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Positional Portfolio Management*
Journal article

Positional Portfolio Management*

  • Gagliardini, P Università della Svizzera Italiana (USI), Lugano, and SFI
  • Gourieroux, C University of Toronto, Toulouse School of Economics and CREST
  • Rubin, M EDHEC Business School
  • 2019-11-11
Published in:
  • Journal of Financial Econometrics. - Oxford University Press (OUP). - 2019
Economics and Econometrics
Finance
English Abstract
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.
Language
  • English
Open access status
closed
Identifiers
Persistent URL
https://sonar.ch/global/documents/41227
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