区块链风险平价线：从有效前沿迈向投资终极前沿
The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments
AI总结：
本研究基于区块链构建Alpha、Beta、Gamma三只风险平价子基金，搭建适配不同风险偏好的有效前沿投资管理引擎，提出概念平价机制，通过数值示例验证其全周期稳健性，实现可全民参与的终极投资前沿。
摘要：
我们通过构建三只具有不同风险收益特征的基金，设计了基于区块链的风险管理投资组合：1）Alpha——高风险投资组合；2）Beta——模拟大盘整体表现；3）Gamma——代表经调整后可跑赢通胀的无风险利率。每只子基金（Alpha、Beta和Gamma）均实现风险平价，因为对应投资组合中每项资产的权重被设定为与该资产的投资风险成反比，等价表述为每项资产对投资组合整体风险的贡献相等。\n我们提供了资产组合的详细机制（包括数学公式），以构建更优的风险管理投资组合。这些说明旨在展示如何在区块链上无缝搭建一个基于风险平价的有效前沿投资组合管理引擎——该引擎允许每位投资者选择自身偏好的风险收益组合，从而适配不同投资者的风险偏好。\n任何投资者都可借助分布式账本技术选择自身期望的风险或收益水平，并据此在各子基金间配置资金，这些子基金在不同市场环境下可实现互补平衡。这种风险平价原则的演进催生了一套可在所有市场周期中表现良好的机制，能带来更稳健的业绩表现，可被称为概念平价。\n我们提供了若干数值示例，阐释了将Alpha、Beta和Gamma组合以实现平价过程中出现的各类场景。\n如今，终极投资前沿——对有效前沿的一种改进，因此不再仅仅是理论构想——可在区块链上落地，因为任何地点的任何人都可随时参与，根据自身财务目标实现财富增值。
英文摘要：
We engineer blockchain based risk managed portfolios by creating three funds with distinct risk and return profiles: 1) Alpha - high risk portfolio; 2) Beta - mimics the wider market; and 3) Gamma - represents the risk free rate adjusted to beat inflation. Each of the sub-funds (Alpha, Beta and Gamma) provides risk parity because the weight of each asset in the corresponding portfolio is set to be inversely proportional to the risk derived from investing in that asset. This can be equivalently stated as equal risk contributions from each asset towards the overall portfolio risk. We provide detailed mechanics of combining assets - including mathematical formulations - to obtain better risk managed portfolios. The descriptions are intended to show how a risk parity based efficient frontier portfolio management engine - that caters to different risk appetites of investors by letting each individual investor select their preferred risk-return combination - can be created seamlessly on blockchain. Any Investor - using decentralized ledger technology - can select their desired level of risk, or return, and allocate their wealth accordingly among the sub funds, which balance one another under different market conditions. This evolution of the risk parity principle - resulting in a mechanism that is geared to do well under all market cycles - brings more robust performance and can be termed as conceptual parity. We have given several numerical examples that illustrate the various scenarios that arise when combining Alpha, Beta and Gamma to obtain Parity. The final investment frontier is now possible - a modification to the efficient frontier, thus becoming more than a mere theoretical construct - on blockchain since anyone from anywhere can participate at anytime to obtain wealth appreciation based on their financial goals.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
