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 loss without the need of buying all stocks in the stock market. In this study, results on the stock composition of the optimal portfolio were obtained using goal programming approach and compared against the benchmark index using portfolio performance measurement. Specifically, the output of this study is a model consisting of selected stocks that can outperform the Philippine Stock Exchange Index, as inspired by the scholarly journal article of Lam et al. (2016) entitled “Strategic Decision Making in Portfolio Management with Goal Programming Model”.