TY - JOUR T1 - Enhanced Index Investing Based on Goal Programming JF - The Journal of Portfolio Management SP - 49 LP - 56 DO - 10.3905/jpm.2007.684753 VL - 33 IS - 3 AU - Liang-Chuan Wu AU - Seng-Cho Chou AU - Chau-Chen Yang AU - Chorng-Shyong Ong Y1 - 2007/04/30 UR - https://pm-research.com/content/33/3/49.abstract N2 - Enhanced index investing involves tracking a benchmark index closely and using risk-controlled strategies to add modest value to the index. The typical approaches to construction of such portfolios involve subjective management judgments. A new approach to enhanced indexing instead formulates the problem as a dual-criteria goal programming problem. Unlike the traditional approaches, which require a fund manager to buy and sell stocks actively in order to improve returns, the proposed approach is based on the passive management of a small number of stocks. Empirical results from tests in the Taiwan stock market suggest the new approach incurs lower transaction costs and produces sustainable risk-controlled enhanced returns.TOPICS: Mutual funds/passive investing/indexing, exchange-traded funds and applications, emerging ER -