Hybrid Quantum Investment Optimization with Minimal Holding Period

• URL: http://arxiv.org/abs/2012.01091v2
• Date: Mon, 6 Dec 2021 12:13:57 GMT
• Title: Hybrid Quantum Investment Optimization with Minimal Holding Period
• Authors: Samuel Mugel, Mario Abad, Miguel Bermejo, Javier Sanchez, Enrique Lizaso, Roman Orus
• Abstract summary: We propose a hybrid quantum-classical algorithm for dynamic portfolio optimization with minimal holding period. We found the optimal investment trajectory in a dataset of 50 assets spanning a one year trading period using the D-Wave 2000Q processor.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper we propose a hybrid quantum-classical algorithm for dynamic portfolio optimization with minimal holding period. Our algorithm is based on sampling the near-optimal portfolios at each trading step using a quantum processor, and efficiently post-selecting to meet the minimal holding constraint. We found the optimal investment trajectory in a dataset of 50 assets spanning a one year trading period using the D-Wave 2000Q processor. Our method is remarkably efficient, and produces results much closer to the efficient frontier than typical portfolios. Moreover, we also show how our approach can easily produce trajectories adapted to different risk profiles, as typically offered in financial products. Our results are a clear example of how the combination of quantum and classical techniques can offer novel valuable tools to deal with real-life problems, beyond simple toy models, in current NISQ quantum processors.

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