@article {Amenc64, author = {No{\"e}l Amenc and Philippe Malaise and Lionel Martellini}, title = {Revisiting Core-Satellite Investing}, volume = {31}, number = {1}, pages = {64--75}, year = {2004}, doi = {10.3905/jpm.2004.443322}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Tracking error is not necessarily bad. Good tracking error would be outperformance of a portfolio with respect to the benchmark. If they severely restrict the amounts invested in active strategies as a result of tight tracking error constraints, investors foreclose the opportunity for significant outperformance, especially during market downturns. A new methodology based on an optimal dynamic adjustment of the fractions invested in a passive core versus an active satellite portfolio allows investors to gain full access to good tracking error, while keeping bad tracking error below a given threshold. The method is a natural extension of constant-proportion portfolio insurance techniques.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/31/1/64}, eprint = {https://jpm.pm-research.com/content/31/1/64.full.pdf}, journal = {The Journal of Portfolio Management} }