Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the...

Our dual objectives are to explore how commercially available quantum hardware and algorithms can solve real world problems in finance, and then to compare quantum solutions to their classical counterparts. Specifically, we use the D-Wave quantum annealing computer (D-Wave 2000Q) to address the...

In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual...

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and...

It is impossible to analyze an asset taken in isolation, without taking into account the wider picture of the market. This fact is behind the extensive use of copulas or vector autoregressive models in finance, which allow to model dependencies between assets. In this paper, we look at the...

This study proposes a novel and more efficient quantum algorithm for portfolio optimization using quantum combinatorial optimization (QCO) techniques. A recent construction developed in 2021 has sparked the field of financial portfolio optimization through the Quantum Walk Optimization Algorithm...