Portfolio Optimisation Using the D-Wave Quantum Annealer
conference paper
The first quantum computers are expected to perform well on quadratic optimisation problems. In this paper a quadratic problem in finance is taken, the Portfolio Optimisation problem. Here, a set of assets is chosen for investment, such that the total risk is minimised, a minimum return is realised and a budget constraint is met. This problem is solved for several instances in two main indices, the Nikkei225 and the S&P500 index, using the state-of-the-art implementation of D-Wave’s quantum annealer and its hybrid solvers. The results are benchmarked against con ventional, state-of-the-art, commercially available tooling. Results show that for problems of the size of the used instances, the D-Wave solution, in its current, still limited size, comes already close to the performance of commercial solvers
Topics
TNO Identifier
953236
Source title
International Conference On Computational Science (ICCS), Krakow (Poland)/Online, 2021.
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