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- W2897628955 abstract "We investigate a hybrid quantum-classical solution method to the mean-variance portfolio optimization problems. Starting from real financial data statistics and following the principles of the Modern Portfolio Theory, we generate parametrized samples of portfolio optimization problems that can be related to quadratic binary optimization forms programmable in the analog D-Wave Quantum Annealer 2000QTM. The instances are also solvable by an industry-established genetic algorithm approach, which we use as a classical benchmark. We investigate several options to run the quantum computation optimally, ultimately discovering that the best results in terms of expected time-to-solution as a function of number of variables for the hardest instances set are obtained by seeding the quantum annealer with a solution candidate found by a greedy local search and then performing a reverse annealing protocol. The optimized reverse annealing protocol is found to be more than 100 times faster than the corresponding forward quantum annealing on average." @default.
- W2897628955 created "2018-10-26" @default.
- W2897628955 creator A5044443085 @default.
- W2897628955 creator A5061022182 @default.
- W2897628955 date "2019-04-26" @default.
- W2897628955 modified "2023-10-03" @default.
- W2897628955 title "Reverse quantum annealing approach to portfolio optimization problems" @default.
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- W2897628955 doi "https://doi.org/10.1007/s42484-019-00001-w" @default.
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