Portfolio Management
投资组合管理
Broad Learning Objectives
总体学习目标
An understanding of the important building blocks associated with portfolio management, such as the risk/return relationship, diversification, pricing models, market efficiency and risk measures should be obtained. The various features of investment strategies (including international assets) and hedging strategies (including dynamic and insurance strategies) and Asset-Liability Management should be understood together with their applications. An understanding of the importance and features of performance measurement and evaluation, together with the choice of investment manager, should be developed, together with a knowledge of the features and benefits associated with the alternative investment asset class.
理解投资组合管理涵盖的重要知识点，如风险/收益关系、多样化投资、定价模型、市场有效性和风险度量。同时理解不同投资策略（包括国际投资组合）、套期保值策略（包括动态策略和保险策略）和资产/负债管理的不同特征及应用。应该理解绩效度量和评估的重要性及特征，掌握恰当挑选投资经理的能力，并了解与另类资产相关的特征和收益。
1 Modern Portfolio Theory
1 现代投资组合理论
1.1 The risk / return framework
1.1.1 Return and measures of return
1.1.2 Risk
1.1 风险/收益框架
1.1.1 收益和收益的度量
1.1.2 风险
1.2 Portfolio theory
1.2.1 Diversification and portfolio risk
1.2.2 Markowitz model and efficient frontier
1.2 投资组合理论
1.2.1 多样化和投资组合风险
1.2.2 马柯威茨（MARKOWITZ）模型和有效边界
1.3 Capital Asset Pricing Model (CAPM)
1.3.1 Major assumptions
1.3.2 Capital market line (CML)
1.3.3 Security market line (SML)
1.3.4 The zero-beta CAPM
1.3 资本资产定价模型（CAPM）
1.3.1 主要假设
1.3.2 资本市场线(CML)
1.3.3 证券市场线(SML)
1.3.4 零贝塔资本资产定价模型
1.4 Index and market models
1.4.1 The single-index model and its hypothesis
1.4.2 Decomposing variance into systematic and diversifiable risk
1.4.3 The link with the CAPM
1.4.4 Applications of the market model
1.4.5 Multi-index models
1.4 指数模型和市场模型
1.4.1 单指数模型及其假设
1.4.2 将方差分解为系统性风险和可分散风险
1.4.3 与CAPM的关系
1.4.4 市场模型的应用
1.4.5 多指数模型
1.5 Efficient Markets
1.5.1 Information efficient markets
1.5.2 Efficient market hypothesis
1.5.3 Are markets efficient？
1.5.4 Market efficiency and investment policy
1.5.5 Lessons from market efficiency
1.5 有效市场
1.5.1 信息有效市场
1.5.2 有效市场假说
1.5.3 市场是有效的吗？
1.5.4 市场效率与投资政策
1.5.5 市场效率性的启示
1.6 Arbitrage Pricing Theory (APT)
1.6.1 Assumptions underlying the APT
1.6.2 The APT and its derivation
1.6.3 The link between the APT and the CAPM
1.6.4 Empirical tests of the APT
1.6.5 Pre-specifying factors
1.6.6 Applications of the APT
1.6 套利定价模型
1.6.1 APT的假设
1.6.2 APT及其推导
1.6.3 APT与CAPM之间的联系
1.6.4 APT的实证检验
1.6.5 预先指定因素
1.6.6 APT的一些应用
2 Investment Strategies
2 投资策略
2.1 Investment policy
2.1.1 Individual investors
2.1.2 Institutional investors
2.1 投资政策
2.1.1 个人投资者
2.1.2 机构投资者
2.2 Asset allocation
2.2.1 Asset allocation overview
2.2.2 Types of asset allocations
2.2 资产配置
2.2.1 资产配置概述
2.2.2 资产配置的类型
3 Hedging Strategies
3 套期保值策略
3.1 Combining options and traditional assets
3.1.1 Covered call strategy
3.1.2 Enhanced indexing
3.1.3 130/30 funds
3.1.4 Using interest rates OTC products
3.1 期权结合传统资产
3.1.1 抛补看涨期权策略
3.1.2 加强指数法
3.1.3 130/30基金
3.1.4 利用利率的场外产品
3.2 Portfolio insurance
3.2.1 Stop-loss approach
3.2.2 Static portfolio insurance
3.2.3 Dynamic portfolio insurance
3.2.4 Constant proportion portfolio insurance
3.2 投资组合保险
3.2.1 止损方法
3.2.2 静态投资组合保险
3.2.3 动态投资组合保险
3.2.4 固定比例投资组合保险
3.3 Hedging with stock index futures
3.3.1 Long hedge
3.3.2 Short hedge
3.3.3 A complete hedging analysis
3.3.4 Adjusting the beta of a stock portfolio
3.3 股指套期保值
3.3.1 多头套期保值策略
3.3.2 空头套期保值策略
3.3.3 套期保值的完整分析
3.3.4 调整股票组合的贝塔值
3.4 Hedging with foreign exchange futures
3.4.1 Hedging against a rise of the foreign currency
3.4.2 Hedging against a drop of the foreign currency
3.4.3 Hedging with cross-currency rates
3.4 利用外汇期货合约进行套期保值
3.4.1 对外币升值的套期保值
3.4.2 对外币贬值的套期保值
3.4.3 使用交叉汇率进行套期保值
3.5 Hedging with interest rate futures
3.5.1 Hedging using short term interest rate futures
3.5.2 Hedging using long term interest rate futures
