Diversifying Investments and Maximizing Sharpe Ratio: A Novel Quadratic Unconstrained Binary Optimization Formulation

The optimization of investment portfolios represents a pivotal task within the field of financial economics. Its objective is to identify asset combinations that meet specified criteria for return and risk. Traditionally, the maximization of the Sharpe Ratio, often achieved through quadratic program...

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Vydané v:	Quantum reports Ročník 6; číslo 2; s. 244 - 262
Hlavní autori:	Mattesi, Mirko, Asproni, Luca, Mattia, Christian, Tufano, Simone, Ranieri, Giacomo, Caputo, Davide, Corbelletto, Davide
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Basel MDPI AG 01.06.2024
Predmet:	Boolean Diversification Linear programming Maximization Multiple objective analysis Optimization Optimization models portfolio optimization Quadratic programming quantum annealing Quantum computing QUBO Sharpe Ratio Variables
ISSN:	2624-960X, 2624-960X
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