Option Total Return and Active Option Portfolio Management
提出期权总回报概念，通过分解期权价格变化为各驱动因素的贡献，帮助评估期权组合表现，对主动管理期权组合和尾部风险对冲有实用价值。
The authors introduce the concept of total return for options and option portfolios. By taking local derivatives of the option price with respect to the underlying drivers in an option-pricing model (i.e., delta, gamma, vega, theta), one can decompose daily option price changes into the sum of the changes in these underlying drivers. By accumulating the contribution from the underlying drivers, one can compute each driver’s contribution to the total performance of a portfolio of options. The authors discuss the relevance of this framework to applications such as tail-risk hedging and discuss how the approach can be useful to the active management of option portfolios. Their approach provides a natural extension of the concept of total return that is widely used for the evaluation of traditional investment portfolios.