投资、衍生品投资、国际投资、投资组合管理、行为投资学、金融科技与投资、投资伦理与法规等十五个章节。
投资学 课程教案讲稿
投资学课程教案讲稿一、课程简介1.1 课程目标本课程旨在帮助学生了解和掌握投资学的基本概念、理论和方法，培养学生进行投资分析和管理的能力。
通过本课程的学习，学生将能够：（1）理解投资的基本原理和投资决策的过程；（2）掌握投资分析和投资组合管理的基本方法；（3）了解投资风险和投资收益的关系；（4）熟悉各类投资工具的特点和运用。
1.2 课程内容本课程主要内容包括：投资基本原理、投资分析方法、投资组合管理、股票投资、债券投资、基金投资、衍生品投资、投资风险管理、国际投资和投资伦理等。
二、第一章：投资学概述2.1 教学目标通过本章的学习，学生将能够：（1）了解投资学的定义和发展历程；（2）理解投资的目的和原则；（3）掌握投资决策的基本流程。
2.2 教学内容本章主要介绍投资学的概念、投资的目的和原则，以及投资决策的基本流程。
具体内容包括：（1）投资学的定义和发展历程；（2）投资的目的和原则；（3）投资决策的基本流程；（4）投资计划的设计和实施。
三、第二章：投资分析方法3.1 教学目标通过本章的学习，学生将能够：（1）掌握投资分析的基本方法；（2）了解投资分析的工具和技术；（3）运用投资分析方法进行投资决策。
3.2 教学内容本章主要介绍投资分析的基本方法，包括财务分析、市场分析和宏观经济分析。
具体内容包括：（1）财务分析的方法和工具；（2）市场分析的方法和技术；（3）宏观经济分析的基本内容；（4）投资分析方法的运用。
四、第三章：投资组合管理4.1 教学目标通过本章的学习，学生将能够：（1）理解投资组合的概念和作用；（2）掌握投资组合管理的基本方法；（3）运用投资组合管理方法进行投资决策。
4.2 教学内容本章主要介绍投资组合的概念、投资组合管理的方法和投资组合优化技术。
具体内容包括：（1）投资组合的概念和作用；（2）投资组合管理的方法；（3）投资组合优化技术；（4）投资组合管理的实践。
五、第四章：股票投资5.1 教学目标通过本章的学习，学生将能够：（1）了解股票投资的基本概念；（2）掌握股票投资的分析方法；（3）运用股票投资方法进行投资决策。
投资学精要英文版第十版课程设计 (2)
Investment Essentials Course Design for the TenthEdition in EnglishCourse OverviewThe Investment Essentials course is designed to provide studentswith an introduction to the field of investments. The course will cover a range of topics, including the characteristics and analysis of investments, risk and return, portfolio theory and diversification, and valuation. The course is structured to provide students with the skills necessary for making informed investment decisions, both at the individual and institutional levels.Learning ObjectivesBy the end of the course, students will be able to:•Understand the characteristics and analysis of various types of investments, including stocks, bonds, and alternativeinvestments.•Expln the concepts of risk and return, and how these concepts are used to analyze investments.•Understand portfolio theory and diversification, and how these concepts can be used to build a portfolio that meetsindividual investment objectives.•Apply valuation techniques to analyze stocks and bonds, and to make investment decisions.Course OutlineWeek 1: Introduction to Investments•What are investments?•Characteristics of investments•Investment objectivesWeek 2: The Stock Market•Stocks and stock markets•Risk and return of stocks•Stock valuationWeek 3: Bonds•Bond characteristics•Risk and return of bonds•Bond valuationWeek 4: Alternative Investments•Hedge funds•Private equity•Real estateWeek 5: Risk and Return•Portfolio returns•Measuring risk•DiversificationWeek 6: Portfolio Theory•Portfolio construction•Capital Asset Pricing Model (CAPM)•Efficient frontierWeek 7: Active vs. Passive Investing•Active management•Passive management•Index fundsWeek 8: Behavioral Finance•The psychology of investing•Behavioral biases•Investor educationWeek 9: Hedge Funds, Private Equity, and Venture Capital •Hedge funds•Private equity•Venture capitalWeek 10: Investment Strategies•Growth investing•Value investing•Income investingAssessmentAssessment for the course will be based on the following: •Midterm exam (25%)•Final exam (35%)•Investment analysis project (30%)•Class participation (10%)The investment analysis project will require students to analyze a particular investment and make a recommendation based on their analysis. The project will be presented to the class and will be evaluated based on the quality of the analysis and the effectiveness of the recommendation.In conclusion, the Investment Essentials course is designed to provide students with a broad understanding of investments and investment strategies. The course will cover a range of topics,including stocks, bonds, alternative investments, portfolio theory, and behavioral finance. Students will be assessed through exams, a project, and class participation. By the end of the course, students will be capable of making informed investment decisions and building investment portfolios that meet their objectives.。
投资学—课程设计
