Positional Portfolio Management*

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.

A taxonomic revision of the genus Digitaria (Panicoideae: Poaceae) in mainland Southeast Asia

A taxonomic revision of the genus Digitaria (Poaceae) is presented for mainland Southeast Asia (Cambodia, Lao PDR, Myanmar, Peninsular Malaysia, Thailand and Vietnam). A total of 27 species (29 taxa) is enumerated. Two cultivated species, D. eriantha and D. milanjiana, are excluded from this account. A key to sections and species is provided and subgenus Leptoloma is reduced to sectional rank. Taxon descriptions include distribution and ecological data, conservation status, and notes on each species. Digitaria effusa and D. hentyi are reduced to synonyms of D. abyssinica, and D. siamensis is a synonym of D. sparsifructus. The lectotype is designated for D. stricta var. glabrescens.

On the conflicting generic delineation in the Onopordum group (Compositae, Cardueae - Carduinae): a combined nuclear and plastid molecular approach

The limits of the genera that compose the Onopordum group of the Cardueae–Carduinae are difficult to establish. There are two main life forms; one is exemplified in the genus Onopordum, which includes only biennial colonisers in the Mediterranean region and temperate Eurasia; the second life form is exemplified in the group of perennial herbs of the genera Alfredia, Ancathia, Lamyropappus, Olgaea, Synurus, Syreitschikovia and Xanthopappus, all of them growing in the mountains of central Asia. We explored relationships among the genera of the complex by using Bayesian and parsimony analyses of a combined dataset of nuclear and plastid DNA sequences. Our results confirmed that the group is natural and the two life forms correspond to well defined entities. Generic limits within the eight central Asian genera are, however, very difficult to establish. Our results suggested that the present genus circumscription is artificial, especially for the largest genus, Olgaea, which appears paraphyletic. Some solutions are suggested. The most preferable might be lumping all small genera together in a broadly redefined genus Alfredia, and assigning sectional rank to the natural groups that result from correlating morphology with our molecular results. However, none of the possible solutions is free of problems because morphological characters and molecular phylogeny are not fully congruent. Some considerations on the origin and peculiar adaptations for becoming a successful coloniser shown by Onopordum are also offered, finding parallels to these adaptations in other examples of biennial colonisers within subtribe Carduinae.

Detecting Information Content of Corporate Announcements Using Variance Increases: A Methodological Study

This paper evaluates various methodologies used in event studies to detect the information content of corporate announcements using the increase in the variance of the security returns. Simulation with daily stock return data show that the Patell procedure, the most commonly used method to detect information content, rejects the null hypothesis of no increase in event-induced return variance too frequently when the null is true. A non-parametric cross-sectional rank test of squared abnormal returns similar to that in Corrado (1989) is proposed that is better specified under the null hypothesis and more powerful under the alternative hypothesis than the parametric tests.