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AFCL801

Portfolio Management and Valuation AFC Beijing 2016

Dept of Applied Finance and Actuarial Studies

AFCL801 投资组合管理和评估 北京 2016

应用金融和精算学系

Contents

General Information

Learning Outcomes

General Assessment Information

Assessment Tasks

Delivery and Resources

Unit Schedule

Learning and Teaching Activities

Policies and Procedures

Graduate Capabilities

Important Notice

Standards Required to Complete the Unit

Satisfactorily

Disclaimer Macquarie University has taken all reasonable measures to ensure the information in this publication is accurate and up-to-date. However, the information may change or become outdated as a result of change in University policies, procedures or rules. The University reserves the right to make changes to any information in this publication without notice. Users of this publication are advised to check the website version of this publication [or the relevant faculty or department] before acting on any information in this publication.

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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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 Dan Daugaard dan.daugaard@mafc.mq.edu.au Contact via Email 邮件联系 Lecturer 讲师 Casey K.C. Lim casey.lim@mafc.mq.edu.au Contact via Email 邮件联系 Lecturer 讲师 Shane Magee shane.magee@mafc.mq.edu.au 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）

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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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。

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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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

Mid Term Exam 期中考试

20%

Refer to Timetable 参见时间表

Assignment 作业 35%

Refer to iLearn 参见 iLearn

Final Exam 期末考试 40%

Refer to Timetable 参见时间表

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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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：

• If you have extenuating circumstances that prevent you from submitting your assignment by the due date, please make arrangements with your lecturer prior to the due date. 如果有特别的情况影响你在截止日期前提交作业，请在截止前跟讲师联系并作出安排

• Unless prior arrangements have been made, any missed quizzes will automatically be penalised. In the absence of special circumstances, a zero mark will apply. 除非作出了预先安排，否则晚交的测验会被自动扣分。如没有特殊情况，成绩为 0。

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

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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Mid Term Exam 期中考试 Due: Refer to Timetable

截止：参见时间表

Weighting: 20% 权重： 20%

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

Assessments: Different Class Groups have different deadlines. Students should find the timetable and dates relevant to their group at www.mafc.mq.edu.au 评分： 不同的课程小组有不同的截止日期。学生需要访问www.mafc.mq.edu.au获取其小组相关的

时间和日期。 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.

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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Extension Requests: 延期规定：

• 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.

你需要按照时间表制定的日期和时间参加考试，参见 www.mafc.mq.edu.au

• Deferral of an examination is not permitted, unless special consideration has been

approved by the Director of Studies under the University’s Disruption to Studies Policy.

除非有学习主任根据学校的扰乱学习政策给予的特别批准并作出了预先安排，否则

不允许延期考试。

• Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au for information on

the University’s Disruption to Studies Policy or non-attendance at an examination.

参考麦考瑞应用金融中心的项目规则与流程获取更多关于学校的扰乱学习政策和缺席

考试的信息。

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

• 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。

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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Assignment 作业 Due: Refer to iLearn

截止：参见iLearn

Weighting: 35%

权重： 35%

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

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: 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:

延期要求：

• If you have extenuating circumstances that prevent you from submitting your assignment by the due date, please make arrangements with your lecturer prior to the due date. 如果有特别的情况使你在截止日期前无法提交作业，请在截止时间前跟讲师联系并作出

安排。 • Unless prior arrangements have been made, any late submission of assignments will

automatically be penalised. In the absence of special circumstances, a zero mark will

apply.

除非作出了预先安排，（否则）晚交的作业会被自动扣分。如无特殊情况，考核成绩为

0。

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

• 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

Weighting: 40% 权重： 40%

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 Assessments: Different Class Groups have different deadlines. Students should find the timetable and dates relevant to their group at www.mafc.mq.edu.au

评分： 不同的课程小组有不同的截止日期。学生需要访问www.mafc.mq.edu.au获取其小组相关的

时间和日期。 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

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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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: 延期要求：

• 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. 按要求按照制定时间表的日期和时间出席考试，参见 www.mafc.mq.edu.au.

• Deferral of an examination is not permitted, unless special consideration has been approved by the Director of Studies under the University’s Disruption to Studies Policy. 除非有学习主任根据学校的扰乱学习政策给予的特别批准并作出了预先安排，否则不允

许延期考试。 • Refer to MAFC Program Rules & Procedures at www.mafc.mq.edu.au for information on

the University’s Disruption to Studies Policy or non-attendance at an examination.

