Quantum walk-based portfolio optimisation
This paper proposes a highly efficient quantum algorithm for portfolio optimisation targeted at near-term noisy intermediate-scale quantum computers. Recent work by Hodson et al. (2019) explored potential application of hybrid quantum-classical algorithms to the problem of financial portfolio rebala...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Verein zur Förderung des Open Access Publizierens in den Quantenwissenschaften
2021-07-01
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| Series: | Quantum |
| Online Access: | https://quantum-journal.org/papers/q-2021-07-28-513/pdf/ |
| _version_ | 1818456258855829504 |
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| author | N. Slate E. Matwiejew S. Marsh J. B. Wang |
| author_facet | N. Slate E. Matwiejew S. Marsh J. B. Wang |
| author_sort | N. Slate |
| collection | DOAJ |
| description | This paper proposes a highly efficient quantum algorithm for portfolio optimisation targeted at near-term noisy intermediate-scale quantum computers. Recent work by Hodson et al. (2019) explored potential application of hybrid quantum-classical algorithms to the problem of financial portfolio rebalancing. In particular, they deal with the portfolio optimisation problem using the Quantum Approximate Optimisation Algorithm and the Quantum Alternating Operator Ansatz. In this paper, we demonstrate substantially better performance using a newly developed Quantum Walk Optimisation Algorithm in finding high-quality solutions to the portfolio optimisation problem. |
| first_indexed | 2024-12-14T22:23:49Z |
| format | Article |
| id | doaj.art-05d190a4487342b1802e3cb3a139f2a2 |
| institution | Directory Open Access Journal |
| issn | 2521-327X |
| language | English |
| last_indexed | 2024-12-14T22:23:49Z |
| publishDate | 2021-07-01 |
| publisher | Verein zur Förderung des Open Access Publizierens in den Quantenwissenschaften |
| record_format | Article |
| series | Quantum |
| spelling | doaj.art-05d190a4487342b1802e3cb3a139f2a22022-12-21T22:45:25ZengVerein zur Förderung des Open Access Publizierens in den QuantenwissenschaftenQuantum2521-327X2021-07-01551310.22331/q-2021-07-28-51310.22331/q-2021-07-28-513Quantum walk-based portfolio optimisationN. SlateE. MatwiejewS. MarshJ. B. WangThis paper proposes a highly efficient quantum algorithm for portfolio optimisation targeted at near-term noisy intermediate-scale quantum computers. Recent work by Hodson et al. (2019) explored potential application of hybrid quantum-classical algorithms to the problem of financial portfolio rebalancing. In particular, they deal with the portfolio optimisation problem using the Quantum Approximate Optimisation Algorithm and the Quantum Alternating Operator Ansatz. In this paper, we demonstrate substantially better performance using a newly developed Quantum Walk Optimisation Algorithm in finding high-quality solutions to the portfolio optimisation problem.https://quantum-journal.org/papers/q-2021-07-28-513/pdf/ |
| spellingShingle | N. Slate E. Matwiejew S. Marsh J. B. Wang Quantum walk-based portfolio optimisation Quantum |
| title | Quantum walk-based portfolio optimisation |
| title_full | Quantum walk-based portfolio optimisation |
| title_fullStr | Quantum walk-based portfolio optimisation |
| title_full_unstemmed | Quantum walk-based portfolio optimisation |
| title_short | Quantum walk-based portfolio optimisation |
| title_sort | quantum walk based portfolio optimisation |
| url | https://quantum-journal.org/papers/q-2021-07-28-513/pdf/ |
| work_keys_str_mv | AT nslate quantumwalkbasedportfoliooptimisation AT ematwiejew quantumwalkbasedportfoliooptimisation AT smarsh quantumwalkbasedportfoliooptimisation AT jbwang quantumwalkbasedportfoliooptimisation |