PortfolioOptimization_EN.ipynb 23.0 KB
Newer Older
Q
Quleaf 已提交
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136
{
 "cells": [
  {
   "cell_type": "markdown",
   "source": [
    "# Quantum Finance Application on Portfolio Optimization\n",
    "\n",
    "<em> Copyright (c) 2021 Institute for Quantum Computing, Baidu Inc. All Rights Reserved. </em>"
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "## Overview\n",
    "\n",
    "Current finance problems can be mainly tackled by three areas of quantum algorithms: quantum simulation, quantum optimization, and quantum machine learning [1,2]. Many financial problems are essentially combinatorial optimization problems, and corresponding algorithms usually have high time complexity and are difficult to implement. Due to the power of quantum computing, these complex problems are expected to be solved by quantum algorithms in the future.\n",
    "\n",
    "The Quantum Finance module of Paddle Quantum focuses on quantum optimization: how to apply quantum algorithms in real finance optimization problems. This tutorial focuses on how to use quantum algorithms to solve the portfolio optimization problem."
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "## Portfolio Optimization Problem\n",
    "\n",
    "A portfolio is a collection of financial investments, such as stocks, bonds, cash, etc. Many investment managers face the portfolio optimization problem. This problem requires practitioners to invest various projects, according to their target returns and risks. This aims to minimize the risk given certain return or maximize the return given certain risk.\n",
    "\n",
    "Detailed description of portfolio optimization is as follows: If you are an active investment manager who wants to invest $K$ dollars to $N$ projects, each with its own return and risk, your goal is to find an optimal way to invest the projects, taking into account the market impact and transaction costs."
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Encoding Portfolio Optimization Problem\n",
    "\n",
    "To transform the portfolio optimization problem into a problem applicable for parameterized quantum circuits, we need to encode portfolio optimization problem into a Hamiltonian. To make the modeling easy to formulate, two assumptions are made to constrain the problem:\n",
    "* Each asset is invested with an equal amount of money.\n",
    "* Budget is a multiple of each investment amount and must be fully spent.\n",
    "\n",
    "\n",
    "In this model we unitize the investment amount, i.e., if the budget is $3$, then the manager should invest $3$ assets. Since the actual investment budget is limited and there are many investable assets, it is important to set the number of investable assets larger than the budget.\n",
    "\n",
    "In the theory of portfolio optimization, the overall risk of a portfolio is related to the covariance between assets, which is proportional to the correlation coefficients of any two assets. The smaller the correlation coefficients, the smaller the covariance, and then the smaller the overall risk of the portfolio [3].\n",
    "\n",
    "Here we use the mean-variance approach to model this problem:\n",
    "\n",
    "$$\n",
    "\\omega = \\max _{x \\in\\{0,1\\}^{n}} \\mu^{T} x - q x^{T} S x \\quad\\quad  \\tag{1}\n",
    "\\text { subject to: } 1^{T} x=B,\n",
    "$$\n",
    "\n",
    "where each symbol has the following meaning:\n",
    "* $x\\in {\\{0,1\\}}^N$ denotes the vector of binary decision variables, which indicate which each assets is picked ($x_i=1$) or not ($x_i = 0$),\n",
    "* $\\mu \\in \\mathbb{R}^n$ defines the expected returns for the assets,\n",
    "* $S \\in \\mathbb{R}^{n \\times n}$ represents the covariances between the assets,\n",
    "* $q > 0$ represents the risk factor of investment decision making,\n",
    "* $\\mathbb{1}$ denotes a vector with all values of $1$,\n",
    "* $B$ denotes the budget, i.e. the number of assets to be selected out of $N$.\n",
    "\n",
    "\n",
    "According to the model equation, we can define the loss function:\n",
    "\n",
    "$$\n",
    "C_x = q \\sum_i  \\sum_j s_{ji}x_ix_j - \\sum_{i}x_i \\mu_i + A \\left(B - \\sum_i x_i\\right)^2,  \\tag{2}\n",
    "$$\n",
    "\n",
    "where $s_{ij}$ denotes the elements of the covariance matrix $S$.\n",
    "\n",