目录1行业分析....................................................................................................................................... - 1 -1.1宏观经济形势.................................................................................................................... - 1 -1.1.1我国啤酒行业的崛起及发展 ................................................................................ - 1 -1.1.2次贷危机对我国经济面影响有限 ........................................................................ - 1 -1.1.3货币政策转向资金面变暖 .................................................................................... - 2 -1.1.4危机蔓延朝阳产业寄望内需纾困 ........................................................................ - 2 -1.1.5危机恢复会比想象中快 ........................................................................................ - 3 -1.2行业分析............................................................................................................................ - 4 -1.2.1行业竞争格局雏形已现，竞争激烈程度有所下降 ............................................ - 4 -1.2.2 啤酒产消量增长还将持续，二线城市和农村市场增长潜力大 ....................... - 5 -1.2.3产品价格上升，销售毛利率略降，但是行业税前销售利润率上升 ................ - 5 -2公司简介....................................................................................................................................... - 6 -3.公司财务报表分析....................................................................................................................... - 7 -3.1基本财务比率分析............................................................................................................ - 7 -3.1.1盈利比率分析......................................................................................................... - 7 -3.2成长能力相关比率分析.................................................................................................... - 9 -3.3 营运能力相关比率分析................................................................................................. - 10 -3.3.1应收账款周转率................................................................................................... - 10 -3.3.2 存货周转率.......................................................................................................... - 11 -3.3.3 流动资产周转率.................................................................................................. - 12 -3.4 偿债能力比率分析......................................................................................................... - 12 -3.4.1 流动比率.............................................................................................................. - 13 -3.4.2 速动比率.............................................................................................................. - 13 -3.4.3 资产负债率.......................................................................................................... - 14 -3.5 现金流量相关比例分析................................................................................................. - 15 -4 传统的财务分析体系（杜邦财务分析体系）........................................................................ - 16 -4.1 传统的杜邦分析体系简介............................................................................................. - 16 -4.2 杜邦分析图表................................................................................................................. - 18 -4.3.1净资产收益率分析............................................................................................... - 21 -4.3.2总资产收益率分析............................................................................................... - 21 -4.3.3销售净利润率分析............................................................................................... - 21 -4.3.4权益乘数分析....................................................................................................... - 22 -5 管理用财务报表分析（改进的杜邦体系）............................................................................ - 23 -5.1 管理用财务报表............................................................................................................. - 23 -5.1.1管理用资产负债表............................................................................................... - 23 -5.1.2 管理用利润表...................................................................................................... - 25 -5.1.3 管理用现金流量表.............................................................................................. - 27 -5.2改进的财务分析体系的基本框架.................................................................................. - 28 -6投资方案的预测与决策............................................................................................................. - 29 -6.1形势分析.......................................................................................................................... - 29 -6.2财务分析.......................................................................................................................... - 30 -7筹资方案的预测与决策............................................................................................................. - 32 -7.1企业筹资方式的选择................................................................................................. - 32 -7.2筹资方案的预测与决策............................................................................................. - 33 -7.2.1筹资方案的介绍................................................................................................ - 33 -7.2.2筹资方式资金成本的比较 ............................................................................... - 35 -7.2.3筹资方式税负的比较 ....................................................................................... - 35 -7.2.4筹资方式的选择................................................................................................ - 35 -附录………………………………….……………………………………………………………………………………………… - 35 -燕京啤酒股份有限公司财务报表分析与投资筹资决策1行业分析啤酒行业是资金、技术密集型行业，机械化程度较高，行业特征明显。
投资学精要英文版第十版教学设计
Investment Essentials: 10th Edition English Teaching Design IntroductionInvestment Essentials is a comprehensive textbook that covers all the essential topics related to investments. The tenth edition of this book is an updated version, which incorporates the latest trends and developments in the field of investments. As an instructor, designing a teaching plan for this book requires careful planning and consideration. This document outlines a teaching design for the Investment Essentials textbook, which covers the mn topics and concepts in the book.Learning ObjectivesThe primary goal of this teaching plan is to equip learners with the knowledge and skills required to understand investments. The following are the learning objectives for the course:1.Define and describe the mn types of investments2.Evaluate and analyze investment opportunities3.Understand the risks associated with differenttypes of investments4.Develop a portfolio of investments5.Understand the role of financial markets ininvestment decision makingTeaching StrategiesThe teaching strategies for this course are designed to be interactive and engaging. The strategies are as follows:1.Lectures: This will be the primary mode of deliveryfor the course. Lectures will introduce and expln keyconcepts, theories and models.2.Case Studies: In addition to lectures, learnerswill be presented with real-life scenarios and casestudies that require them to apply the concepts learnedin class. This will enable learners to appreciate thecomplexities of investment decision-making.3.Group Work: Group work will be used to providelearners with an opportunity to collaborate with othersand discuss investment opportunities, risks and returns.This will enable learners to learn from each other anddevelop critical thinking skills.4.Presentations: Learners will be required to prepareand make presentations on investment opportunities. This will enable learners to develop communication skills andpresent complex information in a clear and concisemanner.5.Empirical Exercises: To supplement lectures,learners will be required to conduct empirical exercises such as analyzing financial statements and interpreting market data. This will enable learners to developanalytical skills and apply theoretical concepts. Course StructureThe course will be divided into the following units:1.Introduction to Investments•Types of Investments•Investment Philosophy2.Asset Allocation and Portfolio