Related papers: Financial Index Tracking via Quantum Computing wit…
One of the problems in quantitative finance that has received the most attention is the portfolio optimization problem. Regarding its solving, this problem has been approached using different techniques, with those related to quantum…
We investigate a hybrid quantum-classical solution method to the mean-variance portfolio optimization problems. Starting from real financial data statistics and following the principles of the Modern Portfolio Theory, we generate…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
Classical Monte Carlo algorithms can theoretically be sped up on a quantum computer by employing amplitude estimation (AE). To realize this, an efficient implementation of state-dependent functions is crucial. We develop a straightforward…
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success…
This paper focuses on the application of quantitative portfolio management by using integer programming and clustering techniques. Investors seek to gain the highest profits and lowest risk in capital markets. A data-oriented analysis of US…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
We consider general nonlinear programming problems with cardinality constraints. By relaxing the binary variables which appear in the natural mixed-integer programming formulation, we obtain an almost equivalent nonlinear programming…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
Portfolio optimization plays a central role in finance to obtain optimal portfolio allocations that aim to achieve certain investment goals. Over the years, many works have investigated different variants of portfolio optimization.…
Sparse index tracking is a prominent passive portfolio management strategy that constructs a sparse portfolio to track a financial index. A sparse portfolio is preferable to a full portfolio in terms of reducing transaction costs and…
Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse portfolio selection extends this by imposing a cardinality…
We propose and compare Constraint Programming (CP) and Quantum Annealing (QA) approaches for rolling stock assignment optimisation considering necessary maintenance tasks. In the CP approach, we model the problem with an Alldifferent…
In this paper we address cardinality estimation problem which is an important subproblem in query optimization. Query optimization is a part of every relational DBMS responsible for finding the best way of the execution for the given query.…
We present a classical algorithm to find approximate solutions to instances of quadratic unconstrained binary optimisation. The algorithm can be seen as an analogue of quantum annealing under the restriction of a product state space, where…
Portfolio optimization under strict cardinality constraints is a combinatorial challenge that defies classical convex optimization techniques, particularly in the context of "Direct Indexing" and ESG-constrained mandates. In the Noisy…
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total…
This research highlights the potential of quantum annealing in tackling large-scale optimization problems within the airline industry,demonstrating its efficiency for certain problem sizes while also acknowledging its current limitations.…
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…