Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application
11 Pages Posted: 9 Mar 2015 Last revised: 5 Jul 2015
Date Written: June 7, 2015
Generalized dynamic portfolio optimization problems have no known closed-form solution. These problems are particularly relevant to large asset managers, as the costs from excessive turnover and implementation shortfall may critically erode the profitability of their investment strategies.
In this brief note we demonstrate how this financial problem, intractable to modern supercomputers, can be reformulated as an integer optimization problem. Such representation makes it amenable to quantum computers.
Keywords: High-performance computing, integer optimization, quantum computing, adiabatic process
JEL Classification: G0, G1, G2, G15, G24, E44
Suggested Citation: Suggested Citation