USACI: Financial Portfolio Optimization Using Quantum Annealing

Chicago Quantum (SM) has built an equity portfolio optimization application that helps investors and investment managers to select groups of stocks to buy and hold. This application selects groups of stocks out of a universe of 60 liquid, US stocks that have expected returns that outweigh the expected variance of returns based on one year of historical trading data. Initial results are positive and compelling.

[waynefilkins]

By the way, to do a proper case study, you shouldn't have published the picks until much later after the prediction. When you publish them, people like me looking into quantum prediction algo's find that information and people will buy the stocks you predict. Now you won't know whether they were going to go up anyway, or if it was just the hype from using the word "quantum" with the word "prediction" and thus climbing the search results and getting those tickers in front of the eyes of many traders.

[samirelzein]

this is the level at which i like hearing about assets prices computations.
I think one can address deeply the MPT assumptions and make some more realistic corrections, cutting off for example that it relies on assuming that previous returns implicate future returns, or fully omitting black swans. Then this kind of calculations will be near physics precision.

[mikiallen]

but what about the risk coming from the tails and the covariance in the tails of distributions of each component stock

[waynefilkins]

Yup, the way these stocks all shot up right after this article was published tells me they went up because of the article causing hype.

[waynefilkins]

How can someone get involved with this? Is there a way to run this or do you guys run it regularly like monthly or something?