# Haghani-Ragulin-White about options


## specific remarks
⏎
- Kelly criterion for options - is it simply log-utility?
⏎
Kelly-Thorp calculation is different, perhaps in the presence of non-linearities of options this calculation might or might not always lead to log-utility as in the case of linear asset???
⏎
also not necessarily very-large number of bets limit in practice?⏎
## general points 

- a) Do Options Belong in the Portfolios of Individual Investors?

It would be good to review how options are good for some market participants.
Do options belong in the portfolios of institutional investors? corporates?
Banks are intermmediating, but they also use options for various purposes.

**what is the motivation for the paper? Purely academic?**⏎⏎- b) a question - how to measure a Vega exposure of an investor?

If an investor has mismatch between his exposure to volatility, he might use options to adjust/hedge to the targeted Vega sensitivity

- c) a question - risk can be measured as volatility or as tail risk/VAR. Perhaps, options can be useful for investors differentiating between different types of risk. 

In particular, some investors can be ready to pay some premium for the protection against tail risk.

- d) some investors can have structural exposures which require options

Pensioners should reallocate from equity more towards Treasuries and bonds.
Can downside puts (at low implied vol, for instance) be better than Treasuries in some situations?


Or can pensioners sell upside call spreads or buy covered calls for the sake of additional steady returns/carry?


- e) not sufficiently discussed - the differences in utility and risk profiles/incentives among different investors - how general are the conclusions, which seem to be analyzed ONLY for individual investors?

check [Bhansali book](https://knowen.org/nodes/854)
for professional use of options which might also be structurally useful for individual investors

## specific remarks
⏎
- Kelly criterion for options - is it simply log-utility?
⏎
Kelly-Thorp calculation is different, perhaps in the presence of non-linearities of options this calculation might or might not always lead to log-utility as in the case of linear asset???
⏎
also not necessarily very-large number of bets limit in practice?
⏎
-  **what is the motivation for the paper? Purely academic?**
⏎
volatility asset class & complex assets/strategies - what value for the markets? value for the individual investors?⏎
⏎


# Parents

* Non-linearity and Convexity in Finance