تقرير
Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing
| العنوان: | Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing |
|---|---|
| المؤلفون: | Acharya, Atithi, Yalovetzky, Romina, Minssen, Pierre, Chakrabarti, Shouvanik, Shaydulin, Ruslan, Raymond, Rudy, Sun, Yue, Herman, Dylan, Andrist, Ruben S., Salton, Grant, Schuetz, Martin J. A., Katzgraber, Helmut G., Pistoia, Marco |
| سنة النشر: | 2024 |
| المجموعة: | Mathematics Physics (Other) Quantum Physics Quantitative Finance |
| مصطلحات موضوعية: | Mathematics - Optimization and Control, Physics - Data Analysis, Statistics and Probability, Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management, Quantum Physics |
| الوصف: | Industrially relevant constrained optimization problems, such as portfolio optimization and portfolio rebalancing, are often intractable or difficult to solve exactly. In this work, we propose and benchmark a decomposition pipeline targeting portfolio optimization and rebalancing problems with constraints. The pipeline decomposes the optimization problem into constrained subproblems, which are then solved separately and aggregated to give a final result. Our pipeline includes three main components: preprocessing of correlation matrices based on random matrix theory, modified spectral clustering based on Newman's algorithm, and risk rebalancing. Our empirical results show that our pipeline consistently decomposes real-world portfolio optimization problems into subproblems with a size reduction of approximately 80%. Since subproblems are then solved independently, our pipeline drastically reduces the total computation time for state-of-the-art solvers. Moreover, by decomposing large problems into several smaller subproblems, the pipeline enables the use of near-term quantum devices as solvers, providing a path toward practical utility of quantum computers in portfolio optimization. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2409.10301 |
| رقم الأكسشن: | edsarx.2409.10301 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |