AFCL801 unit guide Eng and Chn 3 Aug 2018€¦ · Unit guide AFCL801 Portfolio Management and Valuation ... 要通过这门科目（要求达到50分或以上），学生必须通过以下总体考核中的考试组合(即,

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AFCL801 Portfolio Management and Valuation 投资组合管理和评估

AFC Beijing 2018 北京 2018

Dept of Applied Finance and Actuarial Studies 应用金融和精算学系

Contents

General Information 3

Learning Outcomes 5

General Assessment Information 5

Assessment Tasks 5

Delivery and Resources 12

Unit Schedule 15

Learning and Teaching Activities 18

Policies and Procedures 18

Graduate Capabilities 21

Important Notice 23

Standards Required to Complete the Unit Satisfactorily 24

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Unit guide AFCL801 Portfolio Management and Valuation 科目指导 AFCL801 投资组合管理和评估

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内容

综合信息 3

学习成果 5

综合考核信息 5

考核任务 5

授课⽅式和教学资源 12

本科⽬的时间表 15

教学活动 18

政策和流程 18

毕业生能⼒ 21

重要通知 23

科⽬标标达准 24


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General Information 综合信息

Unit Convenor and teaching staff

科目召集人和教职人员

Unit Convenor/Lecturer 科目召集人/讲师 Al Clark [email protected] Contact via Email 邮件联系 Lecturer 讲师 Casey K.C. Lim [email protected] Contact via Email 邮件联系 Lecturer 讲师 James Hay [email protected] Contact via Email 邮件联系 Credit points 4 学分： 4 分

Prerequisites

(Admission to GradDipAppFin or MAppFin) and (AFCP810 and AFCP811 and AFCP812 and

AFCP813)

先决条件：

（研究生文凭或者应用金融硕士入学许可）以及（AFCP810 ， AFCP811 ，AFCP812 和 AFCP813）


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Unit description

科目描述

This unit equips students to apply an advanced body of finance knowledge to a range of contexts. The unit commences with an individual investor's perspective and then progresses to the viewpoint of a professional funds manager. This enables the student to develop the ideas of portfolio theory, asset pricing and behavioural finance. The unit continues with a security analysts’ perspective to address the broad question of how to value enterprises and then drills down to security valuation, financial statement and cash flow analysis. Lastly we shift the focus to that of a derivatives trader to explore the pricing of forwards and options and employing these derivatives to achieve desired asset allocation exposures. The unit emphasises an applied orientation for the major techniques and themes to be further extended and developed across the Master’s program. It represents the essential pre-requisite knowledge for all other core units and elective streams.

这个科目让学生在广泛的环境中应用所学的高级金融知识。这个科目从个人投资者的角度出发然后

过渡到专业基金经理的视角。这使得学生能够增强投资组合理论，资产定价和行为金融学的观念。

课程继续从证券分析师的角度针对如何评估企业的广泛问题进行讨论并细化到股票估值，财务报表

和现金流分析。最后我们从衍生品交易员的角度去探讨期货和期权的定价并且应用这些衍生品来实

现想要的资产配置。这个课程强调主要技巧的应用方向以及将要在整个硕士项目中拓宽和开展的主

题。这个课程呈现所有其它核心科目和选修方向所必须的前提知识。


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Learning Outcomes 学习成果

1. Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.

解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关模型。

2. Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关模型。

3. Apply research methods to evaluate investment portfolio construction principles and asset pricing theory. 应用研究方法评估投资组合的构建原理和资产定价理论。

4. Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用解决组合管理、衍生品、金融分析和估值相关问题。

5. Identify and analyse contemporary industry challenges and ethical issues in a global financial context.

识别和分析现代产业在全球金融环境中的挑战和道德问题。

General Assessment Information 综合考核信息

To pass this unit (requires a Mark of 50 or better) the student is required to pass the combined examinations component of the assessment.

要通过这门科目（要求达到 50 分或以上），学生必须通过以下总体考核中的考试组合(即, 期中考

试与期末考试的两个成绩的加权平均数达到 50%或以上)。

Assessment Tasks 考核任务

Name 名称 Weighting 权重 Due 截止日期

Online Quizzes 在线测验

5%

Refer to iLearn 参见 iLearn

Participation 科目中的参与

10%


Mid Term Exam 期中考试

15%

Refer to Timetable 参见时间表

Assignment 作业

30%


Final Exam 期末考试

40%

Refer to Timetable 参见时间表


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Online Quizzes在线测验 Due: Refer to iLearn 截止：参见 iLearn Weighting: 5% 权重： 5%

Summary of Assessment Task 考核任务总结

Individual / Group: Individual 个人/小组：个人

Due Date: Refer to the unit's iLearn site

截止日期：参见iLearn的科目信息

Grading Method: Refer to 'Standards Required to Complete the Unit Satisfactorily' section

评分方法：参考“课程达标标准”章节

Submission Method: In iLearn

提交方式：在 iLearn 中

Duration: Refer to online quiz instructions

时长：参见在线测验指示

Extension Requests: 延期要求：

• You are expected to make yourself available for assessment during the relevant quiz window.

