Aine eesmärk on selgitada erinevate varadega investeerimisportfellide juhtimist ja investeerimisstrateegiaid ning arendada investeerimisportfelli koostamise ja analüüsimise oskusi.

The aim of this course is to explain the management of investment portfolios containing different assets and investment strategies, and develop the skills for creating and analysing investment portfolios.

Õppeaine läbinud üliõpilane:
- selgitab investeerimisportfelli olemust, koostamise protsessi ja erinevaid investeerimisstrateegiaid;
- koostab investeerimisportfelli vastavalt valitud investeerimisstrateegiale;
- selgitab ja hindab makromajandusliku keskkonna mõju investeerimisportfellile;
- hindab investeerimisportfelli riski ja tootlikkust kvantitatiivsete tööriistade, sh mitmefaktoriliste mudelite abil.

After completing this course, the student:
- explains the concept of an investment portfolio, the process of construction and different investment strategies;
- creates an investment portfolio based on the chosen investment strategy;
- explains and evaluates the impact of the macroeconomic environment on the investment portfolio;
- evaluates the risk and performance of an investment portfolio using quantitative tools, incl. multifactor models.

Varaklassid. Tuletisinstrumendid portfellis. Toorained ja börsikaubad portfellis. Portfelliteooria. Portfellijuhtimise protsess. Portfelli hajutamine. Investeerimisstrateegiad. Investeerimisportfelli koostamine vastavalt investeerimisstrateegiale ja -põhimõtetele. Makromajanduse ja finantsturgude vahelised seosed. Riski mõõtmine ja juhtimine. Optimeerimine riski-tulu raamistikus. Aktiivne ja passiivne portfellijuhtimine. Portfelli tulemuslikkuse analüüs ja hindamine. Kvantitatiivsed tulemuslikkuse hindamise tööriistad sh suhtarvud, mitmefaktorilised mudelid. Alfa loomine. Krüptovarad portfellis. Käitumuslikud aspektid portfellijuhtimises. Roboinvestor ja AI portfellijuhtimises.

Asset classes. Derivatives in a portfolio. Raw materials and commodities in a portfolio. Portfolio theory. Portfolio management process. Portfolio diversification. Investment strategies. Building an investment portfolio based on the investment strategy and principles. The relationship between macroeconomics and financial markets. Risk measurement and management. Optimization in a risk-return framework. Active and passive portfolio management. Analysis and evaluation of portfolio performance. Quantitative performance evaluation tools, including ratios, multifactor models. Delivering Alpha. Crypto assets in a portfolio. Behavioral aspects of portfolio management. Roboinvestor and AI in portfolio management.

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Maginn, J. L., Tuttle, D. L., McLeavey, D. W., & Pinto, J. E. (Eds.). (2007). Managing investment portfolios: a dynamic process (Vol. 3). John Wiley & Sons.
Kinlaw, W., Kritzman, M. P., & Turkington, D. (2021). Asset Allocation: From Theory to Practice and Beyond. John Wiley & Sons.
Lisalugemine: Michaud, R. O., & Michaud, R. O. (2008). Efficient asset management: a practical guide to stock portfolio optimization and asset allocation. Oxford University Press.

Triinu Tapver, vanemlektor (ME - majandusanalüüsi ja rahanduse instituut)