Non-Convex Portfolio Optimization via Energy-Based Models: A Comparative Analysis Using the Thermodynamic HypergRaphical Model Library (THRML) for Index Tracking

Javier Mancilla, Theodoros D. Bouloumis, Frederic Goguikian

Portfolio optimization under cardinality constraints transforms the classical Markowitz mean-variance problem from a convex quadratic problem into an NP-hard combinatorial optimiza…