您需要在相关测验时间内，让自己参与评估。

• No extensions will be granted unless an application for Special Consideration is made and approved. If you have extenuating circumstances (such as illness or misadventure) that prevent you from participating, you must apply for Special Consideration as soon as reasonably possible. Refer to MAFC Program Rules at www.mafc.mq.edu.au for information on the University’s Special Consideration Policy.

除非特别考虑申请获得批准，否则不得延期。如果您存在阻碍您参与的情况（例如疾病

或不幸事件），您必须尽快申请特别考虑。请参阅 www.mafc.mq.edu.au 上的“应用金

融中心的项目规则”，了解有关麦考瑞大学特殊考虑政策的信息。

• Unless such prior arrangements have been made, a zero mark will apply.

除非做出预先安排，否则延期会得到零分。 This Assessment Task relates to the following Learning Outcomes: 这项评估和以下学习预期相关：

• Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关模型

• Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关模型


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• Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation.

通过应用解决组合管理、衍生品、金融分析和估值相关问题

Participation 科目中的参与 Due: Ongoing 到期：持续 Weighting: 10% 权重：10% Summary of Assessment Task 评价任务总结 Individual / Group: Individual

个⼈/⼩组：个⼈ Grading Method: Refer to 'Standards Required to Complete the Unit Satisfactorily' section

评分⽅法：参考“圆满完成课程要求的标准”章节 Submission Method: In class

提交⽅式：在课堂上 Extension Requests: 延期要求：

No extensions will be granted unless prior arrangements have been made with the lecturer. In the absence of such arrangements, late submission will result in zero marks, unless an application for Special Consideration is made and approved. Refer to MAFC Program Rules at www.mafc.mq.edu.au for information on the University’s Special Consideration Policy.

学生如有特殊情况不能参加课堂活动，必须与授课讲师作事先安排。除非学生提交特殊考

虑申请，且该申请得到批准，不参加课堂学习和活动在相应部分的考核会得到零分。有关

大学特殊考虑政策的信息，请参考麦考瑞大学应用金融中心的项目规则与流程，网址是

www.mafc.mq.edu.au。

This Assessment Task relates to the following Learning Outcomes: 这项评估和以下学习预期相关：

• Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关

模型

• Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关

模型

• Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用解决组合管理、衍生品、金融分析和估值相关问题


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• Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 识别和分析现代产业在全球金融环境中的挑战和道德问题。

Mid Term Exam 期中考试 Due: Refer to Timetable截止：参见时间表 Weighting: 15%

权重： 15%

This is a hurdle assessment task (see Assessment Policy for more information on hurdle assessment tasks). 这是一个障碍考核任务（更多关于障碍考核任务的信息请参见 Assessment Policy）。

Summary of Assessment Task

考核任务总结

Individual / Group: Individual

个人/小组：个人 Due Date: Refer to Timetable.

截止日期：参见时间表

Grading Method: Refer to 'Standards Required to Complete the Unit Satisfactorily' section 评分方法：参考“课程达标标准”章节 Submission Method: As per MAFC Program Rules & Procedures at www.mafc.mq.edu.au 提交方式：根据www.mafc.mq.edu.au的项目规则与流程 Duration: 2 hours plus 10 minutes reading time

时长：两小时及十分钟阅读时间

Examination Conditions: 考试要求：

All examinations are closed book. However, permitted materials and aids are:

所有的考试都是闭卷考试。但允许的材料和辅助有： A study sheet, prepared by the student (typically one double-sided A4 page).

一张学生自己准备的小抄（通常是一张双面 A4 纸）。 Calculators. Permitted calculators are noted under ‘Calculators’ below.

计算器：允许使用的计算器在之后的“计算器”一节中规定

Exam times and locations are noted in the unit timetable at www.mafc.mq.edu.au. 考试时间和地点标注在www.mafc.mq.edu.au 的课程时间表里。

Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au. 参考麦考瑞应用金融中心的项目规则与流程www.mafc.mq.edu.au.


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Extension Requests: 延期申请：

• You are expected to present yourself for examination at the time and place designated in the relevant MAFC Timetable at www.mafc.mq.edu.au.

学生需要按照 MAFC 时间表里规定的时间和地点参加考试（请参见

www.mafc.mq.edu.au）。 • Deferral of an examination is not permitted unless an application for Special Consideration

is made and approved. 除非学生的特殊考虑申请得到批准，否则学生不得延期考试。 • Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au for information on the

University’s Special Consideration Policy or non-attendance at an examination. 有关于大学特殊考虑政策或缺席考试的信息，请参考麦考瑞大学应用金融中心的项目规则与

流程，网址是 www.mafc.mq.edu.au。


• Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关

模型

• Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关

模型

• Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用解决组合管理、衍生品、金融分析和估值相关问题

• Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 识别和分析现代产业在全球金融环境中的挑战和道德问题。

Assignment 作业 Due: Refer to iLearn 截止：参见iLearn

Weighting: 30% 权重： 30% Summary of Assessment Task 考核任务总结

Individual / Group: A combination of individual and group work (refer to Assignment coversheet). 个人/小组：个人和小组混合（参见作业封面）

Due Date: Refer to the unit's iLearn site 截至日期：参见iLearn的科目信息


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Submission Method: Via Turnitin on iLearn.

