I've seen a number of measures of risk in my reading:
Sharpe, Sortino, Calmar, etc. In CAPM there is Beta, and I've seen papers discussing how to modify CAPM for asymmetry. There is Value at Risk and discussion about its failings for distributions with fat tails, and how to compensate.
Of course, for options, there are the Greeks - measures of how the price of an option changes w.r.t. factors - underlying (delta), volatility (vega), interest (rho) and of course there are second order Greeks to consider. But, for example "riskier" options - e.g. out-of-the-money (OTM) options that have higher chance of expiring worthless, have a lower delta, than "less risky" options - e.g. in-the-money (ITM) which are less likely to expire worthless. Does it make sense to consider $delta/ option$ $price$? For example, if the underlying moves, an ITM option will move more than an OTM option, but in terms of its return (the percentage or log change of the option), the OTM might be moving dramatically more. Then there is theta... just the risk over time of the option losing value.
I've read some papers that talk about the 'returns' of various strategies, but few go into detail about the margin requirements.
Specifically, recently, I've been looking at various option portfolios, but find it difficult to really get a good sense of how to measure their return vs risk. The return part is easy, the risk - not so much. So how do I choose which portfolio is "better"?
Are there any good resources where I can find discussion of this issue? How do hedge funds, for example, typically measure their risk when it comes to portfolios including options?
Apologies for the general question - is it too general/subjective?