Construction•Risk and Return•Diversification3.Financial Markets•Types of Financial Markets•Market Efficiency4.Securities Analysis•Fundamental Analysis•Technical Analysis5.Fixed-Income Securities•Bond Valuations•Bond Ratings6.Equity Valuations•Dividend Discount Model•Price-Earnings Ratio7.Derivative Instruments and Alternative Investments•Futures and Options•Hedge Funds and Private EquityAssessmentAssessment will be based on a combination of coursework and exams. The following are the assessment components:1.Midterm Exam (30%)2.Group Presentations and Reports (30%)3.Final Exam (40%)ConclusionInvestment Essentials is an essential textbook for learners interested in investments. This teaching design outlines a comprehensive plan for delivering the course content to learners in an interactive and engaging manner. The learning objectives, teaching strategies, coursestructure, and assessment components will enable learners to develop the knowledge, skills and confidence required to understand investments and make informed investment decisions.。
《证券投资学》课程设计指导书、任务书
《证券投资学》课程设计指导书一、课程设计的目的通过课程设计要求学生深刻领会证券投资分析中的基本分析法、技术分析法。
能够运用宏观、中观、微观分析选择具有投资价值的个股，针对具体的一个股票使用图形分析、指标分析等方法对该股近期走势做出预期分析。
培养学生以下几方面的能力：1. 综合运用所学的证券投资分析方法及相关知识分析问题解决问题的实际能力。
2. 运用计算机、网络掌握资料查询、文献检索的方法及获取新知识的能力。
3. 个股投资综合分析及股票组合投资分析能力。
4. 培养学生的创新意识、严肃认真的治学态度和严谨求实的工作作风；5. 书面表达能力。
二、课程设计的内容1．熟悉“世华财讯版西安理工大学金融实验室B\S模拟交易系统”股票市场模拟交易平台各项功能。
在规定的上机时间内，根据深沪证券市场行情进行模拟股票交易。
掌握各个功能模块，即首页、买卖交易、账户信息、撤单、持股查询、委托查询、成交查询、资金明细、买卖计算器、广播消息等模块对应的详细内容及功能实践。
2．熟悉“世华财讯”资讯软件——世华财讯版西安理工大学Ecube机构版看盘器，由此了解我国目前宏观经济走势、证券市场现状，对关注对象个股或组合进行基本面和技术面分析。
3．结合其他财经网站提供的相关信息，搜集相关资料进行基本面等分析。
学习在财经网站及证监会、中证报等专业网站搜集资料。
4. 选择有发展潜力的行业，对该行业发展现状及未来进行分析。
在选定行业的上市公司中进行个股选择。
5. 针对个股搜集资料分析其公司背景、财务状况，从基本面选定投资组合。
6. 利用证券分析软件（世华财讯，或大智慧、钱龙等）对个股进行技术分析，从技术面选定投资组合。
三、课程设计的要求在一周的课程设计时间内，除上机时间以外的其他时间，进行有关个股投资分析及投资组合方案设计报告撰写。
具体内容要求如下：1. 确定题目。
本课程设计要求每人一题，独立完成。
题目的以“******股票投资组合方案设计”的形式，目的是要反映某个投资组合概念、理念或风格，具体题目自拟。
(完整版)《投资学》课程教学大纲
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。
投资学的课程设计
投资学的课程设计一、课程目标知识目标：1. 理解投资学的基本概念、投资原则和投资方法；2. 掌握股票、债券、基金等不同投资工具的特点、评估方法和风险控制；3. 了解投资市场的运作规律，掌握市场分析的基本技巧；4. 掌握投资组合管理的理论，学会制定和调整投资策略。
技能目标：1. 能够运用所学知识，独立完成投资项目的分析和评估；2. 培养投资决策能力，学会在风险可控的前提下做出投资选择；3. 提高信息搜集、整理和分析能力，为投资决策提供依据；4. 培养团队合作能力，通过小组讨论和分享，提高投资策略的制定和执行效果。
情感态度价值观目标：1. 培养学生对投资学的兴趣，激发学习热情，形成积极向上的学习态度；2. 培养学生的风险意识，树立正确的投资观念，遵循投资原则，遵循市场规律；3. 培养学生的诚信意识，遵守投资市场的法律法规，维护公平、公正的市场环境；4. 培养学生的责任感和使命感，将所学知识运用到实际投资中，为国家经济发展做出贡献。
本课程针对高中年级学生，结合学科特点和教学要求，注重理论与实践相结合，旨在培养学生的投资素养和实际操作能力。
课程目标具体、可衡量，旨在使学生在掌握投资学基本知识的同时，提高投资技能，形成正确的投资观念和价值观。
为实现课程目标，后续教学设计和评估将围绕具体学习成果展开。
二、教学内容1. 投资学基本概念：投资定义、投资目的、投资风险与收益；2. 投资工具：股票、债券、基金、衍生品等的特点、评估方法和风险控制；3. 投资市场分析：市场结构、市场运作规律、市场分析方法；4. 投资组合管理：资产配置、投资策略、投资组合调整；5. 投资决策：投资分析、投资评估、投资决策流程；6. 风险管理与控制：风险识别、风险评估、风险控制策略；7. 投资案例分析：分析实际投资案例，总结投资经验和教训；8. 投资伦理与法律法规：投资市场的伦理规范、法律法规及遵守原则。
教学内容按照教材章节进行组织，确保科学性和系统性。
投资学第10版习题答案06分析解析讲课教案
投资学第10版习题答案06分析解析讲课教案投资学第10版习题答案06分析解析CHAPTER 6: CAPITAL ALLOCATION TO RISKY ASSETSPROBLEM SETS1. (e) The first two answer choices are incorrect because a highly risk averse investorwould avoid portfolios with higher risk premiums and higher standard deviations.In addition, higher or lower Sharpe ratios are not an indication of an investor'stolerance for risk. The Sharpe ratio is simply a tool to absolutely measure the return premium earned per unit of risk.2. (b) A higher borrowing rate is a consequence of the risk of the borrowers’ default.In perfect markets with no additional cost of default, this increment would equal the value of the borrower’s option to default, and the Sharpe measure, with appropriate treatment of the default option, would be the same. However, in reality there arecosts to default so that this part of the increment lowers the Sharpe ratio. Also,notice that answer (c) is not correct because doubling the expected return with afixed risk-free rate will more than double the risk premium and the Sharpe ratio. 3. Assuming no change in risk tolerance, that is, an unchanged risk-aversioncoefficient (A), higher perceived volatility increases the denominator of theequation for the optimal investment in the risky portfolio (Equation 6.7). Theproportion invested in the risky portfolio will therefore decrease.4. a. The expected cash flow is: (0.5 × $70,000) + (0.5 × 200,000) = $135,000.With a risk premium of 8% over the risk-free rate of 6%, the required rate ofreturn is 14%. Therefore, the present value of the portfolio is:$135,000/1.14 = $118,421b. If the portfolio is purchased for $118,421 and provides an expected cashinflow of $135,000, then the expected rate of return [E(r)] is as follows:$118,421 × [1 + E(r)] = $135,000Therefore, E(r) =14%. The portfolio price is set to equate the expected rate ofreturn with the required rate of return.c. If the risk premium over T-bills is now 12%, then the required return is:6% + 12% = 18%The present value of the portfolio is now:$135,000/1.18 = $114,407d. For a given expected cash flow, portfolios that command greater riskpremiums must sell at lower prices. The extra discount from expectedvalue is a penalty for risk.5.When we specify utility by U = E(r) – 0.5Aσ2, the utility level for T-bills is: 0.07The utility level for the risky portfolio is:U = 0.12 – 0.5 ×A × (0.18)2 = 0.12 – 0.0162 ×AIn order for the risky portfolio to be preferred to bills, the following must hold:0.12 – 0.0162A > 0.07 ?A < 0.05/0.0162 = 3.09A must be less than 3.09 for the risky portfolio to be preferred to bills.6. Points on the curve are derived by solving for E(r) in the following equation:U = 0.05 = E(r) – 0.5Aσ2 = E(r) – 1.5σ2The values of E(r), given the values of σ2, are therefore:σσ 2E(r)0.00 0.0000 0.050000.05 0.0025 0.053750.10 0.0100 0.065000.15 0.0225 0.083750.20 0.0400 0.110000.25 0.0625 0.14375The bold line in the graph on the next page (labeled Q6, for Question 6) depicts the indifference curve.7. Repeating the analysis in Problem 6, utility is now:U = E(r) – 0.5Aσ2 = E(r) –2.0σ2 = 0.05The equal-utility combinations of expected return and standard deviation arepresented in the table below. The indifference curve is the upward sloping line in the graph on the next page, labeled Q7 (for Question 7).σσ 2E(r)0.00 0.0000 0.05000.05 0.0025 0.05500.10 0.0100 0.07000.15 0.0225 0.09500.20 0.0400 0.13000.25 0.0625 0.1750The indifference curve in Problem 7 differs from that in Problem 6 in slope.When A increases from 3 to 4, the increased risk aversion results in a greaterslope for the indifference curve since more expected return is needed in order to compensate for additional σ.8. The coefficient of risk aversion for a risk neutral investor is zero. Therefore, thecorresponding utility is equal to the portfolio’s expected return. The corresponding indifference curve in the expected return-standard deviation plane is a horizontal line, labeled Q8 in the graph above (see Problem 6).9. A risk lover, rather than penalizing portfolio utility to account for risk, derivesgreater utility as variance increases. This amounts to a negative coefficient of risk aversion. The corresponding indifference curve is downward sloping in the graph above (see Problem 6), and is labeled Q9.10. The portfolio expected return and variance are computed as follows:(1) W Bills (2)r Bills(3)W Index(4)r Indexr Portfolio(1)×(2)+(3)×(4)σPortfolio(3) × 20%σ 2 Portfolio0.0 5% 1.0 13.0% 13.0% = 0.130 20% = 0.20 0.04000.2 5 0.8 13.0 11.4% = 0.114 16% = 0.16 0.02560.4 5 0.6 13.0 9.8% = 0.098 12% = 0.12 0.01440.6 5 0.4 13.0 8.2% = 0.082 8% = 0.08 0.00640.8 5 0.2 13.0 6.6% = 0.066 4% = 0.04 0.00161.0 5 0.0 13.0 5.0% = 0.050 0% = 0.00 0.0000 11. Computing utility from U = E(r) – 0.5 ×Aσ2 = E(r) –σ2, we arrive at the values inthe column labeled U(A = 2) in the following table:W Bills W Index r PortfolioσPortfolioσ2Portfolio U(A = 2) U(A = 3)0.0 1.0 0.130 0.20 0.0400 0.0900 .07000.2 0.8 0.114 0.16 0.0256 0.0884 .07560.4 0.6 0.098 0.12 0.0144 0.0836 .07640.6 0.4 0.082 0.08 0.0064 0.0756 .07240.8 0.2 0.066 0.04 0.0016 0.0644 .06361.0 0.0 0.050 0.00 0.0000 0.0500 .0500The column labeled U(A = 2) implies that investors with A = 2 prefer a portfolio that is invested 100% in the market index to any of the other portfolios in the table.12. The column labeled U(A = 3) in the table above is computed from:U = E(r) – 0.5Aσ2 = E(r) – 1.5σ2The more risk averse investors prefer the portfolio that is invested 40% in themarket, rather than the 100% market weight preferred by investors with A = 2.13. Expected return = (0.7 × 18%) + (0.3 × 8%) = 15%Standard deviation = 0.7 × 28% = 19.6%14. Investment proportions: 30.0% in T-bills0.7 × 25% = 17.5% in Stock A0.7 × 32% = 22.4% in Stock B0.7 × 43% = 30.1% in Stock C15. Your reward-to-volatility ratio:.18.080.3571.28S-==Client's reward-to-volatility ratio:.15.080.3571.196S-==16.17. a. E(r C) = r f + y × [E(r P) –r f] = 8 + y × (18 - 8)If the expected return for the portfolio is 16%, then:16% = 8% + 10% ×y?.16.080.8.10y-==Therefore, in order to have a portfolio with expected rate of return equal to 16%, the client must invest 80% of total funds in the risky portfolio and 20% in T-bills.b.Client’s investment proportions:20.0% in T-bills0.8 × 25% = 20.0% in Stock A0.8 × 32% = 25.6% in Stock B0.8 × 43% = 34.4% in Stock Cc. σC = 0.8 ×σP = 0.8 × 28% = 22.4%18. a.σC = y × 28%If your client prefers a standard deviation of at most 18%, then: y = 18/28 = 0.6429 = 64.29% invested in the risky portfolio.b. ().08.1.08(0.6429.1)14.429%C E r y =+?=+?=19. a.y *0.36440.27440.100.283.50.080.18σ22==?-=-=PfP A r )E(r Therefore, th e client’s optimal proportions are: 36.44% invested in the risky portfolio and 63.56% invested in T-bills.b. E (r C ) = 0.08 + 0.10 × y * = 0.08 + (0.3644 × 0.1) = 0.1164 or 11.644% σC = 0.3644 × 28 = 10.203%20. a.If the period 1926–2012 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) ? r f = 8.10%, σM = 20.48% (we use the standard deviation of the risk premium from Table 6.7). Then y * is given by:That is, 48.28% of the portfolio should be allocated to equity and 51.72% should be allocated to T-bills.b.If the period 1968–1988 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) ? r f = 3.44%, σM = 16.71% and y * is given by:22()0.0344*0.308040.1671M fME r r y A σ-===?Therefore, 30.80% of the complete portfolio should be allocated to equity and 69.20% should be allocated to T-bills.c.In part (b), the market risk premium is expected to be lower than in part (a) and market risk is higher. Therefore, the reward-to-volatility ratio is expected to be lower in part (b), which explains the greater proportioninvested in T-bills.21. a. E (r C ) = 8% = 5% + y × (11% – 5%) ? .08.050.5.11.05y -==-b. σC = y × σP = 0.50 × 15% = 7.5%c.The first client is more risk averse, preferring investments that have less risk as evidenced by the lower standard deviation. 22. Johnson requests the portfolio standard deviation to equal one half the marketportfolio standard deviation. The market portfolio 20%M σ=, which implies 10%P σ=. The intercept of the CML equals 0.05f r=and the slope of the CMLequals the Sharpe ratio for the market portfolio (35%). Therefore using the CML:()()0.050.350.100.0858.5%M fP f P ME r r E r r σσ-=+=+?==23. Data: r f = 5%, E (r M ) = 13%, σM = 25%, and B f r = 9%The CML and indifference curves are as follows:24. For y to be less than 1.0 (that the investor is a lender), risk aversion (A ) must belarge enough such that:1σ<-=2MfM A r )E(r y ? 1.280.250.050.132=->A For y to be greater than 1 (the investor is a borrower), A must be small enough:1σ)(>-=2MfM A r r E y ? 0.640.250.090.132=-<A For values of risk aversion within this range, the client will neither borrow nor lend but will hold a portfolio composed only of the optimal risky portfolio:y = 1 for 0.64 ≤ A ≤ 1.2825. a.The graph for Problem 23 has to be redrawn here, with: E (r P ) = 11% and σP = 15%b. For a lending position: 2.670.150.050.112=->AFor a borrowing position: 0.890.150.090.112=-<A Therefore, y = 1 for 0.89 ≤ A ≤ 2.6726. The maximum feasible fee, denoted f , depends on the reward-to-variability ratio.For y < 1, the lending rate, 5%, is viewed as the relevant risk-free rate, and we solve for f as follows:.11.05.13.05.15.25f ---= ? .15.08.06.012, or 1.2%.25f ?