most citedDynamic Asset Allocation with Expected Shortfall via Quantum Annealing

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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…