投資組合構建是財務管理中的一個核心問題，隨著市場條件的不斷變化和金融工具的多樣化，如何選取合適的變數來優化投資組合成為了一個持續挑戰。有效的投資組合變數選取方法可以顯著提高投資績效，降低風險，並幫助投資者在複雜且動態的市場中做出明智的決策。本研究旨在回顧並重新探討投資組合構建中的變數選取問題。Aït-Sahalia & Brandt (2001)在其開創性的論文中提出了一種系統化的方法來選擇影響投資組合績效的關鍵變數。這些方法在當時提供了有效的理論框架和實證支持，對投資組合管理實務產生了深遠的影響。然而，隨著市場環境的變化和數據分析技術的進步，有必要重新評估這些方法在當前市場環境中的適用性和有效性。本文將通過實證分析和理論研究，探討2001年提出的變數選取方法是否仍然具有優越性，並考察是否有更優的新方法可供選擇。研究結果顯示，收益和收益共變異數在較長期限內更具可預測性。股票收益率比債券收益率具有更高的可預測性，而收益變異數在本研究中無顯著可預測性。平均-變異數投資者在無條件投資組合選擇中的風險部位於不同投資期限內皆相同，與風險趨避程度無關，驗證了兩基金分離理論。條件預測最佳投資組合的能力相較以往減弱，近年來的回報模式顯示出不同於1954-1997年期間的變化。這些結果初步揭示了現代市場環境中變數選取的挑戰和機會，為未來研究探索更有效的變數選取策略提供了基礎，以幫助投資者在複雜的市場環境中做出更明智的投資決策。

Portfolio construction is a core issue in financial management. With the continuous changes in market conditions and the diversification of financial instruments, selecting
appropriate variables to optimize a portfolio has become a persistent challenge. Effective variable selection methods for portfolio construction can significantly
improve investment performance, reduce risk, and help investors make informed decisions in complex and dynamic markets. This study aims to review and re-examine
the issue of variable selection in portfolio construction. Aït-Sahalia & Brandt (2001) proposed a systematic method in their groundbreaking paper to select key variables that
impact portfolio performance. These methods provided an effective theoretical framework and empirical support at the time, having a profound impact on portfolio
management practice. However, with changes in the market environment and advancements in data analysis techniques, it is necessary to reassess the applicability
and effectiveness of these methods in the current market environment. This paper will explore through empirical analysis and theoretical research whether the variable
selection methods proposed in 2001 still possess superiority and whether there are better new methods available. The research results show that returns and return
covariances are more predictable over longer horizons. Stock returns are more predictable than bond returns, while return variances are not significantly predictable
in this study. Mean-variance investors have the same risk positions in unconditional portfolio choices across different investment horizons, regardless of risk aversion,
confirming the two-fund separation theory. The ability to conditionally predict optimal portfolios has weakened compared to the past, and recent return patterns differ from
those in the 1954-1997 period. These results initially reveal the challenges and opportunities in variable selection in the modern market environment, providing a foundation for future research to explore more effective variable selection strategies to help investors make wiser investment decisions in complex market environments.

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