TY - GEN
T1 - A Quantum Computing-Based System for Portfolio Optimization Using Future Asset Values and Automatic Reduction of the Investment Universe
AU - Osaba, Eneko
AU - Gelabert, Guillaume
AU - Villar-Rodriguez, Esther
AU - Asla, Antón
AU - Oregi, Izaskun
N1 - Publisher Copyright:
© The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2024.
PY - 2024
Y1 - 2024
N2 - 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.
AB - 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.
KW - D-wave
KW - Optimization
KW - Portfolio optimization problem
KW - Quantum annealer
KW - Quantum computing
UR - https://www.scopus.com/pages/publications/85201978358
U2 - 10.1007/978-981-97-3556-3_16
DO - 10.1007/978-981-97-3556-3_16
M3 - Conference contribution
AN - SCOPUS:85201978358
SN - 9789819735556
T3 - Lecture Notes in Networks and Systems
SP - 189
EP - 199
BT - Proceedings of 9th International Congress on Information and Communication Technology - ICICT 2024
A2 - Yang, Xin-She
A2 - Sherratt, Simon
A2 - Dey, Nilanjan
A2 - Joshi, Amit
PB - Springer Science and Business Media Deutschland GmbH
T2 - 9th International Congress on Information and Communication Technology, ICICT 2024
Y2 - 19 February 2024 through 22 February 2024
ER -