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Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer
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We investigate the use of quantum computers for building a portfolio out of a universe of U.S. listed, liquid equities that contains an optimal set of stocks. Starting from historical market data, we look at various problem formulations on the D-Wave Systems Inc. D-Wave 2000Q(TM) System (hereafter called DWave) to find the optimal risk vs return portfolio; an optimized portfolio based on the Markowitz formulation and the Sharpe ratio, a simplified Chicago Quantum Ratio (CQR), then a new Chicago Quantum Net Score (CQNS). We approach this first classically, then by our new method on DWave. Our results show that practitioners can use a DWave to select attractive portfolios out of 40 U.S. liquid equities.
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Cited by 1 Pith paper
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Benchmarking Quantum Solvers in Noisy Digital Simulations for Financial Portfolio Optimization
On small synthetic portfolio problems, noiseless QAOA fits the known ground-state energy well, but noisy QAOA fails while QITE, pretrained on noiseless simulators, still identifies the optimal portfolio on IBM hardware.
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