Hybrid quantum-classical optimization for financial index tracking

27 Aug 2020Samuel Fernández-LorenzoDiego PorrasJuan José García-Ripoll

Tracking a financial index boils down to replicating its trajectory of returns for a well-defined time span by investing in a weighted subset of the securities included in the benchmark. Picking the optimal combination of assets becomes a challenging NP-hard problem even for moderately large indices consisting of dozens or hundreds of assets, thereby requiring heuristic methods to find approximate solutions... (read more)

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