Ally Financial, Multiverse publish quantum computing research for financial index tracking

In a recent paper, researchers from Multiverse Computing, Protiviti and Ally Financial demonstrate how to apply non-linear cardinality constraints, important for real-world asset management, to quantum portfolio optimization. This approach enables them to tackle non-convex portfolio optimization problems using quantum annealing that would otherwise be challenging for classical algorithms.

Being able to use cardinality constraints for portfolio optimization opens the doors to new applications for creating innovative portfolios and exchange-traded-funds (ETFs). They apply the methodology to the practical problem of enhanced index tracking and are able to construct smaller portfolios that significantly outperform the risk profile of the target index whilst retaining high degrees of tracking.

Read the full paper

Related Posts

Previous Post
SEC reopens comment period for reporting of securities loans
Next Post
LBBW and Vontobel issue first digital securities on Deutsche Börse’s D7

Fill out this field
Fill out this field
Please enter a valid email address.


Reset password

Create an account