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1、外文文獻(xiàn)翻譯譯文一、外文原文原文：VariableSelectionforPortfolioChoiceWestudyassetallocationwhentheconditionalmomentsofreturnsarepartlypredictable.Ratherthanfirstmodelthereturndistributionandsubsequentlycharacterizetheportfoliochoice,wedeterminedirectlythedependenceoftheoptimalportfolioweightsonthepre
2、dictivevariables.Wecombinethepredictorsintoasingleindexthatbestcapturestimevariationsininvestmentopportunities.Thisindexhelpsinvestorsdeterminewhicheconomicvariablestheyshouldtrackand,moreimportantly,inwhatcombination.Weconsiderinvestorswithbothexpectedutility~meanvarianceandCRRAandn
3、onexpectedutilityambiguityaversionandprospecttheory!objectivesandcharacterizetheirmarkettiming,horizoneffects,andhedgingdemands.Thereisbynowampleevidence:intheliteraturethatthemeans,variances,covariances,andhigherordermomentsofstockandbondreturnsaretimevaryingandpredictable.However,i
4、thasprovendifficulttotranslatethisevidenceofpredictabilityintopracticalportfolioadvicebecausethedifferentmomentsofreturns,whichinturndeterminetheoptimalportfolioweights,aretypicallypredictedbydifferentsetsofeconomicvariables.Perhapsbecauseofthisdifficultywithmodelingtheconditionalret
5、urndistribution,mostprofessionalinvestmentadviceisgivensolelyonthebasisofvariablesthatforecastexpectedreturns,suchasthedividendyieldortheslopeofthetermstructure.1.Itisalsointuitivelyclearthatdifferentobjectivefunctionsplacedifferentemphasesonthevariousfeaturesoftheconditionalreturndi
6、stribution.Forexample,amean-varianceinvestorwantstopredictmeansandvariances,whilealoss-averseinvestormaybemoreconcernedaboutforecastingthesizeofthelefttailofthereturndistribution.2Since,again,themeans,variances,andsizeofthetailsarenotalwayspredictedbythesamevariables,thesetwoinvestor
7、smaychoosedifferentpredictorsfortheirconditionalportfoliochoice.Furthermore,investorsmayalsodisagreeaboutthevariableselectionbecause,attheoptimalchoice,theyareholdingdifferentportfoliosofriskysecurities.3Inthispaper,weshowhowtoselectandcombinevariablestobestpredictaninvestor’soptimal
8、portfoliowei
