Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer

Jeffrey Cohen, Alex Khan and Clark Alexander

Papers from arXiv.org

Abstract: We investigate the use of quantum computers for building a portfolio out of a universe of U.S. listed, liquid equities that contains an optimal set of stocks. Starting from historical market data, we look at various problem formulations on the D-Wave Systems Inc. D-Wave 2000Q(TM) System (hereafter called DWave) to find the optimal risk vs return portfolio; an optimized portfolio based on the Markowitz formulation and the Sharpe ratio, a simplified Chicago Quantum Ratio (CQR), then a new Chicago Quantum Net Score (CQNS). We approach this first classically, then by our new method on DWave. Our results show that practitioners can use a DWave to select attractive portfolios out of 40 U.S. liquid equities.

Date: 2020-07
New Economics Papers: this item is included in nep-cmp and nep-fmk
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Citations: View citations in EconPapers (6)

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