3.5.3 Hedging against decreasing rates (long hedge)
3.5.4 Hedging against increasing rates (short hedge)
3.5.5 Moving to a preferred duration
3.5 利用利率期货合约进行套期保值
3.5.1 利用短期利率期货进行套期保值
3.5.2 利用长期利率期货进行套期保值
3.5.3 对冲下降利率（多头套期保值）
3.5.4 对冲上升利率（空头套期保值）
3.5.5 移向最佳久期
3.6 Use of swaps in portfolio management
3.6 互换在投资组合管理中的应用
3.7 Asset allocation with futures
3.7 利用期货进行资产配置
4 Asset / Liability Management
4 资产/负债--分析及管理
4.1 Introduction to ALM
4.1.1 Background of ALM
4.1.2 ALM with pension funds
4.1.3 Types of ALM models
4.1 导言
4.1.1 资产/负债管理（ALM）的背景
4.1.2 养老基金的ALM
4.1.3 ALM模型的类型
4.2 Modelling liabilities
4.2.1 Types of liabilities
4.2.2 Valuation of pension liabilities
4.2.3 Annuity factors and discount rates
4.2 负债建模
4.2.1 债务类型
4.2.2 养老基金负债的估值
4.2.3 年金因子和贴现率
4.3 Modelling assets
4.3.1 Types of asset classes
4.3.2 Risk and return characteristics
4.3 资产建模
4.3.1 资产类别
4.3.2 风险和收益的特征
4.4 Surplus and funding ratios
4.4 盈余和融资比率
4.5 Integrated optimisation
4.5.1 Target functions and tradeoffs
4.5.2 Surplus risk management
4.5.3 Pension fund management
4.5 综合优化
4.5.1 目标函数及权衡
4.5.2 盈余风险管理
4.5.3 养老金管理
4.6 Implementation of strategies
4.6.1 Stochastic simulations
4.6.2 Active versus passive ALM strategies
4.6.3 Dynamic adjustment of assets and liabilities
4.6 战略的实施
4.6.1 随机模拟
4.6.2 积极的与消极的ALM策略
4.6.3 资产和负债的动态调整
5 International Investments and Value at Risk
5 国际投资和在险价值
5.1 International investments
5.1.1 International diversification
5.1.2 Hedging foreign exchange risk
5.1.3 International equities
5.1.4 International fixed income
5.1.5 Managing a portfolio of international assets
5.1 国际投资
5.1.1 国际风险分散
5.1.2 外汇风险套期保值
5.1.3 国际股票
5.1.4 国际固定收益
5.1.5 管理国际投资组合
5.2 Value at Risk (VaR)
5.2.1 Definition
5.2.2 Interpretation of value at risk
5.2.3 Calculation of value at risk
5.2.4 Dangers and pitfalls
5.2 在险价值
5.2.1 定义
5.2.2 在险价值的解释
5.2.2 在险价值的计算
5.2.4 危险与缺陷
6 Performance Measurement and Evaluation
6 绩效度量与评价
6.1 Performance measurement
6.1.1 Return measurement
6.1.2 Benchmarks
6.1.3 Risk measurement
6.1 风险--收益度量
6.1.1 确定和度量收益
6.1.2 收益度量标准
6.1.3 确定和度量风险
6.2 Performance attribution
6.2.1 Return attribution
6.2.2 Risk attribution
6.2 绩效归因分析
6.2.1 收益归因分析
6.2.2 风险归因分析
6.3 Performance presentation
6.3.1 Types of performance presentation
6.3.2 Best practice for performance presentation
6.3 绩效报告
6.3.1 绩效报告形式
6.3.2 最优绩效报告实践
6.4 Investment controlling
6.4.1 Definition and outline of investment controlling
6.4.2 Generic performance evaluation process
6.4.3 Pitfalls in performance evaluation
6.4 投资控制
6.4.1 投资控制的定义和纲要
6.4.2 通用的绩效评估过程
6.4.3 绩效评估的缺陷
7 Choice of the Investment Manager
7 挑选投资经理
7.1 Choice of the investment manager
7.1.1 Assessing and choosing managers
7.1.2 Style analysis
7.1.3 Means of style analysis
7.1.4 Style analysis: application to different asset classes
7.1.5 Risks, controls and prudential issues: organisational issues
7.1.6 Risks, controls and prudential issues: fee structures
7.1 挑选投资经理
7.1.1 评估和挑选投资经理
7.1.2 风格分析
7.1.3 风格分析的方法
7.1.4 风格分析：不同资产类型的运用
7.1.5 风险、控制与谨慎问题：组织结构问题
7.1.6 风险、控制与谨慎问题：费用结构
8 Equity Management
8 股票管理
8.1 Principles of equity management
8.1.1 Risk in operational terms
8.1.2 Risk control
8.1.3 Active and passive management
8.1 股票管理原则
8.1.1 操作性风险
8.1.2 风险控制
8.1.3 积极和消极管理
8.2 Managing an equity portfolio
8.2.1 Active management
8.2.2 Passive management
8.2 股票组合管理
8.2.1 积极型管理
8.2.2 消极型管理
9 Alternative Investments
9 另类投资
9.1 Managing a property portfolio
9.1.1 Real estate indices
9.1.2 Return and risk of real estate
9.1.3 Correlation between the returns on various asset classes
9.1.4 Determining the share of real estate in optimal portfolios
9.1 房地产组合管理
9.1.1 房地产指数
9.1.2 房地产的收益与风险
9.1.3 各类资产收益之间的相关性
9.1.4 在最优组合中确定房地产投资的份额
9.2 Alternative assets / private capital
9.2.1 Unlisted non-property securities and private capital
9.2.2 Hedge funds
9.2 另类资产/私人资本
9.2.1 未上市的非房地产证券及私人资本
9.2.2 对冲基金
