影響投資組合保險成本的因素，可分成兩大類：（一）無法控制的因素，包括無風險利率、權益風險溢酬以及市場的價格波動性，（二）可控制的因素，包括最低報酬率（floor return）的設定、投資組合保險的比例、標的投資組合的風險係數以及投資組合保險期間的長短。本文將選擇權的複製原理，應用於臺灣股市，探討各項可控制因素對執行動態投資組合保險成本的影響。至於投資組合保險的成本可以算術（或幾何）平均報酬率的下降及上方獲利率的損失等準則來衡量。實證的結果顯示，在臺灣執行投資組合保險，長期平均而言，若保險期間為期一年時，其成本為負，即相對於買進持有策略，有超額報酬；但當保險期間增長為兩年以上時，投資組合保險成本轉為正。

　　　　　Factors affecting the cost of portfolio insurance can be classified into two categories: (1) uncontrollable factors, such as risk free rate, equity risk premium, and market volatility; and (2) controllable factors, such as floor return, coinsurance, portfolio risk (β), and protection horizon. This paper applies the principle of option replication to the Taiwan Stock Market, and focuses on the impacts of controllable factors on the cost of portfolio insurance, which can be measured by the reduction of long-run arithmetic (or geometric) average return and the loss of upside captures. Results indicate that the cost of implementing portfolio insurance in the Taiwan Stock market is negative if the time horizon of portfolio insurance is one year, i.e., excess return relative to the buy-and-hold (uninsured) strategy. However, as the time horizon increases, the cost of portfolio insurance becomes positive.