Hybrid Quantum Investment Optimization with Minimal Holding Period

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 cons...

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Bibliographic Details
Published in:arXiv.org 2021-12
Main Authors: Mugel, Samuel, Abad, Mario, Bermejo, Miguel, Sanchez, Javier, Lizaso, Enrique, Orus, Roman
Format: Article
Language:English
Subjects:
Algorithms
Investment
Microprocessors
Optimization
Risk assessment
Online Access:Get full text
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Summary: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 one 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.
ISSN:2331-8422
DOI:10.48550/arxiv.2012.01091