=-= For y > 1, the borrowing rate, 9%, is the relevant risk-free rate. Then we notice that,even without a fee, the active fund is inferior to the passive fund because:.11 – .09 – f= 0.13 <.13 – .09 = 0.16 → f = –.004.15.25More risk tolerant investors (who are more inclined to borrow) will not be clients of the fund. We find that f is negative: that is, you would need to pay investors to choose your active fund. These investors desire higher risk –higher return complete portfolios and thus are in the borrowing range of the relevant CAL. In this range, the reward-to-variability ratio of the index (the passive fund) is better than that of the managed fund. 27. a.Slope of the CML .13.080.20-==28. a.With 70% of his money invested in my fund’s portfolio, the client’s expected return is 15% per year with a standard deviation of 19.6% per year. If he shifts that money to the passive portfolio (which has an expected return of 13% and standard deviation of 25%), his overall expected return becomes: E (r C ) = r f + 0.7 × [E (r M ) ? r f ] = .08 + [0.7 × (.13 – .08)] = .115, or 11.5% The standard deviation of the complete portfolio using the passive portfolio would be:σC = 0.7 × σM = 0.7 × 25% = 17.5%Therefore, the shift entails a decrease in mean from 15% to 11.5% and a decrease in standard deviation from 19.6% to 17.5%. Since both mean return and standard deviation decrease, it is not yet clear whether the move is beneficial. The disadvantage of the shift is that, if the client is willing toaccept a mean return on his total portfolio of 11.5%, he can achieve it with a lower standard deviation using my fund rather than the passive portfolio. To achieve a target mean of 11.5%, we first write the mean of the complete portfolio as a function of the proportion invested in my fund (y ):E (r C ) = .08 + y × (.18 ? .08) = .08 + .10 × yOur target is: E (r C ) = 11.5%. Therefore, the proportion that must be invested in my fund is determined as follows:.115 = .08 + .10 × y ? .115.080.35.10y -== The standard deviation of this portfolio would be:σC = y × 28% = 0.35 × 28% = 9.8%Thus, by using my portfolio, the same 11.5% expected return can be achieved with a standard deviation of only 9.8% as opposed to the standard deviation of 17.5% using the passive portfolio.b.The fee would reduce the reward-to-volatility ratio, i.e., the slope of the CAL. The client will be indifferent between my fund and the passive portfolio if the slope of the after-fee CAL and the CML are equal. Let f denote the fee:Slope of CAL with fee .18.08.10.28.28f f---==Slope of CML (which requires no fee).13.080.20.25-== Setting these slopes equal we have:.100.200.044 4.4%.28ff -=?==per year29. a.The formula for the optimal proportion to invest in the passive portfolio is:2σ)(*MfM A r r E y -=Substitute the following: E (r M ) = 13%; r f = 8%; σM = 25%; A = 3.5:20.130.08*0.2286, or 22.86% in the passive portfolio 3.50.25y -==?b. The answer here is the same as the answer to Problem 28(b). The fee that youcan charge a client is the same regardless of the asset allocation mix of theclient’s portfolio. You can charge a fee that will equate the reward-to-volatility ratio of your portfolio to that of your competition.CFA PROBLEMS1. Utility for each investment = E(r) – 0.5 × 4 ×σ2We choose the investment with the highest utility value, Investment 3.Investment ExpectedreturnE(r)StandarddeviationσUtilityU1 0.12 0.30 -0.06002 0.15 0.50 -0.35003 0.21 0.16 0.15884 0.24 0.21 0.15182. When investors are risk neutral, then A = 0; the investment with the highest utilityis Investment 4 because it has the highest expected return.3. (b)4. Indifference curve 2 because it is tangent to the CAL.5. Point E6. (0.6 × $50,000) + [0.4 × (-$30,000)] - $5,000 = $13,0007. (b) Higher borrowing rates will reduce the total return to the portfolio and thisresults in a part of the line that has