Related papers: Financial Index Tracking via Quantum Computing wit…
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brownian motion with zero drift driven by some unhedgeable risk.…
This paper makes the Millennium Prize problem P vs NP operational in quantitative finance by studying cardinality-constrained portfolio selection. Starting from the convex Markowitz mean-variance program with CAPM-based expected returns (Rf…
We present a software library for the commutation of Pauli operators through quantum Clifford circuits, which is called Pauli tracking. Tracking Pauli operators allows one to reduce the number of Pauli gates that must be executed on quantum…
Quantum computing holds the promise of substantially speeding up computationally expensive tasks, such as solving optimization problems over a large number of elements. In high-energy collider physics, quantum-assisted algorithms might…
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
Classical algorithms are often not effective for solving nonconvex optimization problems where local minima are separated by high barriers. In this paper, we explore possible quantum speedups for nonconvex optimization by leveraging the…
Modern database optimizer relies on cardinality estimator, whose accuracy directly affects the optimizer's ability to choose an optimal execution plan. Recent work on data-driven methods has leveraged probabilistic models to achieve higher…
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization…
We review here the recent success in quantum annealing, i.e., optimization of the cost or energy functions of complex systems utilizing quantum fluctuations. The concept is introduced in successive steps through the studies of mapping of…
We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model. We apply the duality methods developed in previous work to…
This work shows that minimizing the depth of a quantum circuit composed of commuting operations reduces to a vertex coloring problem on an appropriately constructed graph, where gates correspond to vertices and edges encode…
The simulation of quantum dynamics on a digital quantum computer with parameterized circuits has widespread applications in fundamental and applied physics and chemistry. In this context, using the hybrid quantum-classical algorithm,…
We propose a new way of building portfolios of cryptocurrencies that provide good diversification properties to investors. First, we seek to filter these digital assets by creating some clusters based on their path signature. The goal is to…
Rendering on conventional computers is capable of generating realistic imagery, but the computational complexity of these light transport algorithms is a limiting factor of image synthesis. Quantum computers have the potential to…
A central challenge of applying near-term quantum optimization algorithms to industrially relevant problems is the need to incorporate complex constraints. In general, such constraints cannot be easily encoded in the circuit, and the…
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are…