Sharpe Ratio

Grover Search for Portfolio Selection ArXiv ID: 2308.13063 “View on arXiv” Authors: Unknown Abstract We present explicit oracles designed to be used in Grover’s algorithm to match investor preferences. Specifically, the oracles select portfolios with returns and standard deviations exceeding and falling below certain thresholds, respectively. One potential use case for the oracles is selecting portfolios with the best Sharpe ratios. We have implemented these algorithms using quantum simulators. Keywords: Grover’s Algorithm, Portfolio Selection, Quantum Oracles, Sharpe Ratio, Quantum Computing ...

Machine Learning for Socially Responsible Portfolio Optimisation ArXiv ID: 2305.12364 “View on arXiv” Authors: Unknown Abstract Socially responsible investors build investment portfolios intending to incite social and environmental advancement alongside a financial return. Although Mean-Variance (MV) models successfully generate the highest possible return based on an investor’s risk tolerance, MV models do not make provisions for additional constraints relevant to socially responsible (SR) investors. In response to this problem, the MV model must consider Environmental, Social, and Governance (ESG) scores in optimisation. Based on the prominent MV model, this study implements portfolio optimisation for socially responsible investors. The amended MV model allows SR investors to enter markets with competitive SR portfolios despite facing a trade-off between their investment Sharpe Ratio and the average ESG score of the portfolio. ...