证券投资学杨云红副教授北京大学光华管理学院金融系课程大纲第一章金融市场第二章证券投资收益和风险第三章利率和期限结构理论第四章最优证券组合理论第五章资本资产定价理论(CAPM)第六章套利定价理论(APT)第七章效率市场第八章债券价值与风险第九章普通股票的定价第十章衍生资产定价：期权定价理论及其应用第十一章期货第十二章积极的证券组合管理这门课能给我们带来什么？这门课所属的位置这门课的主要内容Whydowestudythetheory？Managerslearnfromexperiencehowtocopewithroutineproblems.Butthebestmanagerarealsoabletorespondtochange.Todothisyouneedmorethantime-honoredrulesofthumb;youmustunderstandwhycompaniesandfinancialmarketsbehavethewaytheydo.Inotherwords,youneedatheoryoffinance.……Goodtheoryhelpsyougraspwhatisgoingonintheworldaroundyou.Ithelpsyoutoasktherightquestionswhentimeschangeandnewproblemsmustbeanalyzed.Italsotellsyouwhatthingsyoudonotneedtoworryabout.---------BrealeyandMyersWhydoesnotthereexistsanyadviceon“guaranteed”waystobeatthemarket？Anysystemdesignedtobeatthemarket,onceknowntomorethanafewpeople,carriestheseedsofitsowndestruction.Therearetworeasonsfornotincludingadviceon“guaranteed”waystobeatthemarketinthisbook.First,todosowouldmakeasuccessfulsystempublicandhenceunsuccessful.Second,theauthorsknowofsuchsystem.Thisdoesnotmeanthatfinancialanalysisisuseless.Althoughindividualsshouldbeskepticalwhenotherstellthemhowtousefinancialanalysistobeatthemarket,individualscantrytounderstandthemarketwiththeuseoffinancialanalysis.-------------------W.Sharpe,etc.什么是金融学(Finance)Financeisasubfieldofeconomicsdistinguishedbybothitsfocusanditsmethodology.Theprimaryfocusoffinanceistheworkingsofthecapitalmarketsandthesupplyandthepricingofcapitalassets.Themethodologyoffinanceistheuseofclosesubstitutestopricefinancialcontractsandinstruments.Thismethodologyisappliedtovalueinstrumentswhosecharacteristicsextendacrosstimeandwhosepayoffsdependupontheresolutionofuncertainty.金融学的研究领域金融市场宏观层面：金融框架微观层面：定价、风险管理公司财务历史H.M.Markowitz均值-方差模型(Mean-variancemodel)HarryM.Markowitz,PortfolioSelection,JournalofFinance,7(1):77-91,1952.W.F.Sharpe,J.Lintner,J.Mossin资本资产定价模型CapitalAssetPricingModel(CAPM)W.F.Sharpe,CapitalAssetPrices:ATheoryodMarketEquilibriumUnderCondi