提交方式：通过iLearn 上的Turnitin

Duration: Refer to Assignment coversheet

时长：参见作业封面 Extension Requests: 延期申请：

No extensions will be granted unless an application for Special Consideration is made and approved. If you have extenuating circumstances that prevent you from submitting your assignment by the due date, you must apply for Special Consideration as soon as reasonably possible. Refer to MAFC Program Rules at www.mafc.mq.edu.au for information on the University’s Special Consideration Policy. Unless such prior arrangements have been made, any late submission of assignments will automatically be penalised. There will be a deduction of 10% of the total available marks made from the total awarded mark for each 24-hour period or part thereof that the submission is late (for example, 25 hours late in submission – 20% penalty). No submissions will be accepted after solutions have been posted. 如果有情有可原的情况(如疾病)妨碍您在作业截止日前提交作业，您必须尽快申请特殊考

虑。除非特殊考虑的申请得到批准，否则不允许延期。相关大学特殊考虑政策的信息，请参

阅

www.mafc.mq.edu.au 上的应用金融中心项目规则和规程。除非事先已作出安排，否则任何

迟交的作业将被自动扣分。在没有特殊的情况下，作业每迟交 24 小时将被扣除 10%的分

数。（例如，迟交 25 小时，将被扣除 20%）。作业答案公布后，再提交的作业无效。


Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 评判性的评价关键理论，概念以及组合管理，衍生品，金融分析和估值的相关模型。

Apply research methods to evaluate investment portfolio construction principles and asset pricing theory. 应用研究方法去评估投资组合的构建原理和资产定价理论。

Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用组合管理，衍生品，金融分析和估值的应用解决问题。

Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 识别和分析现代产业在全球金融环境中的挑战和道德问题。

Final Exam 期末考试

Due: Refer to Timetable 截止：参见时间表


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Weighting: 40% 权重：40%

This is a hurdle assessment task (see Assessment Policy for more information on hurdle assessment tasks). 这是一个障碍考核任务（更多关于障碍考核任务的信息请参见 Assessment Policy）。

Summary of Assessment Task 考核任务总结

Individual / Group: Individual 个人/小组：个人

Due Date: Refer to Timetable.

截止日期：参见时间表



Submission Method: As per MAFC Program Rules & Procedures at www.mafc.mq.edu.au 提交方式：根据www.mafc.mq.edu.au的项目规则与流程 Duration: 2 hours plus 10 minutes reading time 时长：两小时及十分钟阅读时间

Examination Conditions:

考试要求：

All examinations are closed book. However, permitted materials and aids are: 所有的考试都是闭卷考试。可是，允许的材料和辅助有：

A study sheet, prepared by the student (typically one double-sided A4 page). 一张学生自己准备的小抄（通常是一张双面 A4 纸）

Calculators. Permitted calculators are noted under ‘Calculators’ below. 计算器：允许使用的计算器在之后的“计算器”规定中可以找到

Exam times and locations are noted in the unit timetable at www.mafc.mq.edu.au. 考试时间和地点标注在课程时间表里，见www.mafc.mq.edu.au.

Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au 参考麦考瑞应用金融中心的项目规则与流程，见www.mafc.mq.edu.au

Extension Requests: 延期申请：

• You are expected to present yourself for examination at the time and place designated in the relevant MAFC Timetable at www.mafc.mq.edu.au.

学生需要按照 MAFC 时间表里规定的时间和地点参加考试（请参见

www.mafc.mq.edu.au）。 • Deferral of an examination is not permitted unless an application for Special Consideration

is made and approved. 除非学生的特殊考虑申请得到批准，否则学生不得延期考试。 • Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au for information on the

University’s Special Consideration Policy or non-attendance at an examination. 有关于大学特殊考虑政策或缺席考试的信息，请参考麦考瑞大学应用金融中心的项目规则与

流程，网址是 www.mafc.mq.edu.au。


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This Assessment Task relates to the following Learning Outcomes:

这项考核和以下学习预期相关：

Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关

模型。

Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关

模型。

Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用解决组合管理、衍生品、金融分析和估值相关问题。

Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 识别和分析现代产业在全球金融环境中的挑战和道德问题

Delivery and Resources 授课方式及学习资源

CLASSES

课时

Face-to-Face Teaching: Generally 56 hours面授：一般来说56小时

Timetable: Detailed timetable for classes are on the Centre’s website www.mafc.mq.edu.au

时间表：详细的课程时间表请见中心网页：www.mafc.mq.edu.au

Consultation Times:

咨询时间： Students who wish to contact any of the teaching staff may do so through: 学生如果想要联系任何授课老师可以通过：

iLearn, in relation to general queries (so that all students may benefit); or

如果是一般的问询可采用 iLearn（这样所有学生都可以受益）；或者

Individual consultation with the lecturer by email in the first instance, if necessary. 如果有必要，通过邮件第一时间联系讲师进行单独咨询。


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REQUIRED AND RECOMMENDED TEXTS AND/OR MATERIALS 必备的和建议的课本及材料：

Text: Bodie, Kane and Marcus, Investments, McGraw Hill, 10TH edition, 2014, ISBN

9780077861674 (BKM).

