Hybrid quantum investment optimization with minimal holding period

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 hol...

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Autores principales:	Samuel Mugel, Mario Abad, Miguel Bermejo, Javier Sánchez, Enrique Lizaso, Román Orús
Formato:	article
Lenguaje:	EN
Publicado:	Nature Portfolio 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/dd7bef03db5b4ec392adf0627cfeb5f1
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spelling	oai:doaj.org-article:dd7bef03db5b4ec392adf0627cfeb5f12021-12-02T17:37:29ZHybrid quantum investment optimization with minimal holding period10.1038/s41598-021-98297-x2045-2322https://doaj.org/article/dd7bef03db5b4ec392adf0627cfeb5f12021-10-01T00:00:00Zhttps://doi.org/10.1038/s41598-021-98297-xhttps://doaj.org/toc/2045-2322Abstract 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 1 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.Samuel MugelMario AbadMiguel BermejoJavier SánchezEnrique LizasoRomán OrúsNature PortfolioarticleMedicineRScienceQENScientific Reports, Vol 11, Iss 1, Pp 1-6 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Samuel Mugel Mario Abad Miguel Bermejo Javier Sánchez Enrique Lizaso Román Orús Hybrid quantum investment optimization with minimal holding period
description	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 1 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.
format	article
author	Samuel Mugel Mario Abad Miguel Bermejo Javier Sánchez Enrique Lizaso Román Orús
author_facet	Samuel Mugel Mario Abad Miguel Bermejo Javier Sánchez Enrique Lizaso Román Orús
author_sort	Samuel Mugel
title	Hybrid quantum investment optimization with minimal holding period
title_short	Hybrid quantum investment optimization with minimal holding period
title_full	Hybrid quantum investment optimization with minimal holding period
title_fullStr	Hybrid quantum investment optimization with minimal holding period
title_full_unstemmed	Hybrid quantum investment optimization with minimal holding period
title_sort	hybrid quantum investment optimization with minimal holding period
publisher	Nature Portfolio
publishDate	2021
url	https://doaj.org/article/dd7bef03db5b4ec392adf0627cfeb5f1
work_keys_str_mv	AT samuelmugel hybridquantuminvestmentoptimizationwithminimalholdingperiod AT marioabad hybridquantuminvestmentoptimizationwithminimalholdingperiod AT miguelbermejo hybridquantuminvestmentoptimizationwithminimalholdingperiod AT javiersanchez hybridquantuminvestmentoptimizationwithminimalholdingperiod AT enriquelizaso hybridquantuminvestmentoptimizationwithminimalholdingperiod AT romanorus hybridquantuminvestmentoptimizationwithminimalholdingperiod
_version_	1718379912558018560

Hybrid quantum investment optimization with minimal holding period

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