本文主要是在研究考慮主動風險下之核心-衛星資產配置是否能獲取較佳之績效。本研究以台灣股票型基金做為研究樣本，利用展延方式建構一投資期間後，比較核心-衛星投資組合和傳統效率前緣投資組合於此期間之績效差異。研究發現，核心-衛星投資組合除了可以有效控制主動風險外，其投資組合也較具彈性。同時，本文也發現以縮減共變異數矩陣為參數的投資組合，其績效會高於以樣本共變異數矩陣為參數之投資組合。

The purpose of this article is to test whether the performance of the core-satellite portfolio is better than the traditional active portfolio. We choose the equity fund of Taiwan as our sample and use rolling over method to construct the investment period. We compare the performance of the two portfolios during the period and find the core-satellite portfolio is actually better than traditional active portfolio. The result also indicates the shrinkage covariance matrix performs better as a parameter estimator than the sample covariance matrix.

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