Investment Science

Author: Fan Longzhen
Publisher:
Publish Date: 2005-10-01
Features: Based on the positioning of the Investment course in the teaching of financial engineering or financial studies, combined with the current state of the Chinese capital market, this book focuses on introducing theoretical aspects of asset portfolio theory, capital asset pricing model, general pricing model—random discount factor pricing model, arbitrage pricing model, capital market efficiency theory, determinants of interest rate term structure, and interest rate models. Investment not only enables readers to master financial theories but also teaches them how to utilize these theories to analyze capital markets and test the development of financial asset pricing theories through capital markets. Therefore, this book introduces relevant empirical analysis methods for each pricing theory, including existing empirical analysis results. The book also discusses two important but relatively challenging empirical analysis methods: generalized method of moments (GMM) and Kalman filtering. Another feature of this book is the inclusion of numerous empirical analysis cases related to the Chinese capital market, including empirical analysis of the Chinese stock market, empirical analysis of the interest rate term structure in the Chinese bond market, and investment strategies in the Chinese repo market. Through these analyses, readers can not only learn about empirical analysis methods and understand financial theories but also gain a deeper understanding of the Chinese capital market.