ZHEISHIYIPIANYANJIUZAIHEZHONGQINGKUANGXIACHENGWEI Uniswap SHANGMOUJIAOYIDUIDE LP SHIYOULIKETUDEZHUANGTAIDEWENZHANG。

WENTIYOUDIANAOKOU，DAGEBIFANG，NIYOU 3 GEYITAIFANG，TONGSHIYEYONGYOUDENGJIAZHIDE USDT，NEIMESHIJIANGZHEIBIZIJINJIUZHEIMEFANGZAIQIANBAOLIMIANYOUGENGDUODESHOUYI，HAISHITOURUDAO Uniswap SHANGDE ETH JIAOYICHIZHONGZHUANQUGENGDUODEGUDINGSHOUYI？

BENWENZUOLEHENDUODESHUXUETUIDAO，DANSHIJIELUNSHIJIANDANDE：

• 如果波动性带来的损失超过其平均回报的 200%，Uniswap 的再平衡将不能消除足够的波动性影响，这种情况最好还是持有现金。
• 如果波动性带来的损失低于其平均回报的 66％，那么通过 Uniswap 进行再平衡来抵消波动性影响的代价将是不值得的，此时最好只是持有资产。
• 在此范围内，成为 Uniswap 的 LP 可以创造收益。

BODONGXINGSUNSHISHIJINRONGSHUXUESHUYU，MIAOSHUDESHIDAETOUZISUNSHIFUHEHUIBAO。YIXIASHIGAISHUYUDEFAMINGZHEMAKE·SIPICINAREERDEJIESHI：

JIJINDETOUZIZUHESUNSHIHUIPOHUAIZHANGQIDEFUHENIANZENGZHANGLV（CAGR）。CONGDIDEDUODEQIDIANHUIFUXUYAOHENZHANGSHIJIAN：SUNSHI 50％，NIXUYAOZUODAO 100％CAINENGHUIFUDAOYUANLAIDEZHUANGTAI。ZAIZHEIZHONGQINGKUANGXIA，WOCHENGZHEIZHONGCHENGBENJIANGTOUZIZUHEDE+ 25％DEPINGJUNSUANSHUHUIBAOZHUANHUAWEILING CAGR （YINCISHITOUZIZUHEDELIRUNWEILING）CHENGWEI“BODONGXINGSUNSHI”：ZHEISHIYIZHONGYINXINGDE，QIPIANXINGDEFEIYONG，TOUZIZHEYINWEISHICHANGBODONGDEFUMIANYINGXIANGERXUYAOEWAIFUCHUDECHENGBEN。

Uniswap LP“BEIPO”ZHIFU

1 问题

10 YUE 14 RI，Charlie Noyes ZAI Twitter SHANGFABULEYIGETAHE Dan Robinson YIZHIZAIBIANLUNDEWENTI：DUIYURENHE Uniswap DEJIAOYIDUI，ZUIJIAFEIYONGSHIDUOSHAO？ZHEIZHONGZUIJIAFEIYONGNENGFOUCHAOGUOWEIZHONGXINPINGHENGDETOUZIZUHESHIXIAN“WUZANSHIXINGKUISUN”SHENZHISHICHAOYUQIDEZENGZHANG？

1.1 基础规则

ZIDONGHUADEZUOSHISHANG AMM SHIYIZHONGQUZHONGXINHUADEJIAOYIJIZHI，KEYIRANGYONGHUZAIJIAOYIXIANG USDC、ETH DENGDELIANSHANGZICHAN。

Uniswap SHIYITAIFANGSHANGZUISHOUHUANYINGDE AMM。XIANGDADUOSHU AMM YIYANG，Uniswap TONGGUOCHIYOULIANGZHONGZICHANDECHUBEILAISHIXIANJIAOYIDUIZHIJIANDEDUIHUAN。BINGCHUBEILIANGQUEDINGJIAOYIJIAGE，SHIJIAGEYUDAPANBAOCHIYIZHI。

WEI“ZIJINCHI”TIGONGLIUDONGXINGDERENCHENGWEI“LP”，LP WEIQITAYONGHUTIGONGLELIUDONGZICHANYIJINXINGJIAOYI。LP XUYAOTONGSHIZHURULIANGZHONGZICHAN，CHENGDANLEJIAOYIFENGXIANYIHUANQUYIBUFEN Uniswap DESHOUYI。

