• 金融理论
  这部份包括投资组合理论，资本资产定价模式和套利定价理论，这些都已经成为投资决策制定中整合的一部分。
• 在股票及股票选择权市场的实证
  本部份包括股票报酬的横截面模式，股票报酬的时间序列行为、随时间变化期望报酬和随机波动性，以及股票选择权更进一步的实证。
• 介绍固定收益与信用敏感工具
  本部份包括无违约与可违约债券、收益曲线分析、联邦储备银行目标利率的影响、固定收益衍生性金融商品，例如换汇、利率上限、利率下限及利率交换选择权、违约模型与和评等迁移，以及近期信用衍生性金融商品的发展。
• 市场效率与“主动”投资
  我们从效率市场这种非常适合模式化金融市场的假说开始谈起。效率市场假说就像任何的模型一样并非现实的完美描述∶一些价格几乎确定“错误”。因此有诸多理由相信，主动管理能产出有效的结果。在主动投资类别的议题中包含证券分析、积极投资组合、避险基金、及风险管理。
• 金融行为学的简介
  当传统的金融学假设投资者理性的行动，以极大化明确的效用函数；行为的金融学试图使用其他的行为理论，从心理学、社会学和人类学，来解释金融市场。 这个题目将在一堂课中谈论到，其主要目的是让你接触这个在金融学中积极且快速成长的领域。

• 分析的工具
  除了其它的知识以外，从本课程中你应该学到的一项重要分析技能，是把实际生活的投资问题转换为易于分析模型的能力。这种模型化技能是本课程一个重要的方向，并且在整个课程中都会强调这技能。
• 量化的技能
  现代金融有其量化的观点。诸如最优化、动态规划、机率理论及统计分析等强而有力的数学技术为很多复杂的投资问题铺路。
  在本课程中，你将接触到数量表示的观点。并不期待你对数学有多么拿手，但是我希望教你可以适用在各种情况的基础。而且，透过5个小组作业，你将获得最优化、数据分析、蒙地卡罗模拟等等的实务经验。
• 经验知识
  对任何投资决定不可或缺的是对投资环境的知识。一般说来，金融工具可以归类成股票、借贷和衍生性金融商品。本课程将检视这三种金融市场重要的实证。虽然我经常强调概念和大局观，但是请了解 15.433 包含相当多的代数、运算式、和基础数学。所以如果你对上述三种概念感到不安，请跟授课老教师谈论。

推荐阅读
P. Bernstein。绝妙的理想∶现代华尔街的不大可能的由来。纽约∶Free Press，1992年。
（编注：简体中译本：《投资革命，源自象牙塔的华尔街理论》，上海远东出版社，2001
            繁体中译本：《投资革命：华尔街理论起源》，台北财讯出版社，2001，
            http://www.books.com.tw/exep/prod/booksfile.php?item=0010141676）

助教和评论讲习

助教针对课程每周地举行办公室时间、评论讲习都会在课堂上宣布。

评分

固定出席与课堂参与 10%
5个小组作业 20%
期中考试 30%
期末考试 40%

课程准备及参与

课程准备和参与都一样重要。藉由在课堂中询问及回答问题，可以大幅测试及提升你对教材的理解。如果你没有准备，对讨论很难有什么贡献。我强烈建议你以学习团队来为课程作准备。欲了解细节，请参阅课程表和阅读书目。

我们非常鼓励课堂参与，从问题叙述到有创造性及有深刻见解识的评论都好。你的积极参与将会为大家把本课程转变成一次极好的学习经验，包括我自己。

小组作业

有5项小组作业。每一项占你最后评分3到5分之间。小组作业期限从本课程开始之日到学期结束日。

在准备这些作业时，一组组员 3 到 5 名学生。每组只交一组答案。每名组员从每份习题中获得相同的评分，我们也期望每位组员能对每个问题的解答做出明显的贡献。

• Financial Theories
  This includes portfolio theory, the capital asset pricing model and the arbitrage pricing theory, all of which have become an integrated part of the decision-making in investments.
• Empirical Evidence in the Equity and Equity Options Markets
  This includes patterns in cross-sections of stock returns, the time-series behavior of stock returns time-varying expected returns and stochastic volatility, and further empirical evidence from the equity options market.
• Introduction to Fixed-Income and Credit Sensitive Instruments
  This includes default-free as well as defaultable bonds, yield curve analysis, the effect of Fed target rates, fixed-income derivatives such as swaps, caps, floors, and swaptions, models of default and ratings transitions, and more recent development of credit derivatives.
• Market Efficiency and "Active" Investments
  We start with the efficient market hypothesis, which is a useful framework for modeling financial markets. Like any model, the efficient market hypothesis is not a perfect description of reality: some prices are almost certainly "wrong". Hence there are reasons to believe that active management can have effective results. Topics in active investments include security analysis, active portfolio management, hedge funds, and risk management issues.
• Brief Introduction to Behavioral Finance
  While traditional finance assumes investors act rationally to maximize a well-defined utility function, behavioral finance tries to use other theories of behavior, from psychology, sociology, and anthropology, to explain financial markets. This topic will be covered by just one lecture, the main purpose of which is to get you exposed to this active and fast growing field in Finance.

• Analytical Tools
  Among others, an important analytical skill you should acquire from taking this class is the ability to transform a real life investment problem into an analytically tractable model. This modeling skill is an important aspect of this class, and will be emphasized throughout the course.
• Quantitative Skills
  Modern finance has its quantitative aspect. Powerful mathematical techniques such as optimization, dynamic programming, probability theory and statistical analysis pave the way for many complex investment problems.
  In this class, you will be exposed to this quantitative aspect. You are not expected to be fluent in mathematics, but I hope to teach you the fundamentals, which are portable from one situation to another. Moreover, through 5 group assignments, you will have hands-on experiences with optimization, data analysis, Monte-Carlo simulation, etc.
• Empirical Knowledge
  Essential to any investment decision is the knowledge of the investment environment. Broadly speaking, the financial instruments can be categorized into equity, debt, and derivatives. Important empirical evidence from all three types of financial markets will be examined in this class. Although I will emphasize concepts and the big picture a lot, please realize that 15.433 involves a fair bit of algebra, notation, and basic mathematics. So if you are uncomfortable with the above three notions, please talk to the course instructor about it.

Recommended Reading
P. Bernstein. Capital Ideals: The Improbable Origins of Modern Wall Street. New York: Free Press, 1992.

TA's and Review Sessions

The TA's for the course will hold weekly office hours, review sessions are announced in the class.

Grading

Regular attendance and class participation 10%
Five group assignments 20%
Mid-term examination 30%
Final examination 40%

Class Preparation and Participation

Both class preparation and participation are important. The classroom is a great place to test and enhance your understanding of the material by asking and answering questions. It will be hard to contribute to the discussions if you are unprepared. I strongly encourage you to prepare for class in study groups. For details, see Course Schedule and Reading List.

Class participation, from clarifying questions to creative and insightful comments, is greatly encouraged. Your active participation will transform this class into a great learning experience for everyone, including myself.

Group Assignments

There are five group assignments. Each is worth between 3 to 5 points toward your final grade. Group assignments are due at the beginning of class on the due date.

Please work in a group of three to five students when preparing these assignments. Each group should hand in only one set of answers. Each group member will receive the same grade on an exercise, and each is expected to make a significant contribution to the solution of every problem.