Paper: Oct 08,2024
q-fin.PM
ID:2410.05932
Quantum-Inspired Portfolio Optimization In The QUBO Framework
A quantum-inspired optimization approach is proposed to study the portfolio
optimization aimed at maximizing the returns of investment portfolio while
minimizing its risk by diversifying investment across different asset classes.
By integrating conventional approaches with quantum-inspired methods and
simulation techniques for penalty coefficient estimation, this approach enables
faster solutions to portfolio optimization. The proposed two-stage search
strategy further enhances the method by starting with a broad search to quickly
identify potential solutions and then refining these results to increase
accuracy. The effectiveness of our approach is validated through experiments
using a real-world dataset of quarterly financial data spanning ten years.
Moreover, the effectiveness of various portfolio strategies under volatile
market conditions is also investigated with emphasis on the robustness and
predictive capacity of our methodology. This research contributes to the
growing body of literature on quantum-inspired techniques in finance,
demonstrating its potential as a powerful tool for asset allocation and
portfolio management.
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Paper Author: Ying-Chang Lu,Yen-Jui Chang,Lien-Po Yu,Chao-Ming Fu
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