1.2 问题设定

WENTIZAIYU，ZIJINCHISHIZAIZIJINHELINGYIZHONGJIAGEHUISUIJIBODONGDEZICHANZHIJIANTIGONGLIUDONGXING。GENGCANKUDEJIASHESHI，SUOYOUDEJIAOYIJIHUDOUSHITAOLIJIAOYI—ZHIYOUDANG AMM DEJIAGECHAOCHUSHICHANGSHUIPINGSHICAIHUIFASHENG。

HUANJUHUASHUO，MEIBIJIAOYIDOUHUIDAOZHIZIJINCHIZHONGDEZIJINKUISUN。

1.3 一般情况

ZHAYIKAN，ZHEIZHONGQINGKUANGHUICHENGWEI Uniswap DE LP DEDAIJIAGAOANGDECUOWU。

YINWEIZUOSHISHANGYAOQIUDEMAIRUJIADIYUMAICHUJIA，SUOYIDANGZICHANJIAGEBUDONGSHI，ZUOSHISHANGZHIJIEHUOLI，TAMENDEDAODEMAIRUHEMAICHULIANGDAZHIPINGHENG。ZHEIXIEJIAOYITONGCHANGBEICHENGWEI“BUZHIQING”JIAOYI，YINWEITAMENYUDUANQIJIAGEBIANDONGMEIYOUGUANLIAN。

LINGYIFANGMIAN，ZUOSHISHANGZAIJIAGEXIADIEZHIQIANMAIRU，HUOZAISHANGZHANGZHIQIANMAICHU，DOUHUIKUISUN。YINCI，ZUOSHISHANGZUIDANXINDEJIAOYIDUISHOUZHIYIJIUSHITAOLIZHE，TAOLIZHEZHIYOUZAIJIAGEFASHENGBIANHUASHICAIJINXINGJIAOYI。TAOLIZHEDEMEIBIJIAOYIDUIQILAISHUODOUSHICHUNLIRUN，DUIYUZUOSHISHANGLAISHUOZECHUNKUISUN。

YOUYU Uniswap ZHONGMEIYOUBUZHIQINGDEJIAOYI（SHIJISHANGMEIBIJIAOYIDOUSHITAOLIJIAOYI），YINCI LP XIANRANHUISUNSHICANZHONG。

SHENZHIKEYIHUAIYI，DUIYUYIXIEQIANZAIDEJIAGEBODONG，ZUOWEI Uniswap DE LP ZAIMEIYIBIJIAOYIZHONGDOUHUIBEITAOLAO。

2 解决方案

RUGUOYIXIANGZICHANXIANGDUIYUQIPINGJUNHUIBAOLVDEBODONGXINGZUGOUGAO，NEIMESUIZHESHIJIANDETUIYI，Uniswap SHANGDE LP JIANGBI HODLer SHOUYIGENGHAO，JISHIJINCHANGDEZHIYOUTAOLIJIAOYI。

ZHEISHIYOUYUYIZHONGCHENGWEI“BODONGXINGSHOUYI”DEXIANXIANGZAOCHENGDE：ZAIMOUXIETIAOJIANXIA，TONGGUOZHOUQIXINGDIDUILIANGZHONGZICHANJINXINGZAIPINGHENG，TAMENDEBIAOXIANYOUKENENGCHAOGUORENHEJINGTAITOUZIZUHE。ZAIZHEIZHONGQINGKUANGXIA，“ZAIPINGHENG”SHIZHITONGGUOJIAOYISHIMEIXIANGZICHANZHONGCHIYOUDEBILIFANHUIDAOGUDINGDE 50/50。

YINCI，DANGTAMENBEITAOLISHI，LP HUIXIANGSHICHANGZHIFUYIBIFEIYONG，WEITAMENZHONGXINPINGHENGTOUZIZUHE。ZAIZHEIGETESHUDESHUZISHEZHIZHONG，ZHEIZHONGZAIPINGHENGSHIYOUYIDE，KEYIXIWANGJINKENENGDUODIZHEIYANGZUO。ZHEIYIWEIZHE LP YINGJIANGQIFEIYONG（JUEDINGFASHENGZAIPINGHENGDEJIAGECHANGKOU）SHEZHIWEIJINKENENGDIERBUWEILING。

