QuSAA

Quantum Strategische Asset Allokation

QUANTUM STRATEGIC ASSET ALLOCATION

In the project, we look at strategic asset allocation and, in particular, integrate the capital requirements in accordance with Solvency II (solvency ratio) into the investment decisions. To this end, algorithms for quantum computers were developed in order to gain better control over the complexity of the problem and obtain more stable results. The optimization problem was formulated step by step at different levels of complexity. The solvability ratio and stochastic optimization were integrated into the optimization routine and can be solved on different hardware platforms, such as a quantum annealer, a quantum computer or using quantum-inspired approaches.

NEWS

Paper: "Quadratic Unconstrained Binary Optimization Approach for Incorporating Solvency Capital into Portfolio Optimization"
https://www.mdpi.com/2227-9091/12/2/23

Status update on the project and presentation in Munich.

Opening of the project with State Secretary and official handover of the award documents.

TOOLS

pygrnd

In pygrnd, titled 'pygrnd.optimize.qmco' we go into the asset allocation challenge, which stands as an example of multi-criteria optimization. We outline various objectives and tackle the problem using a mixture of quantum and traditional methods.

pygrnd: https://github.com/JoSQUANTUM/pygrnd
Turorial: https://github.com/JoSQUANTUM/pygrnd/blob/main/notebooks/qmco_portfolioOpt.ipynb 

CONSORTIUM

R+V Versicherung AG (Raiffeisen- und Volksbanken Versicherung) is one of Germany’s largest insurance companies and the parent company of the R+V Group, headquartered in Wiesbaden, Hesse.

Fraunhofer ITWM is the world’s largest institute for industrial mathematics. The department of Financial Mathematics has its methodological guidelines in financial mathematics and data science.

JoS QUANTUM GmbH provides software and algorithms for the financial, insurance and energy industry and connects special hardware, such as various quantum computers and simulators, as well as special purpose chips in one platform.