Abstract
This paper proposes a highly efficient quantum algorithm for portfolio optimisation targeted at near-term noisy intermediate-scale quantum computers. Recent work by Hodson et al. (2019) explored potential application of hybrid quantum-classical algorithms to the problem of financial portfolio rebalancing. In particular, they deal with the portfolio optimisation problem using the Quantum Approximate Optimisation Algorithm and the Quantum Alternating Operator Ansatz. In this paper, we demonstrate substantially better performance using a newly developed Quantum Walk Optimisation Algorithm in finding high-quality solutions to the portfolio optimisation problem.
Highlights
Quantum computers are powerful devices that utilise intrinsic properties of quantum mechanics, such as superposition and entanglement, to provide substantial speedups for solving computationally hard problems [1, 2]
This paper evaluates a further development in Quantum Approximate Optimisation Algorithm (QAOA) schema known as the Quantum Walk Optimisation Algorithm (QWOA) [15]
This paper carries out a detailed comparison between the performance of the well-known Quantum Approximate Optimisation Algorithm (QAOA), the Quantum Alternating Operator Ansatz (QAOAz), and the newly-developed Quantum Walk Optimisation Algorithm (QWOA) on the NPhard problem of portfolio optimisation with discrete asset constraints
Summary
Quantum computers are powerful devices that utilise intrinsic properties of quantum mechanics, such as superposition and entanglement, to provide substantial speedups for solving computationally hard problems [1, 2]. A recent influx of interest and technological advancements in this field have lead to the discussion of practical applications especially in the Noisy Intermediate-Scale Quantum (NISQ) era [3]. This includes solving difficult financial problems [4,5,6,7]; one such problem is portfolio optimisation and periodic re-balancing [8]. Long position: the buying of an asset such as a stock, commodity or currency with the expectation that it will rise in value; 2. Short position: the selling of an asset with the expectation that it will drop in value; 3.
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