变量选择为投资组合选择.docVIP

外文文献翻译译文 一、外文原文 原文： Variable Selection for Portfolio Choice We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors into a single index that best captures time variations in investment opportunities. This index helps investors determine which economic variables they should track and, more importantly, in what combination. We consider investors with both expected utility ~mean variance and CRRA and nonexpected utility ambiguity aversion and prospect theory! objectives and characterize their market timing, horizon effects, and hedging demands. There is by now ample evidence: in the literature that the means, variances, covariances, and higher order moments of stock and bond returns are time varying and predictable. However, it has proven difficult to translate this evidence of predictability into practical portfolio advice because the different moments of returns, which in turn determine the optimal portfolio weights, are typically predicted by different sets of economic variables. Perhaps because of this difficulty with modeling the conditional return distribution, most professional investment advice is given solely on the basis of variables that forecast expected returns, such as the dividend yield or the slope of the term structure.1. It is also intuitively clear that different objective functions place different emphases on the various features of the conditional return distribution. For example, a mean-variance investor wants to predict means and variances, while a loss-averse investor may be more concerned about forecasting the size of the left tail of the return distribution.2 Since, again, the means, variances, and size of the tails are not always predicted by the same variables, these two investors may ch