Skip to main content

2021 | OriginalPaper | Buchkapitel

Portfolio Optimisation Using the D-Wave Quantum Annealer

verfasst von : Frank Phillipson, Harshil Singh Bhatia

Erschienen in: Computational Science – ICCS 2021

Verlag: Springer International Publishing

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

The first quantum computers are expected to perform well on 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 that the total risk is minimised, a minimum return is realised and a budget constraint is met. This problem is solved for several instances in two main indices, the Nikkei225 and the S&P500 index, using the state-of-the-art implementation of D-Wave’s quantum annealer and its hybrid solvers. The results are benchmarked against conventional, state-of-the-art, commercially available tooling. Results show that for problems of the size of the used instances, the D-Wave solution, in its current, still limited size, comes already close to the performance of commercial solvers.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Literatur
1.
Zurück zum Zitat Benoist, T., Estellon, B., Gardi, F., Megel, R., Nouioua, K.: Localsolver 1.x: a black-box local-search solver for 0–1 programming. 4OR Q. J. Belgian 9, 299–316 (2011). French and Italian Operations Research Societies Benoist, T., Estellon, B., Gardi, F., Megel, R., Nouioua, K.: Localsolver 1.x: a black-box local-search solver for 0–1 programming. 4OR Q. J. Belgian 9, 299–316 (2011). French and Italian Operations Research Societies
2.
Zurück zum Zitat Calaza, C.D.G., Willsch, D., Michielsen, K.: Garden optimization problems for benchmarking quantum annealers (2021) Calaza, C.D.G., Willsch, D., Michielsen, K.: Garden optimization problems for benchmarking quantum annealers (2021)
3.
Zurück zum Zitat Coffrin, C.J.: Challenges with chains: testing the limits of a d-wave quantum annealer for discrete optimization. Technical report, Los Alamos National Lab. (LANL), Los Alamos, NM (United States) (2019) Coffrin, C.J.: Challenges with chains: testing the limits of a d-wave quantum annealer for discrete optimization. Technical report, Los Alamos National Lab. (LANL), Los Alamos, NM (United States) (2019)
4.
Zurück zum Zitat Cohen, J., Khan, A., Alexander, C.: Portfolio optimization of 40 stocks using the dwave quantum annealer. arXiv preprint arXiv:2007.01430 (2020) Cohen, J., Khan, A., Alexander, C.: Portfolio optimization of 40 stocks using the dwave quantum annealer. arXiv preprint arXiv:​2007.​01430 (2020)
5.
Zurück zum Zitat Cohen, J., Khan, A., Alexander, C.: Portfolio optimization of 60 stocks using classical and quantum algorithms. arXiv preprint arXiv:2007.08669 (2020) Cohen, J., Khan, A., Alexander, C.: Portfolio optimization of 60 stocks using classical and quantum algorithms. arXiv preprint arXiv:​2007.​08669 (2020)
6.
Zurück zum Zitat Del Pia, A., Dey, S.S., Molinaro, M.: Mixed-integer quadratic programming is in NP. Math. Program. 162(1–2), 225–240 (2017)MathSciNetCrossRef Del Pia, A., Dey, S.S., Molinaro, M.: Mixed-integer quadratic programming is in NP. Math. Program. 162(1–2), 225–240 (2017)MathSciNetCrossRef
7.
Zurück zum Zitat Domino, K., Koniorczyk, M., Krawiec, K., Jałowiecki, K., Gardas, B.: Quantum computing approach to railway dispatching and conflict management optimization on single-track railway lines (2021) Domino, K., Koniorczyk, M., Krawiec, K., Jałowiecki, K., Gardas, B.: Quantum computing approach to railway dispatching and conflict management optimization on single-track railway lines (2021)
8.
Zurück zum Zitat Elsokkary, N., Khan, F.S., La Torre, D., Humble, T.S., Gottlieb, J.: Financial portfolio management using d-wave quantum optimizer: the case of Abu Dhabi securities exchange. Technical report, Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States) (2017) Elsokkary, N., Khan, F.S., La Torre, D., Humble, T.S., Gottlieb, J.: Financial portfolio management using d-wave quantum optimizer: the case of Abu Dhabi securities exchange. Technical report, Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States) (2017)
