金融市场的全球风险最小化
Global risk minimization in financial markets
摘要：
一再发生的国际金融危机具有不利的社会经济影响，需要新的监管手段或战略来进行风险管理和稳定市场。然而，复杂的市场互动网络往往阻碍了绝对最小化风险的理性决策。在这里，我们表明，对于任何给定的预期收益率，投资者可以克服这种复杂性，并在投资组合选择模型，这是在数学上相当于计算物理学中的自旋玻璃模型的基态，提供的保证金要求保持低于一个关键的，经验可测量的值，全局最小化他们的金融风险。对于有中央监管保证金要求的市场，这一结果表明了一种潜在的稳定干预策略。
英文摘要：
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for any given expected return, investors can overcome this complexity and globally minimize their financial risk in portfolio selection models, which is mathematically equivalent to computing the ground state of spin glass models in physics, provided the margin requirement remains below a critical, empirically measurable value. For markets with centrally regulated margin requirements, this result suggests a potentially stabilizing intervention strategy.
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