We investigate the use of quantum computers for building a portfolio out of a universe of U.S. listed, liquid equities that contains an optimal set of stocks. Starting from historical market data, we look at various problem formulations on the D-Wave Systems Inc. D-Wave 2000Q(TM) System (hereafter called DWave) to find the optimal risk vs return portfolio; an optimized portfolio based on the Markowitz formulation and the Sharpe ratio, a simplified Chicago Quantum Ratio (CQR), then a new Chicago Quantum Net Score (CQNS). We approach this first classically, then by our new method on DWave. Our results show that practitioners can use a DWave to select attractive portfolios out of 40 U.S. liquid equities.
@article{arxiv.2007.01430,
title = {Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer},
author = {Jeffrey Cohen and Alex Khan and Clark Alexander},
journal= {arXiv preprint arXiv:2007.01430},
year = {2020}
}