January 28, 2023

Portfolio Optimization using the D-Wave Quantum Annealer

Researchers at Chicago Quantum investigated 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, they looked at various problem formulations on the D-Wave 2000QTM System to find the optimal risk versus return portfolio; an optimized portfolio based on the Markowitz formulation and the Sharpe ratio, a simplified Chicago Quantum Ratio (CQR), then a new Chicago Quantum Net Score (CQNS).

They approached this problem first classically, then by their new method on a D-Wave quantum annealer.

Their results show that practitioners can use a D-Wave system to select attractive portfolios out of 40 U.S. liquid equities.

The paper can be read there.