a lower slope.8. Expected return for equity fund = T-bill rate + Risk premium = 6% + 10% = 16%Expected rate of return of the client’s portfolio = (0.6 × 16%) + (0.4 × 6%) = 12% Expected return of the client’s portfolio = 0.12 ×$100,000 = $12,000(which implies expected total wealth at the end of the period = $112,000)Standard deviation of client’s ov erall portfolio = 0.6 × 14% = 8.4%9. Reward-to-volatility ratio = .100.71 .14=CHAPTER 6: APPENDIX1.By year-end, the $50,000 investment will grow to: $50,000 × 1.06 = $53,000Without insurance, the probability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $253,000Fire 0.001 53,000For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(253,000)] + [0.001 ×ln(53,000)] = 12.439582 The certainty equivalent is:W CE = e 12.439582 = $252,604.85With fire insurance, at a cost of $P, the investment in the risk-free asset is: $(50,000 –P)Year-end wealth will be certain (since you are fully insured) and equal to: [$(50,000 –P) × 1.06] + $200,000Solve for P in the following equation:[$(50,000 –P) × 1.06] + $200,000 = $252,604.85 ?P = $372.78 This is the most you are willing to pay for insurance. Note that the expected loss is “only” $200, so you are willing to pay a substantial risk premium over the expected value of losses. The primary reason is that the value of the house is a largeproportion of your wealth.2. a. With insurance coverage for one-half the value of the house, the premiumis $100, and the investment in the safe asset is $49,900. By year-end, theinvestment of $49,900 will grow to: $49,900 × 1.06 = $52,894If there is a fire, your insurance proceeds will be $100,000, and theprobability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $252,894Fire 0.001 152,894For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(252,894)] + [0.001×ln(152,894)] = 12.4402225 The certainty equivalent is:W CE = e 12.4402225 = $252,766.77b.With insurance coverage for the full value of the house, costing $200, end-of-year wealth is certain, and equal to:[($50,000 – $200) × 1.06] + $200,000 = $252,788Since wealth is certain, this is also the certainty equivalent wealth of the fully insured position.c.With insurance coverage for 1? times the value of the house, the premiumis $300, and the insurance pays off $300,000 in the event of a fire. Theinvestment in the safe asset is $49,700. By year-end, the investment of$49,700 will grow to: $49,700 × 1.06 = $52,682The probability distribution of end-of-year wealth is:Probability WealthNo fire 0.999 $252,682Fire 0.001 352,682For this distribution, expected utility is computed as follows:E[U(W)] = [0.999 ×ln(252,682)] + [0.001 ×ln(352,682)] = 12.4402205 The certainty equivalent is:W CE = e 12.440222 = $252,766.27Therefore, full insurance dominates both over- and underinsurance.Overinsuring creates a gamble (you actually gain when the house burns down).Risk is minimized when you insure exactly the value of the house.。
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投资学第十版课程设计
一、选题背景
投资学是金融学的重要分支，作为金融市场的核心，它对于资本市场和国民经
济的发展起着举足轻重的作用。
投资学的研究涉及到多学科知识的综合运用，包括金融、经济、会计、法律、心理学等领域。
投资学的课程设计是培养学生对现代投资理论和实践应用的具体技能和能力的必要手段。
本次课程设计旨在帮助学生加深对投资学理论知识的理解，提高实践能力，培养独立思考和解决实际问题的能力。
二、课程设计目标
本次课程设计的目标是：
1.帮助学生掌握投资学的基本理论和分析方法，并能对不同类型的投资
项目进行合理的风险评估和资产配置；
2.增强学生的实践能力，让学生独立制定投资方案、进行投资组合的构
建和管理；
3.培养学生主动探索和解决实际问题的能力，提高学生的综合素质和职
业竞争力。
三、课程设计内容
1. 投资学基本理论的讲解
在此部分，我们将系统地介绍投资学的基本理论，包括资本市场的基本概念、
投资机会和投资风险的测量、投资组合的构建和管理等。
通过课堂讲解和案例分析，让学生理解并掌握投资学的基本概念和理论。
2. 投资组合构建和管理
在此部分，我们将重点讲解投资组合的构建方法和投资管理策略。
通过课堂讲
解和实践操作，让学生掌握投资组合构建和管理的具体方法和技能，并能在实际投资中灵活应用。
3. 投资项目实践
在此部分，我们将针对现实投资场景，选取一些典型的投资项目进行分析研究。
通过课堂讲解和实践操作，让学生了解不同类型的投资项目，并学会解决不同类型投资项目所遇到的实际问题。
四、课程设计方法
采用案例分析、投资模拟、实地考察等多种教学方法，提高课程的趣味性和实
用性。
同时，要鼓励学生自己独立思考，并在自己的实际操作中发掘、总结和应用投资学的知识。
五、课程设计评估
课程设计的评估分为两个层次：一是学生的个人表现评估，二是课程整体效果
评估。
个人表现评估主要是基于学生的日常表现和课程作业评估，包括课堂讨论、个
人报告和投资组合管理等。
课程整体效果评估主要是通过学生的问卷调查和总结性报告来进行，细致地评
估课程的教学质量和学生的综合表现。
六、参考资料
1.张静，杨玉山. 投资学[M]. 北京：中国人民大学出版社，2016.
2.王涛，丁敏，付志伟. 金融市场与投资分析[M]. 北京：中国人民大
学出版社，2015.
3.李安邦，林中斌. 金融学[M]. 北京：中国人民大学出版社，2009.。