论文标题
使用D-Wave Quantum退火器优化投资组合
Portfolio Optimisation Using the D-Wave Quantum Annealer
论文作者
论文摘要
预计第一批量子计算机将在二次优化问题下表现良好。在本文中，财务中有一个二次问题，即投资组合优化问题。在这里，选择了一组资产进行投资，以便将总风险降至最低，实现最低收益并满足预算限制。使用D-Wave的Quantum Nealealer及其混合求解器的最新实现，在两个主要指数（Nikkei225）和S \＆P500索引中解决了此问题。结果是针对常规，最先进的市售工具的基准测试的。结果表明，对于已使用实例的大小问题，D-WAVE解决方案的当前（仍然有限的大小）已经接近商业求解器的性能。
The first quantum computers are expected to perform well at 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.
