6 citations · 6 across the 1 of their papers we have counts for
2 papers
quant-ph2021★ 6 cited
Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing
H. Xu, S. Dasgupta, A. Pothen +1
Recent advances in quantum hardware offer new approaches to solve various optimization problems that can be computationally expensive when classical algorithms are employed. We pro…
q-fin.RM2019
Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset Allocation
Samudra Dasgupta, Arnab Banerjee
The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based ris…