9.
Zurück zum Zitat Farhi, E., Harrow, A.W.: Quantum supremacy through the quantum approximate optimization algorithm. arXiv preprint arXiv:1602.07674 (2016) Farhi, E., Harrow, A.W.: Quantum supremacy through the quantum approximate optimization algorithm. arXiv preprint arXiv:​1602.​07674 (2016)
10.
Zurück zum Zitat Fulga, C., Stanojević, B.: Single period portfolio optimization with fuzzy transaction costs. In: 20th International Conference EURO Mini Conference on Continuous Optimization and Knowledge-Based Technologies, EurOPT 2008. Vilnius Gediminas Technical University (2008) Fulga, C., Stanojević, B.: Single period portfolio optimization with fuzzy transaction costs. In: 20th International Conference EURO Mini Conference on Continuous Optimization and Knowledge-Based Technologies, EurOPT 2008. Vilnius Gediminas Technical University (2008)
11.
12.
Zurück zum Zitat Garey, M.R., Johnson, D.S.: Computers and Intractability, vol. 174. Freeman San Francisco (1979) Garey, M.R., Johnson, D.S.: Computers and Intractability, vol. 174. Freeman San Francisco (1979)
13.
Zurück zum Zitat Gemeinhardt, F.G.: Quantum Computing: A Foresight on Applications, Impacts and Opportunities of Strategic Relevance. Ph.D. thesis, Universität Linz (2020) Gemeinhardt, F.G.: Quantum Computing: A Foresight on Applications, Impacts and Opportunities of Strategic Relevance. Ph.D. thesis, Universität Linz (2020)
14.
16.
Zurück zum Zitat Kerenidis, I., Prakash, A., Szilágyi, D.: Quantum algorithms for portfolio optimization. In: Proceedings of the 1st ACM Conference on Advances in Financial Technologies, pp. 147–155 (2019) Kerenidis, I., Prakash, A., Szilágyi, D.: Quantum algorithms for portfolio optimization. In: Proceedings of the 1st ACM Conference on Advances in Financial Technologies, pp. 147–155 (2019)
17.
Zurück zum Zitat Li, D., Sun, X., Gu, S., Gao, J., Liu, C.: Polynomially solvable cases of binary quadratic programs. In: Chinchuluun, A., Pardalos, P., Enkhbat, R., Tseveendorj, I. (eds) Optimization and Optimal Control. Springer Optimization and Its Applications, vol 39. Springer, New York (2010). https://doi.org/10.1007/978-0-387-89496-6_11 Li, D., Sun, X., Gu, S., Gao, J., Liu, C.: Polynomially solvable cases of binary quadratic programs. In: Chinchuluun, A., Pardalos, P., Enkhbat, R., Tseveendorj, I. (eds) Optimization and Optimal Control. Springer Optimization and Its Applications, vol 39. Springer, New York (2010). https://​doi.​org/​10.​1007/​978-0-387-89496-6_​11
18.
Zurück zum Zitat Liagkouras, K., Metaxiotis, K.: Multi-period mean-variance fuzzy portfolio optimization model with transaction costs. Eng. Appl. Artif. Intell. 67, 260–269 (2018)CrossRef Liagkouras, K., Metaxiotis, K.: Multi-period mean-variance fuzzy portfolio optimization model with transaction costs. Eng. Appl. Artif. Intell. 67, 260–269 (2018)CrossRef
19.
Zurück zum Zitat Lucas, A.: Ising formulations of many NP problems. Front. Phys. 2, 5 (2014)CrossRef Lucas, A.: Ising formulations of many NP problems. Front. Phys. 2, 5 (2014)CrossRef
20.
Zurück zum Zitat Markowitz, H.: Harry Markowitz: Selected Works, vol. 1. World Scientific (2009) Markowitz, H.: Harry Markowitz: Selected Works, vol. 1. World Scientific (2009)
21.
Zurück zum Zitat Marzec, M.: Portfolio optimization: applications in quantum computing. In: Handbook of High-Frequency Trading and Modeling in Finance, pp. 73–106 (2016) Marzec, M.: Portfolio optimization: applications in quantum computing. In: Handbook of High-Frequency Trading and Modeling in Finance, pp. 73–106 (2016)
22.
Zurück zum Zitat McGeoch, C.C.: Adiabatic Quantum Computation and Quantum Annealing: Theory and Practice. Synthesis Lectures on Quantum Computing, vol. 5, no. 2, pp. 1–93 (2014) McGeoch, C.C.: Adiabatic Quantum Computation and Quantum Annealing: Theory and Practice. Synthesis Lectures on Quantum Computing, vol. 5, no. 2, pp. 1–93 (2014)
