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课程主页: https://www.udemy.com/course/financial-markets-a/
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课程名称：金融工程与投资组合理论 - CM2 精算考试 课程概述： 本课程分为六个主要部分，深入探讨金融市场、投资决策和风险管理的理论与实践。 第一部分介绍金融市场，包括股票市场、债券市场、衍生品市场和风险市场。课程将讨论有效市场假说的强形式、半强形式和弱形式，以及对每种假说的支持与反对证据。此外，我们将比较沃伦·巴菲特与约翰·C·博格尔的投资成功，分析主动投资与被动投资策略的优劣，并分享在新冠疫情前后个人的投资策略。同时，我们也会探讨导致2008年全球经济衰退的原因。 第二部分聚焦于效用理论和非理性行为，包括圣彼得堡悖论的游戏，消费者选择理论中的无差异曲线与预算线，效用理论所关注的金钱效用及风险态度的观察，以及效用公理的完整性、传递性、连续性和独立性。此外，课程还会涵盖带有不确定性的消费者选择理论和随机支配的概念。 第三部分为行为经济学，讨论启发式、框架效应、羊群效应、锚定效应、短视损失厌恶和心理账户等概念，以及常见的偏见（自利偏见、确认偏见、可得性偏见和熟悉度偏见）以及如何对抗非理性行为的方法。 第四部分介绍风险测量，包括方差和半方差、短缺概率、风险价值和期望短缺（尾部VaR），以及风险测量与效用函数之间的关系。 第五部分为均值方差投资组合理论的入门，包括投资组合理论的基本概念、均值方差投资组合理论的假设、机会集及有效前沿、分散投资的好处，以及最优投资组合的构建。 第六部分介绍资本资产定价模型（CAPM），帮助学生理解风险和预期收益之间的关系。 本课程适合希望深入理解金融工程与投资理论的学员，特别是准备CM2精算考试的学生。
Section 1 - IntroductionFinancial MarketsWe look at various markets such as the Stock Market, the Bond Market, the Derivative Market as well as Risk markets.Efficient Market HypothesisWe consider the Strong, Semi and Weak form of the Efficient Market Hypothesis as well as the evidence for and against each one.Can you Beat the Market?We compare the success of Warren Buffet vs the success of John C BogleActive vs Passive StrategiesWe compare two investment philosophies and consider the problems with eachCovid-19 Investment StrategiesI share my own investment strategies before and after Covid-19What Caused the Great RecessionWe look at what caused the global recession in 2008Section 2 - Utility Theory Irrational BehaviourWe play the St Petersburg Paradox and consider if our decisions can be irrationalConsumer Choice TheoryWe look at indifference curves and budget lines to make decisions around bundles.Utility TheoryWe make observations about the utility of money and consider various attitudes towards risk.Axioms of UtilityWe look at Completeness, Transitivity, Continuity and IndependenceExpected Utility TheoryWe consider consumer choice theory with uncertaintyStochastic DominanceWe look at Absolute, First Order and Second Order DominanceSection 3 - Behavioural Economics Behaviour EconomicsHeuristicsFramingHerd InstinctAnchoringMyopic Loss AversionMental AccountingBias - (Self Serving, Confirmation, Availability and Familiarity)Story BelievingHow to Fight IrrationalitySection 4 - Risk MeasuresVariance and Semi VarianceShortfall ProbabilityValue at RiskExpected Shortfall (Tail VaR)Relationship between Risk Measures and Utility FunctionsSection 5 - Mean Variance Portfolio TheoryIntroduction to Portfolio TheoryIntroduction to Mean Variance Portfolio TheoryAssumptionsOpportunity Set & Efficient FrontierDiversification BenefitOptimal PortfolioSection 6 - Capital Asset Pricing Model
