本课程有两个目标: 介绍量化投资的基本框架和理论以及相关的数量工具; 熟悉金融市场数据并且应用所学理论进行量化投资,包括投资组合和均值方差分析, 线性因子模型和检验方法,资本资产定价模型异像和行为金融学:因子 VS 特征,BARRA量化股票投资模型,业绩评估和业绩归因,事件驱动策略,资产配置:Black-Litterman 模型,期权隐含信息。
There are two goals for this course: 1. Provide you with an introduction to the fundamental framework and theory of quantitative investment as well as required quantitative tools used in investment analysis. 2. Expose you to real data on financial securities, and learn how to apply the theory to do quantitative investment, including Portfolio Choice and mean-variance mathematics, Linear factor model and their testing methods, CAPM anomalies and behavioural finance: factors V.Scharacteristics, Barra model for quantitative equity investment, Performance evaluation and attribution,Event driven strategies, Asset allocation: Black-Litterman model, and Option-implied information.