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.
翻译:量化金融中备受关注的问题之一是资产组合优化问题。针对该问题的求解,已有多种技术被采用,其中近年来与量子计算相关的方法尤为活跃。本研究提出一种名为“基于量子计算的未来资产价值与自动域缩减资产组合优化系统”(Q4FuturePOP)的系统,其处理资产组合优化问题时包含以下创新点:i) 该工具基于资产未来预测值而非历史值进行建模;ii) Q4FuturePOP包含一个自动域缩减模块,该模块旨在智能降低问题复杂度。我们还简要讨论了构成Q4FuturePOP原型版本的不同模块的初步性能。