课本：《投资学》/（美）作者: 滋维•博迪，亚历克斯•凯恩，艾伦 J•马库思；第十版；国际标准

出版号：9780077861674 (BKM)。

Additional Readings: 其它阅读：

Additional readings are included in the unit notes and or iLearn. 其它阅读资料包括在科目笔记或者 iLearn 中

Students should assume these readings are examinable unless otherwise advised. 除非被特别告知，一般来说学生需要假设这些阅读是考试内容。

Lecture Notes: Available in printed form and electronically via iLearn.

讲课笔记：有打印版和iLearn电子版。

Study Problems: 习题：

Students are required to work systematically through end of chapter problem sets. These problems will not be collected but they will help you prepare for the exams. Answers, but not worked solutions, to set problems are provided in the lecture notes. 学生需要系统性的完成每章节的问题集。这些问题不要求上交但是会帮助你准备考试。

讲课笔记会提供部分答案，但不是解题过程。

Please refer to the Bodie, Kane and Marcus, Investments Solutions Manual for worked solutions. 请参考博迪，凯恩，马库斯（Bodie, Kane and Marcus）的习题答案手册中的解答

Pre-Course Knowledge: The Gateway units of the Graduate Certificate in Finance represent the pre-course knowledge required to successfully study the advanced applied finance units of the Masters of Applied Finance and the Graduate Diploma of Applied Finance. Please refer to the following page for instructions on reviewing the unit guides for the gateway units.

课前预备知识：⾦融学研究⽣预科课程的科⽬即代表能顺够利修读应⽤⾦融硕⼠课程以及应⽤⾦融研究⽣⽂凭课程的所需课前预备知识。详情请点击以下⽹页链接，参阅有预关科课程的相关科⽬指导介绍。 http://mafcstudents.mq.edu.au/new-to-mafc/pre-course-materials/ Useful References:

有用的参考书目：

McDonald, Derivatives Markets, Pearson

《衍生品市场》/麦克唐纳；培生（Pearson）出版社。

Ross, Westerfield and Jaffe, Corporate Finance, McGraw Hill

《公司财务》/罗斯，威斯特菲尔德，杰富；麦格劳ꞏ希尔（McGraw Hill）出版社。


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Bodie, Kane and Marcus, Investments Solutions Manual, McGraw Hill 《投资学习题解答》/博迪，凯恩，马库斯；麦格劳ꞏ希尔（McGraw Hill）出版社。

Damodaran, Investment Valuation, Wiley

《投资估价》 /达摩达兰；威利（Wiley）出版社Damodaran, Investment Valuation,

Wiley。

Elton, Gruber, Brown & Goetzmann, Modern Portfolio Theory and Investment Analysis, Wiley.

《现代投资组合理论与投资分析》/ 埃尔顿，格鲁帕，布朗和戈蒂曼；威利（Wiley）出

版社。

Calculators:

计算器: A financial calculator that can handle time value of money calculations, logs and power

functions is required. 金融计算器可以解决货币时间价值的计算，需要有积分和幂的功能。

The Hewlett Packard calculator hp17bII+ is recommended. 推荐使用惠普计算器hp17bII+。

In examinations, hand held calculators are permitted. Mobile phones and computers are not permitted. 考试中，允许使用手持计算器。禁止使用移动电话和电脑。

Assumed Knowledge: Mathematical content

相关知识：数学内容

Finance has a high level of numerate content. Consequently this unit is, in parts, mathematical and arithmetical. As an indication of the level of algebra required, students should find the following problem easy to solve: 金融学有很多高级算术内容。因此，这个科目有很多部分是数学和算法。作为一个代数

能力要求的示范，学生需要能够轻松解答如下问题：

Solve for Z5: $1,000 = $681.20(1+Z5/2)10

解出Z5: $1,000 = $681.20(1+ Z5/2)10

Occasionally the unit dips into the differential calculus. As an indication of the level of calculus required, students should be able to interpret the following equation: 科目偶尔也会深入到微积分运算，作为一个微积分能力的要求示范，学生需要能够解答

如下方程：

D = - ((1+y) / P) (ΔP/Δy)

Students could login to iLearn to obtain notes on the minimum mathematical and statistical knowledge required to undertake the Master of Applied Finance degree.

学生可以登录 iLearn 获得应用金融硕士学位所要求的最低数学和统计知识的注解. Assumed Access:

课程需要的资源： Access to a computer with word processing and spreadsheet capability is assumed, as is

general student computer literacy. 需要学生有基本的电脑应用能力，使用具有word功能和电子表格的电脑。

Also assumed is access to a Web browser (e.g. Internet Explorer or Firefox) and email software and a student’s own connection to an internet service provider.


