从名义价值到实际价值重新定义稳定币：一种最大似然方法
Redefining Stablecoins from Nominal to Real Value: A Maximum Likelihood Approach
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中文总结 AI 辅助
本文提出一种与最大似然价值（MLV）挂钩的新型稳定币，基于推断统计与现代投资组合理论，可从500个资产价格序列实时计算，能提升投资组合年化收益与夏普比率并降低换手率，实现更稳定的计价。
中文摘要 AI 辅助
稳定币通常与法定货币挂钩，无法实现真正的稳定性，因为它们继承了基础计价单位的波动。为克服这一局限，本文引入一种与最大似然价值（MLV，一种新定义的计价单位）挂钩的稳定币，该单位是从观测到的名义价值（价格）变化中推导得出的潜在实际价值变动的最可能配置。MLV以推断统计和现代投资组合理论为基础，代表最稳定的计价单位，因为它确保最小方差投资组合的实际收益率为零。实证结果证实了MLV挂钩稳定币的操作可行性：可从500个资产价格序列实时计算MLV，且在投资组合优化中提高了年化收益率和夏普比率，同时大幅降低了换手率。
英文摘要
Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account. To overcome this limitation, we introduce a stablecoin pegged to the Maximum Likelihood Value (MLV), a newly defined unit of account derived as the most probable configuration of latent real-value movements that explains observed nominal-value (price) changes. Grounded in inferential statistics and modern portfolio theory, MLV represents the most stable unit of account, as it enforces a zero real return on the minimum-variance portfolio. Empirical results confirm the operational viability of an MLV-pegged stablecoin: MLV can be computed in real time from 500 asset price series and improves annualized returns and Sharpe ratios while substantially reducing turnover in portfolio optimization.
发表机构
- VLUE Inc.（VLUE公司）
- The University of Tokyo（东京大学）
机构由 AI 辅助整理，请以论文原文为准。
