Financial services
Portfolio OptimisationMaturity: concept
QUBO, VQE/QAOA and hybrid concepts for asset allocation and risk-return trade-offs.
concept — An idea we find credible. Nothing has been built or measured.
What this is
The problem
Portfolio construction under real constraints — cardinality limits, minimum lot sizes, sector caps, turnover budgets — is a discrete optimisation problem, not the smooth one in the textbook.
Where the current approach strains
Mean-variance optimisation is elegant and continuous. Adding the discrete constraints that real mandates carry makes it combinatorial, and practitioners handle that with heuristics and manual adjustment.
What we are exploring
QUBO formulations for the constrained selection problem, where the discreteness is native to the formulation rather than bolted on.
What would have to be true
Comparison against a commercial solver on the same constraint set, and an honest note that for most portfolio sizes the commercial solver is entirely adequate. The interesting case is large universes with tight cardinality constraints, and we would need to show the boundary where that begins.
Where it applies
Related
Insurance
Risk pricing, scenario modelling, claims/fraud analysis and portfolio management concepts.
Trading Optimization
Execution optimisation, transaction costs, market impact and dynamic allocation.
Risk Management
Scenario analysis, stress testing, VaR and constraint optimisation.