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还需要使用网页浏览器（比如 Internet Explorer 或者 Firefox）和电子邮件软件，拥有

自己的网络服务提供商及网络连接。

TECHNOLOGY USED AND REQUIRED

技术设备使用和要求 Unit iLearn Site:

科目学习网站 Found by logging on to iLearn, http:// china.mafc.mq.edu.au, then clicking on AFCL801

Portfolio Management and Valuation under the Term heading. 登录到 iLearn 网站：http://china.mafc.mq.edu.au，在学期标题下找到并且点击

AFCL801 Portfolio Management and Valuation。

This is where you will find a link to forums, downloadable resources and other important pages. 这也是论坛链接、可下载资源及其他重要页面之所在。

Forums allow you to communicate with other students and lecturer(s) and may provide supplementary material. 论坛能够使你和其他学生以及讲师进行联系并且可能提供补充材料。

You are requested to post questions to forums at least 24 hours prior to an assignment submission date or examination date. Questions posted after that time may not be answered. Please try to not leave your questions to the last few days. 学生需要在作业提交或者考试日的24小时前在论坛上发布问题。在这之后发布的问题可

能不能被回答。请尽量不要把你的问题留到最后几天。

Important Notice:

重要提示: It is important that you familiarise yourself with iLearn.

熟练使用iLearn非常的重要

Students should check iLearn regularly (minimum twice a week and prior to all lectures) and look for updates and distribution of materials (including case studies) related to the unit or assessments and, if relevant, participate in forum discussions.

学生需要定期登陆iLearn (至少一周两次并且在所有的授课前)，查看课程或者考核相关

的更新和下发的材料（包括案例研究），并且参与论坛的讨论。

Unit Schedule

课程计划

1. Asset allocation (2 sessions)资产配置（两节）

Introduction to the individual’s investment problem 个人投资问题的介绍

Asset markets

资产市场

Investment valuation basics 投资估值基础

Forecast risk and return


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风险和回报预测

Risk attitude – risk aversion and utility

风险态度：风险厌恶和效用

Asset Allocation

资产配置

2. Asset Pricing Model (2 sessions)

资产定价模型（两节） Review research methods

研究方法回顾

Active and passive management 积极和被动管理

Risk adjusted discounting rates

风险调整贴现率

Multi-factor portfolio management

多因素投资组合管理

3. Portfolio optimization (1 session)

组合优化（一节）

Review of Markowitz model 马科维茨模型回顾

MSCI Barra portfolio optimization platform MSCI Barra 组合优化平台

Topic case study: the argument for international diversification and currency management 课程的案例研究：国际分散化投资和外汇管理的讨论

4. Behavioural Finance overview, market efficiency and anomalies (1 session)

行为金融学总述，市场效率和异常现象（一节）

Review of market efficiency 市场效率回顾

Anomalies 异常现象

Behavioural finance 行为金融学

Empirical testing 实践测试

5. Fundamental Stock Analysis (3 sessions)

基本的股票分析（三节）

Cash flow analysis and financial modelling 现金流分析和金融模型

The importance of cash flows in investment analysis and corporate finance applications

现金流在投资分析和公司财务应用的重要性

Cash flows compared to profits 现金流和利润的比较


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Applying and adapting a cash flow analysis framework

应用和适配现金流分析架构

Principles of forecasting and financial modelling

预测原理和金融模型

Valuation principles 估值原理

Key valuation concepts and methods

主要的估值概念和方法

Cash flows in the context of valuation

估值情景中的现金流

Discounted Cash Flow approach and WACC 现金流贴现的方法和加权平均资本成本（WACC）

Dividend Discount Models 股息贴现模型

Multiples and relationship to DCF 倍率和贴现的关系

Financial statement analysis 财务报表分析

The role of financial analysis 财务分析的作用

The Financial Analysis Toolkit 财务分析工具集

Financial ratio analysis 财务比率分析

Applying the du Pont system of ratio analysis 应用杜邦（du Pont）比率分析系统

Residual Income Valuation

剩余收益估值

6. Derivatives (3 sessions)

衍生品（三节） Derivatives Overview

衍生品总述

Option Strategies 期权策略

Put-Call Parity

看跌－看涨期权的平价定理

Black-Scholes Valuation

布莱克—斯克尔斯（Black-Scholes）估值

Portfolio Insurance

投资组合保险

Futures/Forwards Hedging and Speculation Strategies 期货/远期对冲以及投机策略

Derivative Overlays and Asset Allocation Strategies 衍生叠加和资产配置策略


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Learning and Teaching Activities 教学活动

Strategy 策略

The Master of Applied Finance degree adopts a deep teaching and learning strategy, in which Students acquire and retain knowledge and also are able to make sense of the issues and concepts and apply them in the “real world”. The degree relies heavily on student engagement and participation by: (a) Continuous learning throughout the semester. This is encouraged through a combination of students undertaking prescribed reading throughout the units and/or completion of practice problems, case studies, assignments, class presentations etc and interaction via forums in the unit’s iLearn site; and (b) Assessments, which enable the student to demonstrate his/her understanding of the learning objectives achieved through the continuous learning.

应用金融硕士学位采用深入的教学策略，在这个过程中学生获取知识，能够对问题和概念理解透

彻并且在“真实世界”中应用。这个学位很大程度上依赖学生的参与：（1）在学期中持续学习。

鼓励学生预习科目，和/或者完成练习题、案例研究、作业、上课演讲等等以及在iLearn的课程论

坛里讨论。（2）考核使学生能够证明他/她通过持续学习实现对学习目标的理解。

Student Participation 学生参与

Students participate in this unit by: (a) Attending lectures and participating in class discussion; (b) Before each class, completing the recommended readings of notes and text, and working systematically through suggested problem sets; (c) Interacting on the unit’s iLearn site; and (d) Completing all assessment tasks and exams. On average, the unit will require students to complete, for every hour of class time, approximately 3 hours private study.

