1. Quantum-Inspired Portfolio Optimization In The QUBO Framework
- Author
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Lu, Ying-Chang, Chang, Yen-Jui, Yu, Lien-Po, and Fu, Chao-Ming
- Subjects
Quantitative Finance - Portfolio Management ,Quantum Physics - Abstract
A quantum-inspired optimization approach is proposed to study the portfolio optimization aimed at maximizing the returns of investment portfolio while minimizing its risk by diversifying investment across different asset classes. By integrating conventional approaches with quantum-inspired methods and simulation techniques for penalty coefficient estimation, this approach enables faster solutions to portfolio optimization. The proposed two-stage search strategy further enhances the method by starting with a broad search to quickly identify potential solutions and then refining these results to increase accuracy. The effectiveness of our approach is validated through experiments using a real-world dataset of quarterly financial data spanning ten years. Moreover, the effectiveness of various portfolio strategies under volatile market conditions is also investigated with emphasis on the robustness and predictive capacity of our methodology. This research contributes to the growing body of literature on quantum-inspired techniques in finance, demonstrating its potential as a powerful tool for asset allocation and portfolio management.
- Published
- 2024