ZHEIDUIYU Uniswap LAISHUOSHIGEHAOXIAOXI，YINWEIZHEIYIWEIZHEJISHIZAITAOLIJIAOYIZHANZHUDAODEQINGKUANGXIA，DIFEIYONGRENGRANSHIYOUYIYIDE，ZHEISHI Uniswap ZAILIANSHANGDINGDANBUDUANZENGJIABINGKAISHITIGONGGENGXIAODEJIACHASHIBAOCHIJINGZHENGLI。

YEJIUSHISHUO，ZHIDEQIANGDIAODESHI，ZHEIXIEJIEGUOSHIYONGYUFEICHANGTESHUDECHENGSHIHUASHUZISHEZHI，QIZHONGSHEJIDEJIASHEYU Black-Scholes QIQUANDINGJIAMOXINGDEJIASHEFEICHANGXIANGSI。

2.1 比较标准

WOMENTONGGUOBIJIAOBUTONGCELVEDE“JIANJINCAIFUZENGZHANGLV”LAIPINGGUTAMEN，ZHEIXIE“JIANJINCAIFUZENGZHANGLV”HENGLIANGLETAMENZAIHENZHANGYIDUANSHIJIANNEIZENGZHI（HUOBIANZHI）DESUDU。

WOMENJIANGSUOYOUCELVEYU“FEIZAIPINGHENGTOUZIZUHE”JINXINGBIJIAO，“FEIZAIPINGHENGTOUZIZUHE”YIBANSHIXIANJINXINGSHI，YIBANSHICHIYOUFENGXIANZICHANXINGSHI，BINGBAOCHIBUBIAN。ZHEIYIWEIZHE，ZAIZUIHUAIDEQINGKUANGXIA，DANGFENGXIANZICHANSANGSHIQIQUANBUJIAZHISHI，“FEIZAIPINGHENGZICHANZUHE”JIANGJIHUQUANBUYOUXIANJINZUCHENG，CONGZHANGYUANLAIKANQIZENGZHANGLVWEILING。LINGYIFANGMIAN，RUGUOFENGXIANZICHANCHENGZHISHUZENGZHANG，TAJIANGHENKUAIZAI“FEIZAIPINGHENGTOUZIZUHE”ZHONGZHANJUZHUDAODIWEI，YINCIQIZENGZHANGLVYUFENGXIANZICHANXIANGTONG。

ZHIDEZHUYIDESHI，LIANGZHONGZICHANKEYIGONGXIANGXIANGTONGDE“JIANJINCAIFUZENGZHANGLV”，DANBIAOXIANDECHAYIYEHENDA。LIRU，RUGUOFENGXIANZICHANDEZENGZHANGLVWEILING，NEIMEXIANGYOULINGSHOUXUFEIDE Uniswap JIAZHIJIANGSHIZHONGDIYU“FEIZAIPINGHENGTOUZIZUHE”，DANYOUYUYUQILIANGZHEDOUBUHUISUIZHESHIJIANFUHEZENGZHANGHUOKUISUN，LIANGZHEDECAIFUZENGZHANGLVDOUJIANGWEILING。

2.2 波动阻力

BODONGZULIDUIYU 50％SUNSHI / 75％SHOUYIDEZUOYONGGUOCHENG

YAOLIJIEZHEIXIEJIEGUO，SHOUXIANYAOLIJIEBODONGZULIDEGAINIAN。JIASHEMEINIANWOMENDEFENGXIANZICHANJIAGEYAOMEXIADIE 75% YAOMESHANGZHANG 50%，LIANGZHEFASHENGDEGAILVXIANGDENG。

ZAIRENHETEDINGNIANFEN，RUGUOWOMENTOUZI $100，“QIWANGZHI”SHI 50/2+175/2=$112.5。RUGUOZHISHIGOUMAIBINGCHIYOU，TOUZIZUHEYUQIJIANGMEINIANZENGJIA 12.5％—ZHEISIHUSHIYIBIBUCUODEJIAOYI。

BUXINGDESHI，ZAIXIANSHISHIJIEZHONG，WOMENDELIRUNQISHIWUFASHIXIAN。RUGUOWOMENGOUMAIBINGCHIYOUCIZUHE，ZUIZHONGJIANGSHIQUYIQIE。ZHEISHIYINWEI，SUIZHESHIJIANDELIUSHI，CAIFUZENGJIAJIANGDAILAIJUDADESUNSHI。

