Related papers: Financial Index Tracking via Quantum Computing wit…
Recent advances in quantum computers are demonstrating the ability to solve problems at a scale beyond brute force classical simulation. As such, a widespread interest in quantum algorithms has developed in many areas, with optimization…
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance problem. However in practice, a tracking…
Metaheuristic algorithms for cardinality-constrained portfolio optimization require repair operators to map infeasible candidates onto the feasible region. Standard Euclidean projection treats assets as independent and can ignore the…
Portfolio optimization under cardinality constraints transforms the classical Markowitz mean-variance problem from a convex quadratic problem into an NP-hard combinatorial optimization problem. This paper introduces a novel approach using…
We consider digitized-counterdiabatic quantum computing as an advanced paradigm to approach quantum advantage for industrial applications in the NISQ era. We apply this concept to investigate a discrete mean-variance portfolio optimization…
The standard approach to encoding constraints in quantum optimization is the quadratic penalty method. Quadratic penalties introduce additional couplings and energy scales, which can be detrimental to the performance of a quantum optimizer.…
A memory-efficient framework is described for the cardinality-constrained structured data-fitting problem. Dual-based atom-identification rules are proposed that reveal the structure of the optimal primal solution from near-optimal dual…
Maximum Satisfiability (MaxSAT) is an optimization variant of the Boolean Satisfiability (SAT) problem. In general, MaxSAT algorithms perform a succession of SAT solver calls to reach an optimum solution making extensive use of cardinality…
Quantum Approximate Optimization Algorithms (QAOA) have demonstrated a strong potential in addressing graph-based optimization problems. However, the execution of large-scale quantum circuits remains constrained by the limitations of…
Direct quantum-annealer portfolio optimization is commonly formulated as a penalty-encoded QUBO and submitted to D-Wave hardware. We show that this standard formulation fails on current devices and identify the structural reason: the…
The first quantum computers are expected to perform well at quadratic optimisation problems. In this paper a quadratic problem in finance is taken, the Portfolio Optimisation problem. Here, a set of assets is chosen for investment, such…
We explore the applicability of quantum annealing to the approximation task of curve fitting. To this end, we consider a function that shall approximate a given set of data points and is written as a finite linear combination of…
Traditionally, business process management focuses on structured, imperative processes. With the increasing importance of knowledge work, semi-structured processes are entering center stage. Existing approaches to modeling…
This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by Brandt and Santa-Clara (2006) and consists of two stages.…
The quest for real-time dynamic optimization solutions in the process industry represents a formidable computational challenge, particularly within the realm of applications like model-predictive control, where rapid and reliable…
The efficient and effective construction of portfolios that adhere to real-world constraints is a challenging optimization task in finance. We investigate a concrete representation of the problem with a focus on design proposals of an…
This tutorial paper introduces quantum approaches to Monte Carlo computation with applications in computational finance. We outline the basics of quantum computing using Grover's algorithm for unstructured search to build intuition. We then…
The passive management approach offers conservative investors a way to reduce risk concerning the market. This investment strategy aims at replicating a specific index, such as the NASDAQ Composite or the FTSE100 index. The problem is that…
Quantum annealers aim at solving non-convex optimization problems by exploiting cooperative tunneling effects to escape local minima. The underlying idea consists in designing a classical energy function whose ground states are the sought…
We propose a totally corrective boosting algorithm with explicit cardinality regularization. The resulting combinatorial optimization problems are not known to be efficiently solvable with existing classical methods, but emerging quantum…