参考麦考瑞应用金融中心的项目规则与流程获取更多关于学校的扰乱学习政策和缺席

考试的信息。

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.

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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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 web site 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 Class Changes: 课程变更： Students will only be permitted to change classes if authorised by the Applied Finance Centre. 学生只被允许在应用金融中心授权的情况下变更课程： Request for changes must be made: 作出变更申请需要：

• By completion of a Change of Unit Form, available on the Centre’s web site

at www.mafc.mq.edu.au; or

通过完成科目变更表格，在中心的网站上可以下载；或者

• In person by going to reception at the relevant Applied Finance Centre location. 本人前往所在应用金融中心的前台。

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。

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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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.

课前课课知课：金融学研究生课科课程的科目即代表能课课利修课课用金融课士课程以及课用金融研

究生文凭课程的所需课前课课知课。课情课点课以下网课课接，参课有关课科课程的相关科目指课介

课。

http://mafcstudents.mq.edu.au/new-to-mafc/pre-course-materials/

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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·希尔 （Mcgraw Hill）出版社。

• 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·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.

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

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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 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

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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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

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

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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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 http://mq.edu.au/policy/docs/academic_honesty/policy.html 学术诚实政策：http://mq.edu.au/policy/docs/academic_honesty/policy.html New Assessment Policy in effect from Term 4 2016

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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2016 学年第四学期开始生效的最新科目评估考核政策（以下为相关内容网页链接）

http://mq.edu.au/policy/docs/ assessment/policy_2016.html. For more information visit 更多信息课课课： http://staff.mq.edu.au/teaching/ curriculum_assessment/assessment/information_for_students/

Assessment Policy prior to Term 4 2016 ：在 2016 年第四学期之前的课分政策： http://mq.edu.au/policy/docs/assessment/policy.html

Grading Policy prior to Term 4 2016 ：在 2016 年第四学期之前的课分上课政策： http://mq.edu.au/policy/docs/grading/policy.html

Grade Appeal Policy 课分上课政策： http://mq.edu.au/policy/docs/gradeappeal/policy.html

Complaint Management Procedure for Students and Members of the Public ： 学生以及公共学课的投课管理流程： http://www.mq.edu.au/policy/docs/complaint_management/procedure.html

Disruption to Studies Policy 学课受阻政策： http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy. 《学课受阻政策》自 2014 年 3 月 3 日起施行，替代之前的《特殊情况考课

政策》。

In addition, a number of other policies can be found in 另外一些政策可在下列课接找到： the Learning and Teaching Category of Policy Central.

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

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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/。

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 enquires, please contact studentsupport@mafc.mq.edu.au

所有的学生问询，请联系studentsupport@mafc.mq.edu.au

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

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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.

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: 毕业生能力由以下支持：

Learning outcome 学习成果

• 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: 毕业生能力由以下支持：

Learning outcomes 学习成果

• 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

Important Notice 重要通知

This Unit Guide may be subject to change. The latest version is on the Centre’s web site 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。

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 to High Distinction; and

一个从不及格到优秀的等级；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.

每一课课课课估的得分等课都会向学课公布，但数课分数有可能不公布。

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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；

• 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； • The core criteria used to assess student work in this unit are:

在本科目中评价学生工作的核心的标准是： Knowledge and understanding: Understanding key ideas, knowledge and

use of concepts. 知识和理解:了解基本观点，知识和使用概念。

Application: Ability to apply theoretical ideas and frameworks in practice and in a critically reflective way. 应用：在实践中使用批判性的反思方式去应用理论想法和架构。

Reasoning and analysis: Ability to analyse, use critical reasoning and principles to formulate a position, balancing theory and personal reflection. 推理和分析： 有能力去分析，使用批判性的推理和原理去形成观点，平衡

理论和个人的思考。

Professional literacy and research: Understanding of professional factors (language and landscape) and ability to undertake appropriate research. 专业的读写能力和研究： 理解专业的因素（语言和情境）以及承担相应研究

的能力。 Communication and presentation: Ability to communicate and present

effectively (written and oral, as relevant). 交流和报告：有能力交流和有效的做报告（相应的书面和口头表达能力）

Use of mathematical and statistical ideas: Ability to use mathematical and statistical ideas, methods and formulae appropriately. 使用数学和统计原理： 有能力正确的使用数学概念和统计，方法和

公式 • Performance in relation to each of these criteria are assessed against the University’s

grading descriptors: 学生表现是根据学校的考核标准而定的，不同评分等级有不同的要求：

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。

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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。

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。

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.

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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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。