A stablecoin that’s actually stable: A portfolio optimization approach
利用马科维茨投资组合优化方法，将五种主要稳定币组合成全局最小方差投资组合，得到比单个稳定币更稳定的聚合稳定币，并在压力测试中保持稳定，对央行数字货币发展有实际意义。
Stablecoins seek to address the high price fluctuations of unbacked cryptocurrencies, such as Bitcoin and Ether. However, recent studies as well as the collapse of stablecoin USTC (Terra) cast doubt on the stability of stablecoins. Using well-known Markowitz portfolio optimization methods, we combine five leading stablecoins into a global minimum variance portfolio that represents a stable aggregate stablecoin (SAS). We find that SAS is much more stable than its constituent stablecoins. Also, in a stress test adding USTC to the portfolio, SAS remains stable with a narrow price range over time. Importantly, the construction of SAS using modern diversification methods has practical implications for the ongoing development of central bank digital currencies (CBDCs).