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Generalized dynamic portfolio optimization problems have no known closed-form solution. These problems are particularly relevant to large asset managers, as the costs from excessive turnover and implementation shortfall may critically erode the profitability of their investment strategies.

In this brief note we demonstrate how this financial problem, intractable to modern supercomputers, can be reformulated as an integer optimization problem. Such representation makes it amenable to quantum computers.

Author: Marcos López de Prado

SSRN-id2575184.pdf  Download  

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