学生参与这个科目是通过：（1）参加授课和课堂讨论；（2）在每节课前，完成建议的笔记和课

本阅读，并且系统的完成建议的习题集。（3）在iLearn的课程论坛里讨论；并且（4）完成所有的

考核任务和考试。平均来说，这个科目每个小时课堂时间需要学生对应完成大约三个小时的独立

学习。

Policies and Procedures 政策和流程

Macquarie University policies and procedures are accessible from Policy Central

(http://www.mq.edu.au/policy/). Students should be aware of the following policies in particular

with regard to Learning and Teaching:

麦考瑞大学的政策和流程可以在政策中心访问到Policy Central (http://www.mq.edu.au/policy/)。学

生需要了解以下特别是关于学习和教学的政策。 Academic Honesty Policy 学术诚信政策

http://mq.edu.au/policy/docs/academic_honesty/policy.html

Assessment Policy 考核政策

http://mq.edu.au/policy/docs/ assessment/policy_2016.html.


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Grade Appeal Policy 评分申诉政策

http://mq.edu.au/policy/docs/gradeappeal/policy.html

Complaint Management Procedure for Students and Members of the Public

学生和大众投诉管理步骤

http://www.mq.edu.au/policy/docs/complaint_management/procedure.html

Disruption to Studies Policy (in effect until Dec 4th, 2017):学习干扰政策（有效期到2017/12/4）

http://www.mq.edu.au/policy/docs/disruption_studies/policy.html

Special Consideration Policy (in effect from Dec 4th, 2017):特殊考虑政策（从2017/12/4 起生效）

https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policies/special-consideration

In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central. 除此之外，一系列的其他政策可以在政策中心的教学类别（

http://www.mq.edu.au/policy/category.html#l_t）下找到。

Student Code of Conduct 学生行为准则Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/

麦考瑞大学学生有义务了解学生行为准则：https://students.mq.edu.au/support/student_conduct/

Results 成绩 Results shown in iLearn, or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in iManage /eStudent . For more information visit ask.mq.edu.au.

在iLearn中或者由科目召集人直接发出的成绩，并不是最终确认的版本，需要学校的批准。一旦批

准，最后的成绩会被发到你的学生邮箱且在 iManage /eStudent 内可见。更多信息，请访问：

ask.mq.edu.au.

Students should also consult the MAFC Program Rules & Procedures found at http://www.mafc.mq.edu.au

学生也应该查阅麦考瑞应用金融中心项目规则与流程，在 http://www.mafc.mq.edu.au

中可以找到。

Student Support 学生支持

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

麦考瑞大学提供一系列学生服务。详细信息，请访问http://students.mq.edu.au/support/。


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Learning Skills 学习技巧

Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study. 学习技巧(mq.edu.au/learningskills)提供学术写作资源和学习策略来帮助你提高分数且掌控你的学

习。

Workshops

讨论会

Study Wise

聪明学习

Academic Integrity Module for Students

学术廉洁模块

Ask a Learning Adviser

询问学习顾问

Student enquiry service (MAFC-specific)

学生问询服务（麦考瑞应用金融中心特有） For all student enquiries, please contact [email protected]

所有的学生问询，请联系[email protected]

Student Enquiry Service

学生问询服务 For all student enquiries, visit Student Connect at ask.mq.edu.au

所有的学生问询，请联系 ask.mq.edu.a

Equity Support

公平支持 Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies. 有残疾学生请联系 Disability Service ，他们可以针对学习中碰到的任何问题提供合适的帮助。

IT Help

信息技术帮助 For help with University computer systems and technology, visit http://informatics.mq.edu.au/ help/.

寻求对学校的电脑系统和技术的帮助，请访问http://informatics.mq.edu.au/help/.

When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students. 当使用学校的信息系统，你必须遵守用户使用规则。这套规则适用于所有联接到麦考瑞大学的

网络的人，包括学生.


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Graduate Capabilities

毕业生能力

PG - Discipline Knowledge and Skills 研究生：学科知识和技巧

Our postgraduates will be able to demonstrate a significantly enhanced depth and breadth of knowledge, scholarly understanding, and specific subject content knowledge in their chosen fields. 我们的研究生可以展现出深度和广度显著增强的知识、学术理解以及在所选择的领域中具体的学

科内容知识。 This graduate capability is supported by:

毕业生能力由以下支持：

Learning outcomes 学习成果

Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关模型。

Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 辨认和分析现代产业在全球金融环境中的挑战和道德问题。

Assessment tasks 考核任务

Online Quizzes

在线测验


Mid Term Exam

期中考试

Final Exam

期末考试

PG - Critical, Analytical and Integrative Thinking

研究生-批判、分析和综合思考

Our postgraduates will be capable of utilising and reflecting on prior knowledge and experience, of applying higher level critical thinking skills, and of integrating and synthesising learning and knowledge from a range of sources and environments. A characteristic of this form of thinking is the generation of new, professionally oriented knowledge through personal or group-based critique of practice and theory. 我们的研究生将有能力根据之前的知识和经验，应用高层次的批判性思考技巧和反思能力，并且

能够综合和归纳从一系列来源和环境中学习的知识。这种思考能力的特点是通过个人和小组对实


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践和理论的批判，获得新的，专业性知识。

This graduate capability is supported by:



Critically evaluate the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation.

