A Quantum Online Portfolio Optimization Algorithm
- URL: http://arxiv.org/abs/2208.14749v1
- Date: Wed, 31 Aug 2022 09:51:32 GMT
- Title: A Quantum Online Portfolio Optimization Algorithm
- Authors: Debbie Lim and Patrick Rebentrost
- Abstract summary: We give a sampling version of an existing classical online portfolio optimization algorithm by Helmbold et al., for which we in turn develop a quantum version.
The quantum advantage is achieved by using techniques such as quantum state preparation and inner product estimation.
Our quantum algorithm provides a quadratic speedup in the time complexity, in terms of $n$, where $n$ is the number of assets in the portfolio.
- Score: 0.0
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: 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. Portfolio optimization also provides a rich area to study the
application of quantum computers to obtain advantages over classical computers.
In this work, we give a sampling version of an existing classical online
portfolio optimization algorithm by Helmbold et al., for which we in turn
develop a quantum version. The quantum advantage is achieved by using
techniques such as quantum state preparation and inner product estimation. Our
quantum algorithm provides a quadratic speedup in the time complexity, in terms
of $n$, where $n$ is the number of assets in the portfolio. The transaction
cost of both of our classical and quantum algorithms is independent of $n$
which is especially useful for practical applications with a large number of
assets.
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