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Financial Index Tracking via Quantum Computing with Cardinality Constraints
Adam Florence / Asier Rodriguez / Harish Naik / Konstantinos Karagiannis / Roman Orus / Samuel Mugel / Samuel Palmer
optimization / portfolio optimizationResource overview

Financial Index Tracking via Quantum Computing with Cardinality Constraints

Paper2022

by Adam Florence, Asier Rodriguez, Harish Naik, Konstantinos Karagiannis, Roman Orus, Samuel Mugel, Samuel Palmer

Tags
optimizationportfolio optimization

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Suggested foundations for portfolio construction and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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