Measuring Portfolio Risk in Options
研究不同规模下期权组合的风险行为，发现将长期期权头寸与低风险资产组合可产生有利的风险收益特征。
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].