Quantifying the advantages of applying quantum approximate algorithms to portfolio optimisation

Haomu Yuan, Christopher K. Long, Hugo V. Lepage, and Crispin H. W. Barnes

Published: 31 March 2026

DOI: 10.1088/2058-9565/ae4a48

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Abstract

We present a quantum algorithm for portfolio optimisation. Specifically, We (sic) present an end-to-end quantum approximate optimisation algorithm to solve the discrete global minimum variance portfolio model. This model finds a portfolio of risky assets with the lowest possible risk contingent on the number of traded assets being discrete. We provide a complete pipeline for this model and analyse its viability for noisy intermediate-scale quantum computers. We design initial states, a cost operator, and ansätze within a binary encoding. Further, we perform numerical simulations to analyse several optimisation routines, including layerwise optimisation, utilising constrained optimisation by linear approximation and dual annealing. Finally, we consider the impacts of thermal relaxation and stochastic measurement noise. We find dual annealing with a layerwise optimisation routine provides the most robust performance. We observe that realistic thermal relaxation noise levels preclude quantum advantage. However, stochastic measurement noise will dominate when hardware sufficiently improves. Within this regime, we numerically demonstrate a favourable scaling in the number of shots required to obtain the global minimum—an indication of quantum advantage in portfolio optimisation.

Citation

Haomu Yuan, Christopher K. Long, Hugo V. Lepage, and Crispin H. W. Barnes. Quantifying the advantages of applying quantum approximate algorithms to portfolio optimisation, Quantum Sci. Technol. 11 025034 (2026), DOI: 10.1088/2058-9565/ae4a48.

BibTeX

@article{Yuan_2026,
    doi = {10.1088/2058-9565/ae4a48},
    year = {2026},
    month = {mar},
    publisher = {IOP Publishing},
    volume = {11},
    number = {2},
    pages = {025034},
    author = {Yuan, Haomu and Long, Christopher K and Lepage, Hugo V and Barnes, Crispin H W},
    title = {Quantifying the advantages of applying quantum approximate algorithms to portfolio optimisation},
    journal = {Quantum Science and Technology},
}

Other versions

• Mon, 21 Oct 2024 17:59:05 UTC: https://arxiv.org/abs/2410.16265v1. Downloads: PDF¹, TeX Source¹
• Mon, 5 Oct 2026 03:50:44 UTC: https://arxiv.org/abs/2410.16265v2. Downloads: PDF, TeX Source

Software

• https://github.com/HomoY/10.1088-2058-9565-ae4a48-source-code  [1]
• https://github.com/HomoY/QGMVP  [2]

Data

• DOI: 10.6084/m9.figshare.29966980.v3  [3]

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References

[1]

Haomu Yuan. Quantifying the advantages of applying quantum approximate algorithms to portfolio optimisation source code, https://github.com/HomoY/10.1088-2058-9565-ae4a48-source-code, (2025), Software Heritage: https://archive.softwareheritage.org/swh:1:dir:85e0f4def0b6be32a7f6aee86726757981779960. ↩

[2]

Haomu Yuan. QGMVP, https://github.com/HomoY/QGMVP, (2025), Software Heritage: https://archive.softwareheritage.org/swh:1:dir:9f4c9ebd95b299d745b8b87d61d4c06a1a6ccc1d. ↩

[3]

Haomu Yuan. The supporting data for “Quantifying the advantages of applying quantum approximate algorithms to portfolio optimisation”, (Figshare, 2025), DOI: 10.6084/m9.figshare.29966980.v3. ↩

Footnotes

1. Licence of this file: arXiv non-exclusive licence to distribute; see its entry on the licences page for what each licence covers and the copyright holders. ↩ ↩²