23.
Zurück zum Zitat Möller, M., Vuik, C.: On the impact of quantum computing technology on future developments in high-performance scientific computing. Ethics Inf. Technol. 19(4), 253–269 (2017)CrossRef Möller, M., Vuik, C.: On the impact of quantum computing technology on future developments in high-performance scientific computing. Ethics Inf. Technol. 19(4), 253–269 (2017)CrossRef
24.
Zurück zum Zitat Neumann, N., Phillipson, F., Versluis, R.: Machine learning in the quantum era. Digitale Welt 3(2), 24–29 (2019)CrossRef Neumann, N., Phillipson, F., Versluis, R.: Machine learning in the quantum era. Digitale Welt 3(2), 24–29 (2019)CrossRef
25.
Zurück zum Zitat Orus, R., Mugel, S., Lizaso, E.: Quantum computing for finance: overview and prospects. Rev. Phys. 4, 100028 (2019)CrossRef Orus, R., Mugel, S., Lizaso, E.: Quantum computing for finance: overview and prospects. Rev. Phys. 4, 100028 (2019)CrossRef
26.
Zurück zum Zitat Pang, T., Hussain, A.: A stochastic portfolio optimization model with complete memory. Stoch. Anal. Appl. 35(4), 742–766 (2017)MathSciNetCrossRef Pang, T., Hussain, A.: A stochastic portfolio optimization model with complete memory. Stoch. Anal. Appl. 35(4), 742–766 (2017)MathSciNetCrossRef
27.
Zurück zum Zitat Pang, T., Varga, K.: Portfolio optimization for assets with stochastic yields and stochastic volatility. J. Optim. Theory Appl. 182(2), 691–729 (2019)MathSciNetCrossRef Pang, T., Varga, K.: Portfolio optimization for assets with stochastic yields and stochastic volatility. J. Optim. Theory Appl. 182(2), 691–729 (2019)MathSciNetCrossRef
28.
Zurück zum Zitat Piattini, M., et al.: The Talavera manifesto for quantum software engineering and programming. In: QANSWER, pp. 1–5 (2020) Piattini, M., et al.: The Talavera manifesto for quantum software engineering and programming. In: QANSWER, pp. 1–5 (2020)
29.
30.
Zurück zum Zitat Rebentrost, P., Lloyd, S.: Quantum computational finance: quantum algorithm for portfolio optimization. arXiv preprint arXiv:1811.03975 (2018) Rebentrost, P., Lloyd, S.: Quantum computational finance: quantum algorithm for portfolio optimization. arXiv preprint arXiv:​1811.​03975 (2018)
31.
32.
Zurück zum Zitat Ronagh, P., Woods, B., Iranmanesh, E.: Solving constrained quadratic binary problems via quantum adiabatic evolution. Quantum Inf. Comput. 16(11–12), 1029–1047 (2016)MathSciNet Ronagh, P., Woods, B., Iranmanesh, E.: Solving constrained quadratic binary problems via quantum adiabatic evolution. Quantum Inf. Comput. 16(11–12), 1029–1047 (2016)MathSciNet
33.
Zurück zum Zitat Skaf, J., Boyd, S.: Multi-period portfolio optimization with constraints and transaction costs. In: Working Manuscript. Citeseer (2009) Skaf, J., Boyd, S.: Multi-period portfolio optimization with constraints and transaction costs. In: Working Manuscript. Citeseer (2009)
34.
Zurück zum Zitat Venturelli, D., Kondratyev, A.: Reverse quantum annealing approach to portfolio optimization problems. Quantum Mach. Intell. 1(1–2), 17–30 (2019)CrossRef Venturelli, D., Kondratyev, A.: Reverse quantum annealing approach to portfolio optimization problems. Quantum Mach. Intell. 1(1–2), 17–30 (2019)CrossRef
35.
Zurück zum Zitat Xidonas, P., Mavrotas, G., Hassapis, C., Zopounidis, C.: Robust multiobjective portfolio optimization: a minimax regret approach. Eur. J. Oper. Res. 262(1), 299–305 (2017)MathSciNetCrossRef Xidonas, P., Mavrotas, G., Hassapis, C., Zopounidis, C.: Robust multiobjective portfolio optimization: a minimax regret approach. Eur. J. Oper. Res. 262(1), 299–305 (2017)MathSciNetCrossRef
36.
Zurück zum Zitat Zanjirdar, M.: Overview of portfolio optimization models. Adv. Math. Finan. Appl. 5(4), 1–16 (2020) Zanjirdar, M.: Overview of portfolio optimization models. Adv. Math. Finan. Appl. 5(4), 1–16 (2020)
Metadaten
Titel
Portfolio Optimisation Using the D-Wave Quantum Annealer
verfasst von
Frank Phillipson
Harshil Singh Bhatia
Copyright-Jahr
2021
DOI
https://doi.org/10.1007/978-3-030-77980-1_4