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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

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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.
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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