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1、外文文献翻译译文一、外文原文原文：VariableSelectionforPortfolioChoiceWestudyassetallocationwhentheconditionalmomentsofreturnsarepartlypredictable.Ratherthanfirstmodelthereturndistributionandsubsequentlycharacterizetheportfoliochoice,wedeterminedirectlythedependenceoftheoptimalpo
2、rtfolioweightsonthepredictivevariables.Wecombinethepredictorsintoasingleindexthatbestcapturestimevariationsininvestmentopportunities.Thisindexhelpsinvestorsdeterminewhicheconomicvariablestheyshouldtrackand,moreimportantly,inwhatcombination.Weconsiderinvestorswit
3、hbothexpectedutility~meanvarianceandCRRAandnonexpectedutilityambiguityaversionandprospecttheory!objectivesandcharacterizetheirmarkettiming,horizoneffects,andhedgingdemands.Thereisbynowampleevidence:intheliteraturethatthemeans,variances,covariances,andhigherorder
4、momentsofstockandbondreturnsaretimevaryingandpredictable.However,ithasprovendifficulttotranslatethisevidenceofpredictabilityintopracticalportfolioadvicebecausethedifferentmomentsofreturns,whichinturndeterminetheoptimalportfolioweights,aretypicallypredictedbydiff
5、erentsetsofeconomicvariables.Perhapsbecauseofthisdifficultywithmodelingtheconditionalreturndistribution,mostprofessionalinvestmentadviceisgivensolelyonthebasisofvariablesthatforecastexpectedreturns,suchasthedividendyieldortheslopeofthetermstructure.1.Itisalsoint
6、uitivelyclearthatdifferentobjectivefunctionsplacedifferentemphasesonthevariousfeaturesoftheconditionalreturndistribution.Forexample,amean-varianceinvestorwantstopredictmeansandvariances,whilealoss-averseinvestormaybemoreconcernedaboutforecastingthesizeoftheleftt
7、ailofthereturndistribution.2Since,again,themeans,variances,andsizeofthetailsarenotalwayspredictedbythesamevariables,thesetwoinvestorsmaychoosedifferentpredictorsfortheirconditionalportfoliochoice.Furthermore,investorsmayalsodisagreeaboutthevariableselectionbecau
8、se,attheoptimalchoice,theyareholdingdifferentportfoliosofriskysecurities.3Inthispaper,weshowhowtoselectandcombinevariablestobestpredictaninvestor’soptimalportfoliowei
