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1、THEJOURNALOFFINANCE·VOL.LVI,NO.4·AUGUST2001VariableSelectionforPortfolioChoiceYACINEAÏT-SAHALIAandMICHAELW.BRANDT*ABSTRACTWestudyassetallocationwhentheconditionalmomentsofreturnsarepartlypredictable.Ratherthanfirstmodelthereturndistributionandsubsequentlychar-acterizetheportf
2、oliochoice,wedeterminedirectlythedependenceoftheoptimalportfolioweightsonthepredictivevariables.Wecombinethepredictorsintoasingleindexthatbestcapturestimevariationsininvestmentopportunities.Thisindexhelpsinvestorsdeterminewhicheconomicvariablestheyshouldtrackand,moreimportant
3、ly,inwhatcombination.Weconsiderinvestorswithbothexpectedutility~meanvarianceandCRRA!andnonexpectedutility~ambiguityaversionandprospecttheory!objectivesandcharacterizetheirmarkettiming,horizonef-fects,andhedgingdemands.THEREISBYNOWAMPLEEVIDENCEintheliteraturethatthemeans,varia
4、nces,covariances,andhigherordermomentsofstockandbondreturnsaretime-varyingandpredictable.However,ithasprovendifficulttotranslatethisevi-denceofpredictabilityintopracticalportfolioadvicebecausethedifferentmomentsofreturns,whichinturndeterminetheoptimalportfolioweights,aretypic
5、allypredictedbydifferentsetsofeconomicvariables.Perhapsbecauseofthisdifficultywithmodelingtheconditionalreturndistribution,mostprofessionalinvestmentadviceisgivensolelyonthebasisofvariablesthatforecastexpectedreturns,suchasthedividendyieldortheslopeofthe1termstructure.Looking
6、beyondexpectedreturns,itisdifficulttodecidewhichselectionorcombinationofpredictivevariablestheinvestorshouldfocuson.~Asaresult,theempiricalliteratureonportfoliochoicehasreliedonapredeter-*Aït-SahaliaiswiththeDepartmentofEconomics,PrincetonUniversity,andNBER.BrandtiswiththeWha
7、rtonSchool,UniversityofPennsylvania,andNBER.WethankJohnCampbell,GeorgeConstantinides,DavidChapman,FrankDiebold,HanHong,PaulPfleiderer,JessicaWachter,andespeciallyAnthonyLynchfortheircommentsandsuggestions.Wealsothankseminarparticipantsatthe2001AnnualMeetingoftheAmericanFinanc
8、eAssociation,Colum-biaUniversity,HarvardUniversity,MIT,NYU,Princeton