RUGUODIYINIANSUNSHI 50％ ，DIERNIANZENGZHI 75％ ，DIERNIANQIMOYUEJIANGZHIYOU 50％∗175％=87.5％。TONGYANG，RUGUODIYINIANSHOUYI 75%，DIERNIANKUISUN 50%，DIERNIANQIMOYUEYIJIUSHI 175％∗50％=87.5％。SUIZHESHIJIANTUIYI，DASHUDINGLVXIADENEIBUSHOUYILVJIANGSHINIANHUA -12.5％，JIANGBUKEBIMIANDIPOCHAN。

2.3 怎么回事儿？

NIKENENGHUIJUEDESHANGMIANDEJIELUNHENQIGUAISHENZHISHICUOWUDE。

SHIJISHANG，QIWANGZHISHIYIGELILUNLIANG，YONGYUHENGLIANGWOMENZAI“TONGSHI”FUZHIJIDINGDE“DUBO”XINGWEIHUIFASHENGSHENMEQINGKUANG。DANQISHI，MEICI“DUBO”SHIYICIJINXINGDE，JIEGUOHUISUISHIJIANTUIYIERXINGCHENG。

DAIRUSHUZI，DANGWOMENANZHAO“-50％/+75％”DEYINGLVYIBIANYOUYIBIANDIDUBO，MEICIDOUJIANGZIJINZAITOUZI，QIWANGZHIJIUHUIDAFUZENGZHANG，ZHEIZHUYAOSHIYINWEIZHIYOUHENSHAOJITIAOLUJINGDOUNENGWANQUANZHENGQUE，CONGERDAILAITIANWENSHUZIBANDEHUIBAO。DANSUIZHESHIJIANDETUIYI，ZHEIXIELUJINGZAISUOYOUKENENGLUJINGZHONGSUOZHANDEBILIYUELAIYUEXIAO，ERWOMENSHIJIKANDAOQIZHONGYITIAOLUJINGSHIXIANDEJILVYESUOXIAODAOLING。

2.4 再平衡的价值

MIANDUIBODONGDEYINGXIANG，JISHIQIWANGZHIKENENGSHIZHENGDETOUZIJUECE，YEYOUBIYAOBAOLIUBUFENZIJIN。ZHEIYANG，DANGCHUXIANWENTISHI，KEYIJIANSHAOSUNSHI，CONGZHANGYUANLAIKANHUIDAILAIFUHESHOUYI。

DANGJIAGESHANGZHANGSHI，PINGCANGBUFENTOUCUNYISUODINGLIRUN，YIFANGJIAGEZAICIXIADIE。DANGJIAGEXIADIESHI，YOUSHIYOUBIYAODIJIAMAIRUHUODEYUQIDEWEILAIHUIBAO。

ZAIMOUXIEQINGKUANGXIA，ZUIJIACELVESHIBUDUANDIAOZHENGTOUZIZUHE，YISHIJIANGGUDINGBILIDECAIFUTOUZIDAOMEIGETOUCUNSHANG，LIRUYIBANXIANJIN，YIBANFENGXIANZICHAN。DANZHEIBINGBUZONGSHIZUIJIADEPINGHENG，YIBANLAISHUO，NIXIWANGTOUZIZUHEZHONGDEFENGXIANZICHANYUEDUO，QIHUIBAOLVXIANGDUIYUQIBODONGXINGYUEGAO。

ZHONGXINPINGHENGZHANGQICAIFUZENGZHANGDEHAOCHUKENENGSHIJUDADE，BINGQIEKENENGYIWEIZHEYINGLIYUPOCHANZHIJIANDEQUBIE。JISHIMEIBIZAIPINGHENGJIAOYIDEJIAGEDOUBULI，BINGZAOCHENGSHUNSHISUNSHI，JIEGUOYESHIRUCI。

