Financial Portfolio Optimization Method Based on the Quantum Linear Discriminant Analysis

CHEN Bingren; YUAN Haomu; WU Hanqing; WU Lei; LI Xin; LI Xiaoyu

doi:10.12178/1001-0548.2022109

CHEN Bingren, YUAN Haomu, WU Hanqing, WU Lei, LI Xin, LI Xiaoyu. Financial Portfolio Optimization Method Based on the Quantum Linear Discriminant AnalysisJ. Journal of University of Electronic Science and Technology of China, 2023, 52(6): 802-808. DOI: 10.12178/1001-0548.2022109

Citation:

Financial Portfolio Optimization Method Based on the Quantum Linear Discriminant Analysis

Graphical Abstract

Abstract

Abstract

This paper reduces the Markowitz’s model to the Quantum Linear Discriminant Analysis (QLDA) model. Hermitian Chain Product (HCP) and Density Matrix Exponentiation (DME) are used to solve the optimal solution with the largest Sharpe rate in the Markowitz mean-variance model. The quantum continuous portfolio optimization scheme can achieve quasi-exponential acceleration compared to the classical scheme.