Gagliardini, P Gourieroux, C Rubin, M 2019 <jats:title>Abstract</jats:title> <jats:p>We study positional portfolio management strategies in which the manager maximizes an expected utility function written on the cross-sectional rank (position) of the portfolio return. The objective function reflects the manager’s goal to be well-ranked among competitors. To implement positional allocation strategies, we specify a nonlinear unobservable factor model for the asset returns which disentangles the dynamics of the cross-sectional distribution and the dynamics of the ranks of the individual assets. Using a large dataset of stocks returns we find that positional strategies outperform standard momentum, reversal and mean-variance allocation strategies, as well as equally weighted portfolio for criteria based on position.</jats:p> https://sonar.ch/global/documents/41227 eng info:eu-repo/semantics/altIdentifier/doi/10.1093/jjfinec/nbz022 info:eu-repo/semantics/altIdentifier/issn/1479-8409 Journal of Financial Econometrics. - Oxford University Press (OUP). - 2019 Economics and Econometrics Finance Positional Portfolio Management* http://purl.org/coar/resource_type/c_6501