Article contents
Measuring Portfolio Risk in Options
Published online by Cambridge University Press: 06 April 2009
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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