A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe

Eneko Osaba; Guillaume Gelabert; Esther Villar-Rodriguez; Antón Asla; Izaskun Oregi

doi:10.1007/978-981-97-3556-3_16

A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe

Eneko Osaba^*, Guillaume Gelabert, Esther Villar-Rodriguez, Antón Asla, Izaskun Oregi

^*Corresponding author for this work

Quantum

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

One of the problems in quantitative finance that has received the most attention is the portfolio optimization problem. Regarding its solving, this problem has been approached using different techniques, with those related to quantum computing being especially prolific in recent years. In this study, we present a system called Quantum Computing-based System for Portfolio Optimization with Future Asset Values and Automatic Universe Reduction (Q4FuturePOP), which deals with the Portfolio Optimization Problem considering the following innovations: (i) the developed tool is modeled for working with future prediction of assets, instead of historical values; and (ii) Q4FuturePOP includes an automatic universe reduction module, which is conceived to intelligently reduce the complexity of the problem. We also introduce a brief discussion about the preliminary performance of the different modules that compose the prototypical version of Q4FuturePOP.

Original language	English
Title of host publication	Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024
Editors	Xin-She Yang, Simon Sherratt, Nilanjan Dey, Amit Joshi
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	189-199
Number of pages	11
ISBN (Print)	9789819735556
DOIs	https://doi.org/10.1007/978-981-97-3556-3_16
Publication status	Published - 2024
Event	9th International Congress on Information and Communication Technology, ICICT 2024 - London, United Kingdom Duration: 19 Feb 2024 → 22 Feb 2024

Publication series

Name	Lecture Notes in Networks and Systems
Volume	1012 LNNS
ISSN (Print)	2367-3370
ISSN (Electronic)	2367-3389

Conference

Conference	9th International Congress on Information and Communication Technology, ICICT 2024
Country/Territory	United Kingdom
City	London
Period	19/02/24 → 22/02/24

Keywords

D-wave
Optimization
Portfolio optimization problem
Quantum annealer
Quantum computing

Access to Document

10.1007/978-981-97-3556-3_16

Cite this

Osaba, E., Gelabert, G., Villar-Rodriguez, E., Asla, A., & Oregi, I. (2024). A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe. In X.-S. Yang, S. Sherratt, N. Dey, & A. Joshi (Eds.), Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024 (pp. 189-199). (Lecture Notes in Networks and Systems; Vol. 1012 LNNS). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-981-97-3556-3_16

Osaba, Eneko ; Gelabert, Guillaume ; Villar-Rodriguez, Esther et al. / A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe. Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024. editor / Xin-She Yang ; Simon Sherratt ; Nilanjan Dey ; Amit Joshi. Springer Science and Business Media Deutschland GmbH, 2024. pp. 189-199 (Lecture Notes in Networks and Systems).

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abstract = "One of the problems in quantitative finance that has received the most attention is the portfolio optimization problem. Regarding its solving, this problem has been approached using different techniques, with those related to quantum computing being especially prolific in recent years. In this study, we present a system called Quantum Computing-based System for Portfolio Optimization with Future Asset Values and Automatic Universe Reduction (Q4FuturePOP), which deals with the Portfolio Optimization Problem considering the following innovations: (i) the developed tool is modeled for working with future prediction of assets, instead of historical values; and (ii) Q4FuturePOP includes an automatic universe reduction module, which is conceived to intelligently reduce the complexity of the problem. We also introduce a brief discussion about the preliminary performance of the different modules that compose the prototypical version of Q4FuturePOP.",

keywords = "D-wave, Optimization, Portfolio optimization problem, Quantum annealer, Quantum computing",

author = "Eneko Osaba and Guillaume Gelabert and Esther Villar-Rodriguez and Ant{\'o}n Asla and Izaskun Oregi",

note = "Publisher Copyright: {\textcopyright} The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2024.; 9th International Congress on Information and Communication Technology, ICICT 2024 ; Conference date: 19-02-2024 Through 22-02-2024",

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Osaba, E, Gelabert, G, Villar-Rodriguez, E, Asla, A & Oregi, I 2024, A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe. in X-S Yang, S Sherratt, N Dey & A Joshi (eds), Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024. Lecture Notes in Networks and Systems, vol. 1012 LNNS, Springer Science and Business Media Deutschland GmbH, pp. 189-199, 9th International Congress on Information and Communication Technology, ICICT 2024, London, United Kingdom, 19/02/24. https://doi.org/10.1007/978-981-97-3556-3_16

A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe. / Osaba, Eneko; Gelabert, Guillaume; Villar-Rodriguez, Esther et al.
Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024. ed. / Xin-She Yang; Simon Sherratt; Nilanjan Dey; Amit Joshi. Springer Science and Business Media Deutschland GmbH, 2024. p. 189-199 (Lecture Notes in Networks and Systems; Vol. 1012 LNNS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Osaba E, Gelabert G, Villar-Rodriguez E, Asla A, Oregi I. A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe. In Yang XS, Sherratt S, Dey N, Joshi A, editors, Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024. Springer Science and Business Media Deutschland GmbH. 2024. p. 189-199. (Lecture Notes in Networks and Systems). doi: 10.1007/978-981-97-3556-3_16