@article {Wu49, author = {Liang-Chuan Wu and Seng-Cho Chou and Chau-Chen Yang and Chorng-Shyong Ong}, title = {Enhanced Index Investing Based on Goal Programming}, volume = {33}, number = {3}, pages = {49--56}, year = {2007}, doi = {10.3905/jpm.2007.684753}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/33/3/49}, eprint = {https://jpm.pm-research.com/content/33/3/49.full.pdf}, journal = {The Journal of Portfolio Management} }