2.5 炼金术

FEIYONGCONG 0% QIDEZICHANZENGZHANGLV

ZAISHANGMIANDESHEDINGZHONG，YIZUIXIAODECHENGBENGENGPINFANDEJINXINGZAIPINGHENG，JIANGDUI LP YOUYI。YINCIXUYAOJIANGFEIYONGSHEZHIWEI >0%，YIJIANGDIJIAGEBODONGLVJIUKEYICHUFAZAIPINGHENG。DANSHIDANGFEIYONGQIAHAO =0% SHI，ZAIPINGHENGDESUOYOUHAOCHUJIUHUIXIAOSHI，BINGQIEDAGAILV，LP YAOBICHIYOUFEIZAIPINGHENGZUHESHIDESHOUYIGENGCHA。

Uniswap SHIYONG“CHANGSHUCHENGJI”BUBIAN，ZHEIYIWEIZHEZAIMEIYOUFEIYONGDEQINGKUANGXIA，MEIBIJIAOYIBIXUBAOCHICHUBEIJINYUEDECHENGJIBUBIAN。BENWENBIAOSHIWEI Rα Rβ=C ，JINGUANYIJINGSHUXI Uniswap DEDUZHEKENENGGENGXIGUANYU x*y=k。

DANSHI，SHISHIZHENGMINGZHEIGE C BIXUSHISHULIANGZENGJIADE，CAINENGSHIZAIPINGHENGWEIWOMENTIGONGCAIFUZENGZHANG。ZAIMIANFEIDEQINGKUANGXIA， C HUIBAOCHIBUBIAN，JIUMEIYOUCAIFUZENGZHANGDEYINQING。

ZAI Uniswap HUOQIANWENDESHEZHIZHONGSHISHIDEFEI 0% DEFEIYONG，KEQUEBAO C MEIBIJIAOYIDOUZENGJIA。C SUISHIJIANTUIYIZENGJIA，YIWEIZHECHUBEIJINYUEBUJINZAIZENGZHANG，ERQIEHAIZAIBAOCHIZHEPINGHENG，CONGERTIGONGLESHOUYI。

3 数学

ZONGSHANGSUOSHU，XIANZAIKEYIZHUNQUEDIHUIDA Charlie Noyes TICHUDEWENTI。ZHONGFUSHUOMINGYIXIA，TAMENGUANZHUDESHI Uniswap YILEIDE AMM DECAIFUZENGZHANGLV，ZHEIZHONG AMM SHOUQU 1−γ BAIFENBIDEFEIYONG，ZAIXIANJINHEYIZHONGZICHANZHIJIANXINGCHENGSHICHANG，ERZHEIZHONGZICHANDEJIAGEYIJIHEBULANGYUNDONGDEXINGSHIBIANDONG，DAIYOUCANSHU μ (PIANYI) HE σ (BODONGLV).。

3.1 LP 资产的增长率

3.2 最优费用与超额收益

当且仅当μ>0 和
时，成为 LP 比持有一半现金和一半代币的非再平衡投资组合有更多收益。

ZAIZHEIZHONGQINGKUANGXIA，LP YINGJIANGTAMENDEFEIYONGSHEZHIWEIJINKENENGDIDEZHIERBUSHI 0%，TAMENDEZICHANZENGZHANGLVJIANGYUEWEI μ/2 - σ²/8。

3.3 解释

YOUYU“JIHEBULANGYUNDONG”MONIFUHEZENGZHANG，YINCITAMENYEHUISHOUDAOBODONGZULIDEYINGXIANG，ZAISHUXUESHANGKEYIJIANG GBM DEZICHANZENGZHANGLVBIAOSHIWEI -σ²/2：

G=μ-σ²/2

这意味着在范围
内，Uniswap 上的 LP 对应于资产增长率为 -μ

ZHEIGEJIEGUOXIANSHI，ZAIPINGHENGNENGGOUDIXIAOBUFENJICHUZICHANBODONGXINGDEYINGXIANG。

LINGYIFANGMIAN，RUGUOMEIYOUBODONGXINGYINGXIANGDEPINGJUNSHOUYIWEIZHENG：

• 如果波动性带来的损失超过其平均回报的 200%，Uniswap 的再平衡将不能消除足够的波动性影响，这种情况最好还是持有现金。
• 如果波动性带来的损失低于其平均回报的 66％，那么通过 Uniswap 进行再平衡来抵消波动性影响的代价将是不值得的，此时最好只是持有资产。
• 在此范围内，成为 Uniswap 的 LP 可以创造收益。
• 免责声明

  发文时比特币价格：$16778

  当前比特币价格： $18,476.11

  当前比特币涨幅： 3.40%

  免责声明：

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