Shelley2018-12-20 14:54:09

老师您好，您能解释一下page 31页，我用黄色笔标注的地方吗？谢谢您！ In the case of a portfolio consisting of a risky asset and a risk-free asset, the return to a rebalanced portfolio can be replicated by creating a buy-and-hold position in the portfolio, writing out-of- the-money puts and calls on the risky asset, and investing the premiums in risk-free bonds. As the value of puts and calls is positively related to volatility, such a position is called being short volatility (or being short gamma, by reference to the option Greeks).