Author: Martin Vesely
Organization: The Czech National Bank
Project number: P2/22
Project name: Finding Optimal Currency Composition of Foreign Exchange Reserves with a Quantum Computer\
This Python code is intended for Markowitz-like portfolio optimization with quantum annealer provided by D-Wave. The code has been developed as part of research project on application of quantum computers in finance (see above).
Main program is in file main.py. Procedures for actual optimization are saved in ptfOptim.py. As the optimization has to be formulated as QUBO for the annealer, continuous objective function has to be binarized. The binarization procedures are saved in quadProgramBinarization.py. Input data (i.e. returns, covariance matrices and transaction costs) are provided in file inputData.py. In this file, the data are saved as arrays which can be loaded with function also saved in this file. Files toArray.py and filesOperations.py are auxiliary ones intended for postprocessing of results and saving them into TXT files. File advancedSimAnneal.py implements a function for multiple runs of simulated annealing (SA implementation is however part of D-Wave libraries).
All functions and procedures in above mentioned files are commented for easy understanding of purpose of particular parts of the code.
For using the code, it is necessary to have an account at D-Wave.
To run the optimization, all files have to be saved in one directory.
All the codes were developed in the D-Wave Leap (TM) environment.