利用型质押在去中心化借贷平台上的策略
Leveraged positions on decentralized lending platforms
AI总结：
本文提出了一种数学框架，用于优化去中心化金融中的利用型质押策略，通过凸分配和三种利率模型获得闭式解，实现高达6.2%的APY收益。
摘要：
我们开发了一个数学框架，用于优化去中心化金融（DeFi）中的利用型质押（
英文摘要：
We develop a mathematical framework to optimize leveraged staking ("loopy") strategies in Decentralized Finance (DeFi), in which a staked asset is supplied as collateral, the underlying is borrowed and re-staked, and the loop can be repeated across multiple lending markets. Exploiting the fact that DeFi borrow rates are deterministic functions of pool utilization, we reduce the multi-market problem to a convex allocation problem and obtain closed-form solutions under three interest-rate models: linear, kinked, and adaptive (Morpho's AdaptiveCurveIRM). The framework incorporates market-specific leverage limits, utilization-dependent borrowing costs, and transaction fees. Backtests on the Ethereum and Base blockchains using the largest Morpho wstETH/WETH markets (from January 1 to April 1, 2025) show that rebalanced leveraged positions can reach up to 6.2% APY versus 3.1% for unleveraged staking, with strong dependence on position size and rebalancing frequency. Our results provide a mathematical basis for transparent, automated DeFi portfolio optimization.
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。
