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We choose two stock portfolios from our quantum annealing computer results. We run on July 10, 2020, 4pm CT data and develop our model for picking stock portfolios based on those results. Key take-aways:
Read about it here: https://medium.com/@cohen.sourcing/quantum-stock-portfolios-933a55a21d72   Please download and read our paper on the arXiv. https://arxiv.org/abs/2007.01430
Portfolio Optimization of 40 Stocks Using the D-Wave Quantum AnnealerJeffrey Cohen, Alex Khan, Clark Alexander Abstract: 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 Quantum Net Score (CQNS). We approach this first classically, then by our new method on DWave. Our results show that practitioners can use a DWave to select attractive portfolios out of 40 U.S. liquid equities. |
Jeff CohenStrategic IT Management Consultant with a strong interest in Quantum Computing. Consulting for 29 years and this looks as interesting as cloud computing was in 2010. Archives
November 2020
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