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Tracking a financial index boils down to replicating its trajectory of returns for a well-defined time span by investing in a weighted subset of the securities included in the benchmark.
Optimal benchmark tracking with small portfolios
Roel Jansen and Ronald Van Dijk · 2002
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The threshold accepting heuristic for index tracking
Manfred Gilli and Evis Këllezi · 2002
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Subset selection in regression
Alan Miller · 2002
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An evolutionary heuristic for the index tracking problem
John E Beasley, Nigel Meade, and T-J Chang · 2003
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Optimization heuristics in econometrics: Applications of threshold accepting, 2003
Antanas Zilinskas · 2003
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A direct formulation for sparse pca using semidefinite programming
Alexandre d’Aspremont, Laurent E Ghaoui, Michael I Jordan, and Gert R Lanckriet · 2005
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Selection of optimal investment portfolios with cardinality constraints
Rafael Moral-Escudero, Rubén Ruiz-Torrubiano, and Alberto Suárez · 2006
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Minimizing tracking error while restricting the number of assets
Thomas F Coleman, Yuying Li, and Jay Henniger · 2006
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Selection of optimal investment portfolios with cardinality constraints
Rafael Moral-Escudero, Rubén Ruiz-Torrubiano, and Alberto Suárez · 2006
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Training a binary classifier with the quantum adiabatic algorithm
Hartmut Neven, Vasil S Denchev, Geordie Rose, and William G Macready · 2008
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An introduction to compressive sampling
Emmanuel J Candès and Michael B Wakin · 2008
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A hybrid optimization approach to index tracking
Rubén Ruiz-Torrubiano and Alberto Suárez · 2009
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Portfolio optimization with “Threshold Accepting”: a practical guide
Manfred Gilli and Enrico Schumann · 2009
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Hybrid approaches and dimensionality reduction for portfolio selection with cardinality constraints
Rubén Ruiz-Torrubiano and Alberto Suárez · 2010
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A risk ratio comparison of l0 and l1 penalized regressions
Dongyu Lin, Dean P Foster, and Lyle H Ungar · 2010
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Numerical Methods in Finance and Economics: A MATLAB-Based Introduction
Paolo Brandimarte · 2013
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A heuristic approach to the index tracking problem: a case study of the tehran exchange price index
Mohsen Varsei, Naser Shams, Behnam Fahimnia, and Abbas Yazdanpanah · 2013
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Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear dc approach
Xiaojin Zheng, Xiaoling Sun, Duan Li, and Jie Sun · 2014
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A quantum approximate optimization algorithm
Edward Farhi, Jeffrey Goldstone, and Sam Gutmann · 2014
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A risk ratio comparison of l _ 0 l\_0 and l _ 1 l\_1 penalized regression
Kory D Johnson, Dongyu Lin, Lyle H Ungar, Dean P Foster, and Robert A Stine · 2015
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A quadratic unconstrained binary optimization problem formulation for single-period index tracking with cardinality constraints, 2018
QC Ware Corp · 2018
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Quantum optimization using variational algorithms on near-term quantum devices
Nikolaj Moll, Panagiotis Barkoutsos, Lev S Bishop, Jerry M Chow, Andrew Cross, Daniel J Egger, Stefan Filipp, Andreas Fuhrer, Jay M Gambetta, Marc Ganzhorn, Abhinav Kandala, Antonio Mezzacapo, Peter Müller, Walter Riess, Gian Salis, John Smolin, Ivano Tavernelli, and Kristan Temme · 2018
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Leo Zhou, Sheng-Tao Wang, Soonwon Choi, Hannes Pichler, and Mikhail D Lukin · 2018
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Quantum computing for finance: Overview and prospects
Román Orús, Samuel Mugel, and Enrique Lizaso · 2019
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Quantum algorithms for portfolio optimization
Iordanis Kerenidis, Anupam Prakash, and Dániel Szilágyi · 2019
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Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, and Marcos López De Prado · 2016
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Quantum Supremacy through the Quantum Approximate Optimization Algorithm
Edward Farhi and Aram W Harrow · 2016
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The theory of variational hybrid quantum-classical algorithms
Jarrod R McClean, Jonathan Romero, Ryan Babbush, and Alán Aspuru-Guzik · 2016
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Optimal feature selection in credit scoring and classification using a quantum annealer
Andrew Milne, Maxwell Rounds, and Phil Goddard · 2017
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Cardinality constrained portfolio selection via factor models
Juan Francisco Monge · 2017
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Hardware-efficient variational quantum eigensolver for small molecules and quantum magnets
Abhinav Kandala, Antonio Mezzacapo, Kristan Temme, Maika Takita, Markus Brink, Jerry M. Chow, and Jay M. Gambetta · 2017
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Quantum computational finance: quantum algorithm for portfolio optimization, 2018
Patrick Rebentrost and Seth Lloyd · 2018
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Portfolio rebalancing experiments using the quantum alternating operator ansatz, 2019
Mark Hodson, Brendan Ruck, Hugh Ong, David Garvin, and Stefan Dulman · 2019
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Quantum risk analysis
Stefan Woerner and Daniel J. Egger · 2019
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Forecasting financial crashes with quantum computing
Román Orús, Samuel Mugel, and Enrique Lizaso · 2019
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From ansätze to z-ates: Nasa view of quantum computing
Eleanor G Rieffel, Stuart Hadfield, Tad Hogg, Salvatore Mandrà, Jeffrey Marshall, Gianni Mossi, Bryan O’Gorman, Eugeniu Plamadeala, Norm M Tubman, Davide Venturelli, et al · 2019
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From the Quantum Approximate Optimization Algorithm to a Quantum Alternating Operator Ansatz
Stuart Hadfield, Zhihui Wang, Bryan O’Gorman, Eleanor Rieffel, Davide Venturelli, and Rupak Biswas · 2019
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Performance of hybrid quantum-classical variational heuristics for combinatorial optimization
Giacomo Nannicini · 2019
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Numerical methods and optimization in finance
Manfred Gilli, Dietmar Maringer, and Enrico Schumann · 2019
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Large Scale Optimization in Supply Chains and Smart Manufacturing: Theory and Applications
Jesús M Velásquez-Bermúdez, Marzieh Khakifirooz, and Mahdi Fathi · 2019
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Improving variational quantum optimization using CVaR
Panagiotis Kl. Barkoutsos, Giacomo Nannicini, Anton Robert, Ivano Tavernelli, and Stefan Woerner · 2020
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