论文标题
通过量子计算与基数限制通过量子计算跟踪财务指数
Financial Index Tracking via Quantum Computing with Cardinality Constraints
论文作者
论文摘要
在这项工作中，我们演示了如何应用非线性基数约束，对于现实世界中的资产管理很重要，以实现量子投资组合优化。这使我们能够使用量子退火解决非凸投资组合优化问题，否则对于经典算法来说将是具有挑战性的。能够使用基数限制进行投资组合优化为创建创新投资组合和交易所交易贸易基金（ETFS）的新应用程序打开了大门。我们将方法应用于增强索引跟踪的实际问题，并能够构建较小的投资组合，从而显着优于目标索引的风险概况，同时保留高度的跟踪。
In this work, we demonstrate how to apply non-linear cardinality constraints, important for real-world asset management, to quantum portfolio optimization. This enables us to tackle non-convex portfolio optimization problems using quantum annealing that would otherwise be challenging for classical algorithms. Being able to use cardinality constraints for portfolio optimization opens the doors to new applications for creating innovative portfolios and exchange-traded-funds (ETFs). We apply the methodology to the practical problem of enhanced index tracking and are able to construct smaller portfolios that significantly outperform the risk profile of the target index whilst retaining high degrees of tracking.