    "Since the loss function is to be optimized using the gradient descent method, some modifications are made in the definition based on the equations of the model. The first term represents the risk of the investment. The second term represents the expected return on this investment. The third term constrains the budget $B$ to be invested evenly in different projects. $A$ is the penalty parameter, usually set to a larger number. \n",
    "\n",
    "We now need to transform the cost function $C_x$ into a Hamiltonian to realize the encoding of the portfolio optimization problem. Each variable $x_{i}$ has two possible values, $0$ and $1$, corresponding to quantum states $|0\\rangle$ and $|1\\rangle$. Note that every variable corresponds to a qubit and so $n$ qubits are needed for solving the portfolio optimization problem. The Pauli $Z$ operator has two eigenstates, $|0\\rangle$ and $|1\\rangle$ . Their corresponding eigenvalues are 1 and -1, respectively. So we consider encoding the cost function as a Hamiltonian using the pauli $Z$ matrix.\n",
    "\n",
    "Now we would like to consider the mapping\n",
    "$$\n",
    "x_{i} \\mapsto \\frac{I-Z_{i}}{2}, \\tag{4}\n",
    "$$\n",
    "\n",
    "where $Z_{i} = I \\otimes I \\otimes \\ldots \\otimes Z \\otimes \\ldots \\otimes I$ with $Z$ operates on the qubit at position $i$. Under this mapping, the value of $x_i$ can be illustrated in a different way. If the qubit $i$ is in state $|1\\rangle$, then $x_{i} |1\\rangle = \\frac{I-Z_{i}}{2} |1\\rangle = 1|1\\rangle $, which means that the stork $i$ is in the optimal portfolio. Also, for a qubit $i$ in state $|0\\rangle$, $x_{i}|0\\rangle  = \\frac{I-Z_{i}}{2} |0\\rangle = 0 |0\\rangle $.\n",
    "\n",
    "Thus using the above mapping, we can transform the cost function $C_x$ into a Hamiltonian $H_C$ for the system of $n$ qubits and realize the quantumization of the portfolio optimization problem. Then the ground state of $H_C$ is the optimal solution to the portfolio optimization problem. In the following section, we will show how to use a parameterized quantum circuit to find the ground state, i.e., the eigenvector with the smallest eigenvalue."
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "## Paddle Quantum Implementation\n",
    "\n",
    "To investigate the portfolio optimization problem using Paddle Quantum, there are some required packages to import, which are shown below. "
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "source": [
    "# Import packages needed\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "import datetime\n",
    "\n",
    "# Import related modules from Paddle Quantum and PaddlePaddle\n",
    "import paddle\n",
    "from paddle_quantum.circuit import UAnsatz\n",
    "from paddle_quantum.utils import pauli_str_to_matrix\n",
    "from paddle_quantum.finance import DataSimulator, portfolio_optimization_hamiltonian"
   ],
   "outputs": [],
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-05-17T08:00:15.901429Z",
     "start_time": "2021-05-17T08:00:12.708945Z"
    }
   }
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Prepare experimental data\n",
    "\n",
    "In this tutorial, we choose stocks as the investment asset. For the data used in the experimental tests, two options are provided:\n",
    "* The first method is to generate random data according to certain requirements, e.g. number of assets.\n",
    "\n",
    "If the user prepares data using this method, then when initializing the data, it is necessary to give the list of parameters: a list of names of investable stocks (assets), the start date and end date of the trading data."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "source": [
    "num_assets = 7  # Number of investable projects\n",
    "stocks = [(\"STOCK%s\" % i) for i in range(num_assets)]  \n",
Q
Quleaf 已提交
137 138
    "data = DataSimulator( stocks = stocks, start = datetime.datetime(2016, 1, 1), end = datetime.datetime(2016, 1, 30))\n",
    "data.randomly_generate() # Generate random data"
Q
Quleaf 已提交
139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "* The second method is that the user can choose to set the data themselves, i.e. real stock data collected by themselves. Considering that the number of stocks contained in the file may be large, the user can specify the number of stocks used for this experiment, i.e. `num_assets` as initialized above.\n",
    "\n",
    "We collect the closing prices of 12 stocks for 35 trading days into the `realStockData_12.csv` file, where we choose to read only the first 3 stocks.\n",
    "\n",
    "In this tutorial, we choose to read real data as experimental data."