审慎评估关键理论、概念以及组合管理，衍生品，金融分析和估值的相关模型。

Assessment tasks

考核任务 Online Quizzes

在线测验


Mid Term Exam

期中考试

Assignment

作业

Final Exam

期末考试

PG - Research and Problem Solving Capability 研究生-研究和解决问题能力

Our postgraduates will be capable of systematic enquiry; able to use research skills to create new knowledge that can be applied to real world issues, or contribute to a field of study or practice to enhance society. They will be capable of creative questioning, problem finding and problem solving. 我们的学生可以系统的提出问题；能够应用研究技巧去创造新的知识且可以应用在真实世界的问

题中；或者在某些领域的研究和实践中做出贡献去改善社会。他们能够创造性的提出问题、找到

问题并且解决问题。

This graduate capability is supported by:



Apply research methods to evaluate investment portfolio construction principles and asset pricing theory.

应用研究方法评估投资组合的构建原理和资产定价理论

Solve problems, through the use of applications, relevant to portfolio management, derivatives, financial analysis and valuation. 通过应用解决组合管理、衍生品、金融分析和估值相关问题


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Assessment task

评估任务 Assignment

作业

PG - Effective Communication 研究生 – 有效沟通

Our postgraduates will be able to communicate effectively and convey their views to different social, cultural, and professional audiences. They will be able to use a variety of technologically supported media to communicate with empathy using a range of written, spoken or visual formats. 我们的研究生能够与不同社会、文化和专业背景的公众进行有效的沟通并且能够向公众表达他们的

意见。他们能够使用多种技术支持的媒介，采用各种书面、口头或视觉的形式进行沟通并能让人产

生共鸣。

This graduate capability is supported by: 这项毕业生的能力由以下各项所支持：


Explain and apply the key theories, concepts, and models relevant to portfolio management, derivatives, financial analysis and valuation. 解释和应用关键理论、概念以及组合管理、衍生品、金融分析和估值的相关模型。

Identify and analyse contemporary industry challenges and ethical issues in a global financial context. 辨认和分析现代产业在全球金融环境中的挑战和道德问题。

Assessment tasks

考核任务 Participation

科目中的参与

Important Notice 重要通知

This Unit Guide may be subject to change. The latest version is on the Centre’s website www.mafc.mq.edu.au. 科目指南有可能会变化，最新的版本请访问：www.mafc.mq.edu.au.

Students should read the Unit Guide carefully at the start of semester. It contains important information about the unit. If anything is unclear, please consult one of the unit lecturers. 学生需要在学期开始前认真阅读科目指南。它包含重要的科目信息。如果有什么不清楚的方面，

请咨询我们的课程讲师。


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Standards Required to Complete the Unit Satisfactorily 科目达标标准

University Policy on Grading: 大学评分政策：

Macquarie University’s Academic Senate has established a Grading Policy available at http://www.mq.edu.au/policy/docs/grading/policy.html. Your final result will include: 麦考瑞大学的学术委员会确立了评分政策，可见

http://www.mq.edu.au/policy/docs/grading/policy.html. 你的最后成绩包括： A Grade ranging from Fail Hurdle to High Distinction; and

评分等级包括从不及格障碍到优异; 以及

A numerical Mark, which is a summation of the individual assessment components, providing the examination component is passed.

一个数值评分，该评分数值为所有单项评估分数的综合评分，前提是学

员必须通过考试部分。

It is important to note: 重要的是：

The Policy does not require that a minimum or maximum number of students are to be failed in any unit; 这个政策并不要求任何科目有最小或者最大的失败率；

Grades will not be allocated to fit a predetermined distribution; and

成绩并不会根据一个预先设定的分布来给出；并且

Grades for all individual assessment items will be released to students, but Marks may not necessarily be released.

每一项单项评估的得分等级都会向学员公布，但数值分数有可能不公布。

Specific Unit Grading:

具体的科目评级: To pass this unit (requires a Mark of 50 or better) the student is required to pass the

combined examinations component of the assessment. 要通过本科目（要求最少分数 50 分以上）学生需要通过考核所要求的综合测试；

◦ Students who have attained a total raw mark of 50% or greater in a unit, but have failed the Unit’s exam requirement and who have demonstrated “sufficient effort” in the exam, will be granted a single opportunity to sit a Supplementary Exam which will be graded on a pass/fail basis. The unit mark and grade for students who pass this examination will be those corresponding to the original total raw mark of all their assessment tasks, including the original exam. That is, the Supplementary Hurdle Exam only determines the meeting of the hurdle requirement. Students who have attained a raw mark of 50% or greater in a unit, yet failed all attempts at the requirement, will be awarded an FH grade with a final mark of 49.

