RT Journal Article SR Electronic T1 Enhanced Index Investing Based on Goal Programming JF The Journal of Portfolio Management FD Institutional Investor Journals SP 49 OP 56 DO 10.3905/jpm.2007.684753 VO 33 IS 3 A1 Liang-Chuan Wu A1 Seng-Cho Chou A1 Chau-Chen Yang A1 Chorng-Shyong Ong YR 2007 UL https://pm-research.com/content/33/3/49.abstract AB 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