分析AI基金、代币与绿色市场间风险传导，提出有效投资组合策略
Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
- 用R2分解法量化三类资产间风险传播路径
- AI基金和清洁能源是风险输出方，代币与绿色债券多为接收方
- 最小相关性组合最有效降低代币投资风险，适合稳健型投资者
本文采用R2分解方法研究人工智能ETF、人工智能代币与绿色市场之间的风险溢出效应。结果表明：整体传导连通性指数（TCI）与同期TCI高度一致，而滞后TCI显著偏低；人工智能ETF和清洁能能源充当风险传递者，人工智能代币与绿色债券则为主要风险接收者；相比人工智能ETF与绿色资产，人工智能代币难以对冲且对冲能力有限。然而，多变量投资组合能有效降低代币投资风险，其中最小相关性组合的表现优于最小方差组合与最小连通性组合。
原文摘要 · Abstract (English)
This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely aligns with the contemporaneous TCI, while the lagged TCI is significantly lower. Second, AI ETFs and clean energy act as risk transmitters, whereas AI tokens and green bond function as risk receivers. Third, AI tokens are difficult to hedge and provide limited hedging ability compared to AI ETFs and green assets. However, multivariate portfolios effectively reduce AI tokens investment risk. Among them, the minimum correlation portfolio outperforms the minimum variance and minimum connectedness portfolios.
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