Abstract
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.
Abstract (translated)
在量化金融中,最受关注的问题之一是投资组合优化问题。关于如何解决这一问题,已经采用了多种技术,与量子计算相关的技术尤为活跃。在本研究中,我们介绍了一个系统,称为基于量子计算的投资组合优化系统,包括未来资产价值自动宇宙减少(Q4FuturePOP)。该系统处理了投资组合优化问题,考虑了以下创新:第一,开发工具是建模用于处理未来资产预测,而不是历史价值;第二,Q4FuturePOP包括一个自动宇宙减少模块,旨在 intelligently 减少问题的复杂性。我们还介绍了关于组成Q4FuturePOP的典型版本不同模块的初步性能的简要讨论。
URL
https://arxiv.org/abs/2309.12627
