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Grover Search for Portfolio Selection

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  • A. Ege Yilmaz
  • Stefan Stettler
  • Thomas Ankenbrand
  • Urs Rhyner

Abstract

We present explicit oracles designed to be used in Grover's algorithm to match investor preferences. Specifically, the oracles select portfolios with returns and standard deviations exceeding and falling below certain thresholds, respectively. One potential use case for the oracles is selecting portfolios with the best Sharpe ratios. We have implemented these algorithms using quantum simulators.

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  • A. Ege Yilmaz & Stefan Stettler & Thomas Ankenbrand & Urs Rhyner, 2023. "Grover Search for Portfolio Selection," Papers 2308.13063, arXiv.org.
    • Handle: RePEc:arx:papers:2308.13063
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    File URL: http://arxiv.org/pdf/2308.13063
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    References listed on IDEAS

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    1. Frank Phillipson & Harshil Singh Bhatia, 2020. "Portfolio Optimisation Using the D-Wave Quantum Annealer," Papers 2012.01121, arXiv.org.
    2. Franco D. Albareti & Thomas Ankenbrand & Denis Bieri & Esther Hanggi & Damian Lotscher & Stefan Stettler & Marcel Schongens, 2022. "A Structured Survey of Quantum Computing for the Financial Industry," Papers 2204.10026, arXiv.org.
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