變量選擇為投資組合選擇【外文翻譯】

1、外文文獻(xiàn)翻譯譯文一、外文原文原文：原文：VariableionfPtfolioChoiceWestudyassetallocationwhentheconditionalmomentsofreturnsarepartlypredictable.Ratherthanfirstmodelthereturndistributionsubsequentlyacterizetheptfoliochoicewedeterminedirectlyth

2、edependenceoftheoptimalptfolioweightsonthepredictivevariables.Wecombinethepredictsintoasingleindexthatbestcapturestimevariationsininvestmentopptunities.Thisindexhelpsinvestsdeterminewhicheconomicvariablestheyshouldtrackm

3、eimptantlyinwhatcombination.Weconsiderinvestswithbothexpectedutility~meanvarianceCRRAnonexpectedutilityambiguityaversionprospectthey!objectivesacterizetheirmarkettiminghizoneffectshedgingdems.Thereisbynowampleevidence:in

4、theliteraturethatthemeansvariancescovarianceshigherdermomentsofstockbondreturnsaretimevaryingpredictable.Howeverithasprovendifficulttotranslatethisevidenceofpredictabilityintopracticalptfolioadvicebecausethedifferentmome

5、ntsofreturnswhichinturndeterminetheoptimalptfolioweightsaretypicallypredictedbydifferentsetsofeconomicvariables.Perhapsbecauseofthisdifficultywithmodelingtheconditionalreturndistributionmostprofessionalinvestmentadviceis

6、givensolelyonthebasisofvariablesthatfecastexpectedreturnssuchasthedividendyieldtheslopeofthetermstructure.1.Itisalsointuitivelyclearthatdifferentobjectivefunctionsplacedifferentemphasesonthevariousfeaturesoftheconditiona

7、lreturndistribution.Fexampleameanvarianceinvestwantstopredictmeansvarianceswhilealossaverseinvestmaybemeconcernedaboutfecastingthesizeofthelefttailofthereturndistribution.2Sinceagainthemeansvariancessizeofthetailsarenota

8、lwayspredictscanbehighlynonlinearevenwhentheconditionalmomentsareapproximatelylinearsecondtheparticularfmofthenonlinearitiesnotonlyvariesgreatlywiththeinvest’spreferencesbutalsocannotgenerallybedeterminedexplicitly.Thisl

9、eadsustoasemiparametricapproachwheretheoptimalptfolioweightsdependnonparametricallyonaparametricindexofthepredicts.WestudyinvestswithbothexpectedutilitymeanvarianceconstantrelativeriskaversionCRRAnonexpectedutilityambigu

10、ityaversionprospectthey!objectivesindertoseehowtheoptimalindexcompositiondependsontheacteristicsoftheinvest’spreferences.Fromanmativeperspectiveourresultscanhelpinvestswithanyoneofthesepreferencesdeterminewhicheconomicva

11、riablestheyshouldtrackmeimptantlyinwhatsinglecombination.Ourindexisaparsimoniouswaytodescribethecurrentstateoftheinvest’sinvestmentopptunitiesjustasindifferenteconomiccontextsindicessummarizehighdimensionalstatevectsthei

12、ndexofleadingeconomicindicatsthebusinesscycleindextheconsumerconfidenceindexetc.Macroeconomicindicesarecountryspecificsincedifferentcountrieshavedifferentacteristicsanalogouslyourinvestmentopptunitiesindexisinvestspecifi

13、cbecausedifferentinvestshavedifferentpreferences.Fthepurposeofgivingptfolioadviceoneadvantageofourindexapproachisthatithelpsinvestsundersttheirconditionalassetallocationinameintuitivemanner.Finstanceitdeliverssimplerules

14、like“iftheindexincreasestheallocationtostocksshouldincrease”.Bycontrastitisgenerallydifficulttorepresentgraphicallyvariablesinmethantwodimensionsletalonedevelopeconomicintuitionabouttheirinteractions.Weacterizethemarkett

15、iminghizoneffectshedgingdemsofdifferenttypesofinvestswherewedisentangletheeffectsduetothetimevaryingreturndistributionfromthoseduetothespecificpreferencestructure.Specificallyweshowhowtheptfoliochoiceofbothexpectednonexp