   ],
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-05-17T08:00:16.212260Z",
     "start_time": "2021-05-17T08:00:15.918792Z"
    }
   }
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "source": [
    "df = pd.read_csv('realStockData_12.csv')\n",
    "dt = []\n",
    "for i in range(num_assets): \n",
    "    mylist = df['closePrice'+str(i)].tolist()\n",
    "    dt.append(mylist)   \n",
    "# Output the closing price of the seven stocks read from the file for the 35 trading days\n",
    "print(dt)  \n",
    "# Specify the experimental data as a local file read by the user\n",
    "data.set_data(dt)  "
   ],
   "outputs": [
    {
     "output_type": "stream",
     "name": "stdout",
     "text": [
      "[[16.87, 17.18, 17.07, 17.15, 16.66, 16.79, 16.69, 16.99, 16.76, 16.52, 16.33, 16.39, 16.45, 16.0, 16.09, 15.54, 13.99, 14.6, 14.63, 14.77, 14.62, 14.5, 14.79, 14.77, 14.65, 15.03, 15.37, 15.2, 15.24, 15.59, 15.58, 15.23, 15.04, 14.99, 15.11, 14.5], [32.56, 32.05, 31.51, 31.76, 31.68, 32.2, 31.46, 31.68, 31.39, 30.49, 30.53, 30.46, 29.87, 29.21, 30.11, 28.98, 26.63, 27.62, 27.64, 27.9, 27.5, 28.67, 29.08, 29.08, 29.95, 30.8, 30.42, 29.7, 29.65, 29.85, 29.25, 28.9, 29.33, 30.11, 29.67, 29.59], [5.4, 5.48, 5.46, 5.49, 5.39, 5.47, 5.46, 5.53, 5.5, 5.47, 5.39, 5.35, 5.37, 5.24, 5.26, 5.08, 4.57, 4.44, 4.5, 4.56, 4.52, 4.59, 4.66, 4.67, 4.66, 4.72, 4.84, 4.81, 4.84, 4.88, 4.89, 4.82, 4.74, 4.84, 4.79, 4.63], [3.71, 3.75, 3.73, 3.79, 3.72, 3.77, 3.76, 3.74, 3.78, 3.71, 3.61, 3.58, 3.61, 3.53, 3.5, 3.42, 3.08, 2.95, 3.04, 3.05, 3.05, 3.13, 3.12, 3.14, 3.11, 3.07, 3.23, 3.3, 3.31, 3.3, 3.33, 3.31, 3.22, 3.31, 3.25, 3.12], [5.72, 5.75, 5.74, 5.81, 5.69, 5.79, 5.77, 5.8, 5.89, 5.78, 5.7, 5.69, 5.75, 5.7, 5.71, 5.54, 4.99, 4.89, 4.94, 5.08, 5.39, 5.35, 5.23, 5.26, 5.19, 5.18, 5.31, 5.33, 5.31, 5.38, 5.39, 5.41, 5.28, 5.3, 5.38, 5.12], [7.62, 7.56, 7.68, 7.75, 7.79, 7.84, 7.82, 7.8, 7.92, 7.96, 7.93, 7.87, 7.86, 7.82, 7.9, 7.7, 6.93, 6.91, 7.18, 7.31, 7.35, 7.53, 7.47, 7.48, 7.35, 7.33, 7.46, 7.47, 7.39, 7.47, 7.48, 8.06, 8.02, 8.01, 8.11, 7.87], [3.7, 3.7, 3.68, 3.7, 3.63, 3.66, 3.63, 3.63, 3.66, 3.63, 3.6, 3.59, 3.63, 3.6, 3.61, 3.54, 3.19, 3.27, 3.27, 3.31, 3.3, 3.32, 3.33, 3.38, 3.36, 3.34, 3.39, 3.39, 3.37, 3.42, 3.43, 3.37, 3.32, 3.36, 3.37, 3.3]]\n"
     ]
    }
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Encoding Hamiltonian\n",
    "\n",
    "Here we construct the Hamiltonian $H_C$ of Eq. (2) with the replacement in Eq. (3). \n",
    "\n",
    "In the process of encoding Hamiltonian, we first need to calculate the covariance matrix $S$ between the returns of each stock, which is available in the ``finance`` module and can be called directly."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "source": [
    "s = data.get_asset_return_covariance_matrix()"
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "The second step is to compute the expected return vector $\\mu$ for each stock. Similarly, paddle quantum also support this function to users."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "source": [
    "mu = data.get_asset_return_mean_vector()"
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "Based on the provided and calculated parameters, the Hamiltonian is constructed below. Here we set the penalty parameter to the number of investable stocks."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "source": [
    "q = 0.5  # risk appetite of the decision maker\n",
    "budget = num_assets // 2   # budget\n",
    "penalty = num_assets       # penalty parameter  \n",
    "hamiltonian = portfolio_optimization_hamiltonian(penalty, mu, s, q, budget)"
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Calculating the loss function \n",
    "\n",
    "We adopt a parameterized quantum circuit consisting of $U_3(\\vec{\\theta})$ and $\\text{CNOT}$ gates. It can be constructed by calling the built-in function [`complex entangled layer`](https://qml.baidu.com/api/paddle_quantum.circuit.uansatz.html).\n",
    "\n",
    "After running the quantum circuit, we obtain the circuit output $|\\vec{\\theta\n",
