Date of Publication

11-2019

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Dioscoro P. Baylon, Jr.

Defense Panel Chair

Jospeh James F. Lago

Defense Panel Member

Rene B. Betita
Janessa B. Tan

Abstract/Summary

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”.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG007427

Keywords

Stock price indexes—Philippines; Stock index futures; Portfolio management

Upload Full Text

wf_yes

Embargo Period

9-22-2022

Download

Share

COinS