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Measuring Portfolio Risk in Options

Published online by Cambridge University Press:  06 April 2009

R. Stephen Sears  and
Gary L. Trennepohl
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Extract

Little attention has been given to the behavior of option portfolio risk across different portfolio sizes, perhaps because many individuals view unhedged long option positions as too risky for rational investor consideration. It appears possible, however, to combine long option positions with less risky assets to produce portfolios with favorable risk-return characteristics [10].

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 3 , September 1982 , pp. 391 - 409
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

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