开始日期: 2023-11-04
课时安排: 4周在线小组科研学习+2周不限时论文指导学习
适合人群
适合年级 (Grade): 高中生/大学生
适合专业 (Major): 精算数学、应用数学、金融投资、量化金融、等相关专业以及希望深入学习资本市场知识的学生;拥有良好数学基础，有概率统计、微积分和线性代数基础的学生优先
导师介绍
Alexei
哥伦比亚大学 Columbia University正教授
Alexei导师现任职于哥伦比亚大学，教授财务价格分析中的数学方法、资本市场和投资等课程，拥有普林斯顿大学应用与计算数学硕士及博士学位，是Systematic Alpha Management LLC (SAM)公司研究主管及合伙人。导师研究成果广受业界认可，曾发表多篇论文于International Journal of Theoretical and Applied Finance、World Scientific等业内知名学术期刊中。Alexei教授目前是达索系统公司的物理开发高级专家和哥伦比亚大学数学系的兼职正教授。从2000年到2019年，他是Systematic Alpha Management, LLC的研究主管和投资组合经理。在共同创立SAM之前，Alexei博士曾在Wexford Management(定量分析师，期权定价和交易)、BNP Paribas(专有交易员，全球固定收入期货定量交易)、TrendLogic Associates(研究助理总监，全球期货和股票策略)工作。在他的科学和金融职业生涯中，导师的很多工作成果被发表在主要的物理和金融期刊上。 Dr. Alexei is currently a Physics Development Senior Specialist with Dassault Systemes and an Adjunct Professor with Columbia University, Mathematics Department. From 2000 until 2019 he was a Head of Research and Portfolio Manager for Systematic Alpha Management, LLC. He graduated from Moscow Institute of Physics & Technology in 1990 with Highest Honors in Theoretical Physics & Applied Mathematics. He earned his PhD. in Applied & Computational Mathematics from Princeton University in 1995. Prior to co-founding SAM, Dr. Alexei worked for Wexford Management (Quantitative Analyst, options pricing and trading), BNP Paribas (Proprietary Trader, quantitative global fixed-income futures trading, Fixed Income Swaps Desk), TrendLogic Associates (Assistant Director of Research, global futures and equities strategies).Dr. Alexei 's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence. Throughout his career in science and finance, certain results of Alexei's work were published in leading physics and finance periodicals.
任职学校
哥伦比亚大学(Columbia University)创立于1754年，是一所位于美国纽约曼哈顿的世界著名私立研究型大学，为美国大学协会的十四所创始院校之一，常春藤盟校之一。哥大在2020年 U.S. News 美国大学排名第三。
项目背景
新冠疫情引发的连锁反应在全球资本市场不断发酵。道琼斯工业平均指数、标普500指数和纳斯达克指数全线暴跌，德英法三大股指均跌超3%。股市大幅动荡的情况下，投资者应该如何制定明智的投资策略，实现资本收益呢?本项目将带领学生深入学习资产投资的相关理论知识，通过结合应用数学，精算和量化分析手段建立投资组合构建的原则，不同资产定价模型的使用标准，以及投资组合表现的评定等，寻找投资策略理论与数据的支撑。
The chain reaction triggered by the new coronavirus continues to ferment in the global capital market. The Dow Jones Industrial Average, S&P 500, and Nasdaq plummeted across the board, with three major indexes all down more than 3%. With the stock market volatile, how should investors develop a sensible investment strategy to achieve capital gains? The program will lead students to an in-depth study of the relevant theoretical knowledge of asset investment, the principles of portfolio construction, the use of different asset pricing models, and the evaluation of portfolio performance, etc., to find the support of investment strategy theory and data.
项目介绍
本项目内容主要通过精算和数理统计等应用数学方式对股权投资策略、固定收益投资、金融衍生品等金融投机进行量化分析，重点讲授对当下投资决策产生重大影响的两大理论——资本资产定价模型(CAPM)和现代投资组合理论(Modern Portfolio Theory)。最终学生将以小组为单位，制定投资策略，并把这些策略推荐给“潜在投资者”。课程内容将包括货币市场和资本市场的分析，风险资产的资本配置，包括风险厌恶的概念，风险规避和效用，风险资产和无风险资产之间的分配。同时导师也会阐述多元投资和相对于的风险组合量化分析，投资杠杆分析和风险资产的最优配置。这其中也包括两种风险资产的投资组合以及股票、债券和票据之间的分配。另外，教授将对行为金融和其相关的技术分析进行阐述。最后课程将会详细阐述金融衍生品的投资风险和定价模型分析，包括期权期货等主流金融工具。尽管所使用的教科书是经典的MBA/CFA教材，但我们将更加强调实证金融(大量使用彭博专业数据)和上述科目的应用数学/量化分析方法来为学生更加深入的研究金融市场的投资组合。
The program mainly covers equity investment strategy, fixed income investment, derivatives, etc., focusing on two theories that have a significant impact on current investment decisions-Capital Asset Pricing Model (CAPM) and Modern Portfolio Theory (Modern Portfolio Theory). Ultimately students will work in small groups to develop investment strategies and recommend these strategies to "potential investors".Even though the textbook used is a classical MBA/CFA text, we will be trying to place a larger emphasis on the empirical finance (heavy use of Bloomberg Professional data) and applied mathematical/quantitative considerations of the above subjects.
项目大纲
金融资产类别和金融工具分析 Asset Classes and Financial Instruments.
风险资产的资本配置和多元化投资 Capital Allocation into Risky Assets & Efficient Diversification
CAMP模型和指数模型的深度研究 The Capital Asset Pricing Model and index Model
套利定价模型和风险收益的多因素模型 Arbitrage Pricing Theory and Multifactor Models of Risk and Return.
金融衍生品：期权期货市场 Options Markets
期权定价分析与研究 Options and Options Pricing
项目回顾和成果展示Program Review and Presentation
论文辅导 Project Deliverables Tutoring
项目收获
4周在线小组科研学习+2周不限时论文指导学习 共125课时
项目报告
优秀学员获主导师Reference Letter
EI/CPCI/Scopus/ProQuest/Crossref/EBSCO或同等级别索引国际会议全文投递与发表指导(可用于申请)
结业证书
成绩单
