Chuan-He Shen was born in 1966. He has a PhD and is a professor in Shandong Women’s University. His research interests are financial engineering, data mining and risk management. He is currently Director of the Institute of Financial Engineering. His research works have been published in Communications in Statistics, International Journal of Advancements in Computing Technology and Journal of Applied Sciences. He has undertaken some research programs of the National Natural Science Foundation of China, Humanity and Social Science Research Foundation of Ministry of Education of China, etc.
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.