Corpus ID: 220347082

Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer

@article{Cohen2020PortfolioOO,
  title={Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer},
  author={Jeffrey Cohen and A. Khan and Clark Alexander},
  journal={arXiv: General Finance},
  year={2020}
}
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… Expand
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