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本帖最后由 cheesechan 于 2015-5-18 16:45 编辑
HE→赫γ 发表于 2015-5-17 11:18
额,针对上面一些回复,层猪想说。。。1, Investment一般不会扯到parameter estimation的吧?!Investment整个课程内容是围绕着各类金融产品定价以及portfolio management展开的,感觉能讲到最高级的也就是CFA level 3的那些东西。。。。2,intro to finance market这种课正常的北美MSF/MBA in fin都不会有。。。这种摆明了就是本科入门级的东西,就不要拿来黑MSF什么的了。。。。。
PS:最近看到各种黑MSF 北美econMA实在看不下去了。。。。。不管怎么说我认识的top20的MSF 和econ MA很多最后都找到了很好的工作or申到了不错的phd.....均值绝对大于等于大陆top5院校经济金融硕的平均水平。
1. That's true for advance bachelor / MSF level investment and portfolio managment course.
MFE基本上不會core這個, 太基礎(assume bachelor 已經讀了), 又不太實用(it return corner and unrealistic solution frequently, and it is difficult to estimate the parameter, especially the mean consistently...), 屬浪費時間. 畢竟金工的碩士主流都只有一年/一年半, 而要cover的topic太多; 要是再花時間把這些retake一次的話, 就根本不會夠時間讀advanced practical course, i.e. 水. (當然, 某些課程可能因為intake的quality不夠而被迫要這樣幹否則學生們跟不上, 很能理解; 不過the job market will not)
mean-variance optimization, 用lagurange multiplier去solve, 再加上penalize it with the second moment by reducing the utility, 基本上bachelor / CFA lv 1, 2 都cover了好一部份. (P.S. 所以我一直都說不少MSF很大部份都是bachelor level的course, academically都是水, 只是其相關就業根本不用關心這個, 學術上水也沒所謂)
而financial engineering和quantitative finance之investment很多時候都同時拉上asset allocation and management, 就算不cover parameter estimation, 也很有機會講到markov switching model, black-litterman, 或是各類bayesian, shirnkage method之類的, 而不會stop at mean-variance framework. For example:
ETH/UZH "Asset Management: Advanced Investments (L-EF)": from markov to regime swithcing stuffs, bayes, Black-Litterman
http://www.vorlesungen.uzh.ch/FS ... 133.modveranst.html
NYU "active portfolio management": from the standard MV to bayesian, then estimation of returns, covariance structure, predictability
http://math.nyu.edu/courses/cour ... tml#MATH-GA2752.001
Imperial one is more on math and optimization, but much more advance:
https://www.imperial.ac.uk/natur ... ective-modules/#dyn
Columbia MSFE 的: start from MV approach of course, but then parameter estimation, Bayesian methods, transaction and trading cost are also discussed.
http://ieor.columbia.edu/asset-allocation
而這類advanced course雖則advnace, 但是只屬application area之一, 所以很多時候只會放在core elective而非core requirement的, 也不是每個MFE/MQF都會有提供的.
(academically)這就是MSF(and MBA(Finance))和MFE/MQF的分別了. 硬度上根本不是同一個級別的.
P.S.1 如果是econ方向去講的, 就不會搞得咁practical, 但instead就會講CCAPM 或是substitution of interpomal consumption, 又或者是拉上micro/asset pricing來prove CAPM等等.........又或者是如asset pricing般講各類complete / imcomplete market, pricing kernel等等(i.e. cochrane)..........總之master level的不會stop at MV or eqv (bodie or eqv..)
P.S.2 CFA 3的return attribution & IPS 之類其實不academic而是很practical (indeed quite some part of CFA3), 一般來說master都不會cover的. 這也正正是為何大部份CFA-related的master只會claim cover lv 1 & 2, but never 3. 不是lv 3有幾難, 或者master的時間有多不夠, 而是方向的問題.
2.
A. I dont mean every MSF have it, just some, and indeed not a majority, but some, e.g.:
CUHK MSc Fina http://www.bschool.cuhk.edu.hk/mscfin/programme_ft_cr.aspx FINA6292 Capital Markets
Imperical MSc Finance http://wwwf.imperial.ac.uk/busin ... foundation-modules/ The Finance Industry
HSG MBF http://www.unisg.ch/en/studium/m ... /compulsorysubjects) Financial Market
or somehow Columbia MS Fina econ https://www8.gsb.columbia.edu/pr ... cademics/curriculum B6302 Capital Markets
B. I dont mean it is good/bad for MSF to have it, it really depends (it is another topic). I just mean it is bad for a MFE to have it.
C. I am not talking about MBA(Finance) also, but MSF, to be more precise, per-experience one. MBA level還管課程硬度幹嗎?
D. Who really care about the MSF in a country which only one of (more than 10) banking target school offer an MSF ?
P.S. 用課程難度來 defend/黑 MSF 都是十分無聊的: 要課程硬度就不讀MSF啦. 就業也不怎看這個. (當然這也正正是為啥國際生讀MSF遠不如讀STEM類的易就業的原因, 但這個不是MSF的錯, 而是fit的問題)
就算說到technical skill like financial modeling (DCF and etc.), 學術上也不算難. 難度是在如何有businss sense地去justify各類forecast的合理性之類 (and thus get the answer that the boss want)....或是各類comparable真的是comparable.. |
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