    "}\\rangle$. From the output state of the circuit, we can calculate the loss function of the portfolio optimization under the classical-quantum hybrid model:\n",
    "\n",
    "$$\n",
    "L(\\vec{\\theta}) =  \\langle\\vec{\\theta}|H_C|\\vec{\\theta}\\rangle.\n",
    "\\tag{4}\n",
    "$$\n",
    "\n",
    "We then use a classical optimization algorithm to minimize this function and find the optimal parameters $\\vec{\\theta}^*$. The following code shows a complete network built with Paddle Quantum and PaddlePaddle."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "source": [
    "class PONet(paddle.nn.Layer):\n",
    "\n",
    "    def __init__(self, n, p, dtype=\"float64\"):\n",
    "        super(PONet, self).__init__()\n",
    "\n",
    "        self.p = p\n",
    "        self.num_qubits = n\n",
    "        self.theta = self.create_parameter(shape=[self.p, self.num_qubits, 3],\n",
    "            default_initializer=paddle.nn.initializer.Uniform(low=0, high=2 * np.pi),\n",
    "            dtype=dtype, is_bias=False)\n",
    "\n",
    "    def forward(self, hamiltonian):\n",
    "        \"\"\"\n",
    "        Forward propagation\n",
    "        \"\"\"\n",
    "        # Define a circuit with complex entangled layers\n",
    "        cir = UAnsatz(self.num_qubits)\n",
    "        cir.complex_entangled_layer(self.theta, self.p)\n",
    "        # Run the quantum circuit\n",
    "        cir.run_state_vector()\n",
    "        # Calculate the loss function\n",
    "        loss = cir.expecval(hamiltonian)\n",
    "\n",
    "        return loss, cir"
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Training the quantum neural network\n",
    "\n",
    "After defining the quantum neural network, we use the gradient descent method to update the parameters to minimize the expectation value in Eq. (4). "
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "source": [
    "SEED = 1000   # Set a global RNG seed \n",
    "p = 2        # Number of layers in the quantum circuit\n",
    "ITR = 600    # Number of training iterations\n",
    "LR = 0.4     # Learning rate of the optimization method based on gradient descent"
   ],
   "outputs": [],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "Here, we optimize the network defined above in PaddlePaddle."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "source": [
    "# number of qubits\n",
    "n = len(mu)\n",
    "\n",
    "# Fix paddle random seed\n",
    "paddle.seed(SEED)\n",
    "\n",
    "# Building Quantum Neural Networks\n",
    "net = PONet(n, p)\n",
    "\n",
    "# Use Adam optimizer\n",
    "opt = paddle.optimizer.Adam(learning_rate=LR, parameters=net.parameters())\n",
    "\n",
    "# Gradient descent iteration\n",
    "for itr in range(1, ITR + 1):\n",
    "    # Run the network defined above\n",
    "    loss, cir = net(hamiltonian)\n",
    "    # Calculate the gradient and optimize\n",
    "    loss.backward()\n",
    "    opt.minimize(loss)\n",
    "    opt.clear_grad()\n",
    "    if itr % 50 == 0:\n",
    "        print(\"iter: \", itr, \"    loss: \", \"%.7f\"% loss.numpy())\n",
    "        "
   ],
   "outputs": [
    {
     "output_type": "stream",
     "name": "stdout",
     "text": [
      "iter:  50     loss:  0.0399075\n",
      "iter:  100     loss:  0.0098776\n",
      "iter:  150     loss:  0.0085535\n",
      "iter:  200     loss:  0.0074563\n",
      "iter:  250     loss:  0.0066519\n",
      "iter:  300     loss:  0.0061940\n",
      "iter:  350     loss:  0.0059859\n",
      "iter:  400     loss:  0.0059068\n",
      "iter:  450     loss:  0.0058807\n",
      "iter:  500     loss:  0.0058731\n",
      "iter:  550     loss:  0.0058712\n",
      "iter:  600     loss:  0.0058707\n"
     ]
    }
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Theoretical minimum loss value\n",
    "\n",
    "The theoretical minimum value of $C_x$ corresponds to the minimum eigenvalue of the Hamiltonian constructed above. So we would like to see the value of the loss function found by the parameterized circuit optimization close to the theoretical minimum. For smaller ``num_assets``, we can verify this based on the following code."
