QF 5206-0

Brief

本課程主要介紹財務資產定價，先介紹傳統現值法（present value）、風險與報酬（risk and return）之關係評估資產價 格，然後，引進隨機折現因子法（stochastic discount factor approach）將傳統的資產定價法做一整合分析.

Description

Course keywords: 現值(Present value), 隨機折現因子(Stochastic discount factor), 現金流(cash flows), 隨機漫步假說(random walk hypothesis), 利率期限結構(term structure of interest rate) 一、課程說明(Course Description) 本課程主要介紹財務資產定價，先介紹傳統現值法（present value）、風險與報酬（risk and return）之關係評估資產價格，然後，引進隨機折現因子法（stochastic discount factor approach）將傳統的資產定價法做一整合分析. 二、指定用書(Text Books) Cochrane, John, Asset Pricing, 2001, Princeton University Press,2001 三、參考書籍(References) Recommended book: Siegel, Jeremy J., Stocks for the long Run, 2nd ed. 1998, Irwin (新月書局進口) Survey article: Campbell, John Y., 2000 “Asset Pricing at the Millennium”, Journal of Finance 55, 1515-1567. 四、教學方式(Teaching Method) Lecture and Discussion 五、教學進度(Syllabus) Course outline 1.Introduction 2.Present value relations a.Constant discount rates: the random walk hypothesis b.Constant cash flows: the term structure of interest rate 3.Risk and return a.Mean-variance analysis b.The capital asset pricing model and multifactor models c.Advanced topics in portfolio choice 4.Stochastic discount factor(SDF) a.The basic mechanics of the SDF framework b.linking SDF presentation to the traditional beta and the mean-variance logic 六、成績考核(Evaluation) 作業與上課參與20% 期中考30% 期末考50% 七、採用下列何項 AI 使用規則 (Indicate which of the following options you use to manage student use of the AI) 　(1)完全開放使用且無須註明 Unrestricted use with no disclosure required 八、可連結之網頁位址

Timetable

Scores

Average GPA 4.3

Std. Deviation 0

Remarks

本課程為16週課程，須先修過信用風險專題

Restrictions

限計財系碩士班博士班

Compulsory

Elective

Cross Discipline

First Specialization

Second Specialization