学生如果在本科目中获得了原始总分百分之五十及以上的分数，但是未通过

科目的考试要求，该学生在考试中展示出了“足够的努力”，将会被给予一

次参加补充考试的机会，这次考试只给“及格/不及格”的评分。补考及格的

学生，其科目的最后总分和等级将基于该学生的所有原始成绩计算，包括原

始的考试成绩。也就是说，补充障碍考试仅仅确定是否达到了障碍要求。学


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生获得了原始总分百分之五十及以上的分数，但是未能通过这障碍要求，将

会得到不及格障碍评分，其最终分数将为 49。

All final Marks and Grades in the Applied Finance Centre are determined by a grading committee and are not the sole responsibility of the unit convenor. 应用金融中心的所有最后评级和评分由评级委员会给出而并不是科目召集人

单独负责

Grade

Expectation

High Distinction 优异

Provides consistent evidence of deep and critical understanding in relation to the learning outcomes. There is substantial originality and insight in identifying, generating and communicating competing arguments, perspectives or problem solving approaches; critical evaluation of problems, their solutions and their implications; creativity in application as appropriate to the discipline. 证明学生表现出对相关的学习成果持续并深入的了解。在识别、产生和交流有争议

性的话题，展望或者问题解决的途径上有持续的原创和观点；对于问题深入的评估，

他们的解决方案和思路在创造性的应用的同时遵守基本的原理。

Distinction 优秀

Provides evidence of integration and evaluation of critical ideas, principles and theories, distinctive insight and ability in applying relevant skills and concepts in relation to learning outcomes. There is demonstration of frequent originality in defining and analysing issues or problems and providing solutions; and the use of means of communication appropriate to the discipline and the audience.

证明学生表现出对于关键想法、原理和理论的整合和评估，相关学习的成果有不同

的观点和应用相关技巧和概念的能力。在定义和分析议题和问题时表现出经常性的

原创性并且提供解决方案；依据合适的概念和听众进行准确的交流。

Credit

良好

Provides evidence of learning that goes beyond replication of content knowledge or skills relevant to the learning outcomes. There is demonstration of substantial understanding of fundamental concepts in the field of study and the ability to apply these concepts in a variety of contexts; convincing argumentation with appropriate coherent justification; communication of ideas fluently and clearly in terms of the conventions of the discipline. 有证明表现出学习超出了对概念或者学习得到的相关技巧的重复。表现出了对学习

领域的根本性概念的深刻理解以及在不同的环境中应用这些概念的能力；使用相关

适宜的判断进行说服性的辩论；使用符合规则的术语清楚流畅的交流观点。

Pass 及格

Provides sufficient evidence of the achievement of learning outcomes. There is demonstration of understanding and application of fundamental concepts of the field of study; routine argumentation with acceptable justification; communication of information and ideas adequately in terms of the conventions of the discipline. The learning attainment is considered satisfactory or adequate or competent or capable in relation to the specified outcomes.

提供出足够的证据证明达到了预期学习成果。表现出对学习的相关领域中的基本概

念的理解和应用；使用可以接受的判断进行常规性的讨论；使用足够符合规则的术

语交流信息和观点。针对某些学习结果被认为是满意的、足够的或者说熟练的。


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Fail 不及格

Does not provide evidence of attainment of learning outcomes. There is missing or partial or superficial or faulty understanding and application of the fundamental concepts in the field of study; missing, undeveloped, inappropriate or confusing argumentation; incomplete, confusing or lacking communication of ideas in ways that give little attention to the conventions of the discipline.

不能证明出达到学习成果要求。对所学基本概念有部分缺失，浅显甚至错误的理解

和应用；缺少、不能扩展，或给出不合适或混乱的论证；表达不完整或者混乱，或

者表达的想法基本不能体现其对基本概念的理解。

Fail Hurdle

不及格障碍

Student has obtained a raw mark over 50, yet failed all available attempts of at least one hurdle assessment.

学生获得了 50 分或者以上的原始分数，但是未能通过至少一项障碍考核。

Review of Grade and final examination Script viewing:

评级评审和查看考试底稿

A student who has been awarded a final grade for a unit and who does not believe it is an accurate reflection of their performance, and has grounds for such a claim and can demonstrate those grounds, may apply to have their grade reviewed. 学生得到科目的最终成绩后如果对成绩有质疑，认为成绩没有准确反应学习水平并

有足够的证据，可以申请对考试评级进行再次评审。

For information on requesting a review of grade and/or viewing your final exam script, please refer to the University’s Grade Appeal Policy at http://www.mq.edu.au/policy/ docs/gradeappeal/policy.html and MAFC Program Rules & Procedures at http://www.mafc.mq.edu.au. 关于要求审核评级以及/或者查看考试底稿的信息，请参考学校的评分申诉政策，参

见 http://www.mq.edu.au/policy/docs/gradeappeal/policy.html 及麦考瑞应用金融中

心的项目规则与流程。

Documents

AFCL801 unit guide Eng and Chn 3 Aug 2018€¦ · Unit guide AFCL801 Portfolio Management and Valuation ... 要通过这门科目 （要求达到50分或以上），学生必须通过以下总体考核中的考试组合(即,

AFCL801 unit guide Eng and Chn 3 Aug 2018€¦ · Unit guide AFCL801 Portfolio Management and Valuation ... 要通过这门科目（要求达到50分或以上），学生必须通过以下总体考核中的考试组合(即,