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "source": [
    "H_C_matrix = hamiltonian.construct_h_matrix()\n",
    "print(\"Theoretical minimum loss value: \", np.linalg.eigvalsh(H_C_matrix)[0])\n",
    "print(\"Practical minimum loss value: \", float(loss.numpy()))"
   ],
   "outputs": [
    {
     "output_type": "stream",
     "name": "stdout",
     "text": [
      "Theoretical minimum loss value:  0.0058710575103759766\n",
      "Practical minimum loss value:  0.005870710695958458\n"
     ]
    }
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "In this case, the minimum loss from the parameterized circuit optimization is the same as the theoretical minimum loss, which ensures that the investment solution found is optimal. If two values do not match well, we can adjust parameters such as the random seed ``SEED``, the number of layers of the quantum circuit ``p``, the number of iterations ``ITR`` and the gradient descent optimization rate ``LR``, to reapproximate the optimal solution."
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Decoding the quantum solution\n",
    "\n",
    "After obtaining the minimum value of the loss function and the corresponding set of parameters $\\vec{\\theta}^*$, our task has not been completed. In order to obtain an approximate solution to the portfolio optimization problem, it is necessary to decode the solution to the classical optimization problem from the quantum state $|\\vec{\\theta}^*\\rangle$ output by the circuit. Physically, to decode a quantum state, we need to measure it and then calculate the probability distribution of the measurement results:\n",
    "\n",
    "$$\n",
    "p(z) = |\\langle z|\\vec{\\theta}^*\\rangle|^2.\n",
    "\\tag{5}\n",
    "$$\n",
    "\n",
    "In the case of quantum parameterized circuits with sufficient expressiveness, the greater the probability of a certain bit string, the greater the probability that it corresponds to an optimal solution of the portfolio optimization problem.\n",
    "\n",
    "Paddle Quantum provides a function to read the probability distribution of the measurement results of the state output by the quantum circuit:"
   ],
   "metadata": {}
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "source": [
Q
Quleaf 已提交
426
    "# Repeat the simulated measurement of the circuit output state 2048 times\n",
Q
Quleaf 已提交
427 428
    "prob_measure = cir.measure(shots=2048)\n",
    "investment = max(prob_measure, key=prob_measure.get)\n",
Q
Quleaf 已提交
429
    "print(\"The bit string form of the solution: \", investment)"
Q
Quleaf 已提交
430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511
   ],
   "outputs": [
    {
     "output_type": "stream",
     "name": "stdout",
     "text": [
      "The bit string form of the solution:  0100110\n"
     ]
    }
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "The result of our measurement is a bit string that represents the solution to the portfolio optimization problem: $1$ appearing at the $i$th bit indicates that the $i$th asset was selected for investment. For example, the result `0100110` above would indicate that the second, fifth and sixth stocks were selected out of the seven available investments. The number of $1$s in the string should be the same as the budget $B$. If the result is not like this, users can also get better training results by adjusting the parameters or structure of parameterized quantum circuits."
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "### Conclusion\n",
    "\n",
    "In this tutorial, the optimal solution to the portfolio optimization is approximated through the Variational Quantum Eigensolver (VQE) based on the mean-variance approach. Given the budget, available assets and investment risks, the parameterized quantum circuits is applied to find the optimal portfolio by calculating the returns of investment projects and the covariance matrix between the returns of each investment project. "
   ],
   "metadata": {}
  },
  {
   "cell_type": "markdown",
   "source": [
    "_______\n",
    "\n",
    "## References\n",
    "\n",
    "[1] Orus, Roman, Samuel Mugel, and Enrique Lizaso. \"Quantum computing for finance: Overview and prospects.\" [Reviews in Physics 4 (2019): 100028.](https://arxiv.org/abs/1807.03890)\n",
    "\n",
    "[2] Egger, Daniel J., et al. \"Quantum computing for Finance: state of the art and future prospects.\" [IEEE Transactions on Quantum Engineering (2020).](https://arxiv.org/abs/2006.14510)\n",
    "\n",
    "[3] Markowitz, H.M. (March 1952). \"Portfolio Selection\". [The Journal of Finance. 7 (1): 77–91. doi:10.2307/2975974. JSTOR 2975974.](https://www.jstor.org/stable/2975974)"
   ],
   "metadata": {}
  }
 ],
 "metadata": {
  "interpreter": {
   "hash": "3b61f83e8397e1c9fcea57a3d9915794102e67724879b24295f8014f41a14d85"
  },
  "kernelspec": {
   "display_name": "Python 3",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.7.10"
  },
  "toc": {
   "base_numbering": 1,
   "nav_menu": {},
   "number_sections": true,
   "sideBar": true,
   "skip_h1_title": false,
   "title_cell": "Table of Contents",
   "title_sidebar": "Contents",
   "toc_cell": false,
   "toc_position": {},
   "toc_section_display": true,
   "toc_window_display": false
  }
 },
 "nbformat": 4,
 "nbformat_minor": 4
}