The art of goal programming model: A tool for strategic decision making in outperforming the Philippine Stock Exchange index

• Main Author: Layson, Arwin S.
• Format: text
• Language: English
• Published: Animo Repository 2019
• Subjects: Stock price indexes—Philippines; Stock index futures; Portfolio management; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_masteral/6379; https://animorepository.dlsu.edu.ph/context/etd_masteral/article/13442/viewcontent/MSCF_Project_Paper_Arwin_S._Layson2b.pdf
• Institution: De La Salle University

This study focuses on a special type of portfolio management, called enhanced index tracking. In this type of index tracking, stocks that made up the composition of benchmark index were reproduced in such a way that they generate excess mean returns over the index mean return at a minimum risk of lo...