《CFA 特许金融分析师-Book1 职业道德和数量分析.pdf》由会员分享，可在线阅读，更多相关《CFA 特许金融分析师-Book1 职业道德和数量分析.pdf（21页珍藏版）》请在金锄头文库上搜索。
1、授课老师 杨老师 时间 2013年6月23日 standards Professionalism Integrity of capital market Duty to clients Duty to employer Investment Conflicts of internet Responsibility as members Knowledge of the law Independence and objectivity Misrepresention Misconduct Material nonpublic information Market manipulation Loy
2、alty prudential and care Fair dealing Suitability Performance presentation Perversion of confidentiality Loyalty Additionally compensation arrangement Responsibility of superior Diligence and reasonable basis Communication with clients Record retention Disclose of conflicts Priority of transactions
3、Referral fees Conduct as members and candidates Reference to CFA institute designation Quantitative methods Time value of money Compound interest interest on interest Future value Present value Required rate of return Discount rate opportunity cost Real risk free rate and nominal risk free rate Type
4、s of risk default risk liquidity risk and maturity risk Time value of money Effective annual rate stated annual rate and periodic rate Principle interest and amortization of loan payments Ordinary annuities Annuities due Discounted cash flow application Net present value NPV Internal rate of return
5、IRR Bank discount yield Holding period yield Effective annual yield Money market yield annualized HPY based on 360 day 360 r bd D Ft 101 0 P PD HPY P Statistical concepts and market returns Descriptive statistics and inferential statistics Population and sample Types of measurement scales Nominal sc
6、ales Ordinal scales Interval scales e g Temperature Ratio scales Statistical concepts and market returns Parameter sample statistic Frequency distribution Absolute frequency Relative frequency Population mean sample mean Arithmetic mean weighted mean median mode geometric mean and harmonic mean Stat
7、istical concepts and market returns Quantile Quartile 25 quintile 20 decile 10 and percentile 1 The rang MAD mean absolute deviation Population variance sample variance Biased estimator unbiased estimator Skewness 描述分布是否对称以及偏的程度 Kurtosis 描述峰度 类似于胖瘦 Probability concept Random variable Outcome Event M
8、utually exclusive event and exhaustive event 以骰子为例 Empirical probability A priori probability Subjective probability Unconditional probability Conditional probability Probability concept Multiplication rule of probability Addition rule of probability Joint probability Independent events Dependent ev
9、ents Covariance and variance Common probability distributions Discrete random variable Continuous random variable Probability function 概率函数 P X x Probability density function 概率密度函数 f x f x 0 Cumulative distribution function F x P X x Common probability distributions Discrete uniform random variable
10、 Continuous uniform distribution Binomial random variable Normal distribution Standard normal distribution Confidence interval Common probability distributions Tracking error tracking risk Shortfall risk Probability that a portfolio value or return will fall below a specific value Normal and lognorm
11、al distribution If X is normal then X is lognormal Right skewed Bounded from below by zero and useful for asset price Monte Carlo simulation Historical simulation Sampling and estimation Population Sample Population parameter Sample statistic Estimation Sampling Sampling and estimation Simple random
12、 sampling Sampling error Sampling distribution Simple random sampling and stratified random sampling Time series data Cross sectional data Panel data Point estimate confidence interval Sampling and estimation Desirable properties of an estimator unbiasedness efficiency and consistency Confidence int
13、erval probabilistic interpretation practical interpretation level of significance degree of confidence Data mining bias sample selection bias survivorship bias look ahead bias and time period bias Hypothesistesting Null hypothesis alternative hypothesis One tailed test of hypothesis H0 X 0 Ha X0 Two
14、 tailed test of hypothesis H0 X 0 Ha X 0 Hypothesistesting Critical value Decision rule Reject H0 if test statistic critical value Fail to reject H0 if test statistic critical value We can not say accept H0 Type one error Type two error Power of the test 1 P Type II error Hypothesis testing Statisti
15、cal significance and economic significance Transactions cost Taxes Additional risk Parametric test nonparametric test Statistical significance economic significance Technical analysis Key assumptions of technical analysis Market prices reflect both rational and irrational investor behavior Price move in trends that persist for long period Actual price and volume data are observable Line charts candlestick charts and bar charts Inter market analysis Relative strength ratios Relative strength analysis
