{"id":"https://openalex.org/W4353070810","doi":"https://doi.org/10.3390/e25030541","title":"Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing","display_name":"Dynamic Asset Allocation with Expected Shortfall via Quantum Annealing","publication_year":2023,"publication_date":"2023-03-21","ids":{"openalex":"https://openalex.org/W4353070810","doi":"https://doi.org/10.3390/e25030541","pmid":"https://pubmed.ncbi.nlm.nih.gov/36981429"},"language":"en","primary_location":{"id":"doi:10.3390/e25030541","is_oa":true,"landing_page_url":"https://doi.org/10.3390/e25030541","pdf_url":"https://www.mdpi.com/1099-4300/25/3/541/pdf?version=1679457600","source":{"id":"https://openalex.org/S195231649","display_name":"Entropy","issn_l":"1099-4300","issn":["1099-4300"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Entropy","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj","pubmed"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/1099-4300/25/3/541/pdf?version=1679457600","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044633067","display_name":"Hanjing Xu","orcid":"https://orcid.org/0000-0002-8118-0570"},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hanjing Xu","raw_affiliation_strings":["Department of Computer Science, Purdue University, West Lafayette, IN 47906, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, Purdue University, West Lafayette, IN 47906, USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5028309038","display_name":"Samudra Dasgupta","orcid":"https://orcid.org/0000-0002-7831-745X"},"institutions":[{"id":"https://openalex.org/I1289243028","display_name":"Oak Ridge National Laboratory","ror":"https://ror.org/01qz5mb56","country_code":"US","type":"facility","lineage":["https://openalex.org/I1289243028","https://openalex.org/I1330989302","https://openalex.org/I39565521","https://openalex.org/I4210159294"]},{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]},{"id":"https://openalex.org/I4210151696","display_name":"Quantum Science Center","ror":"https://ror.org/04q95ej23","country_code":"US","type":"facility","lineage":["https://openalex.org/I4210151696"]},{"id":"https://openalex.org/I75027704","display_name":"University of Tennessee at Knoxville","ror":"https://ror.org/020f3ap87","country_code":"US","type":"education","lineage":["https://openalex.org/I75027704"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Samudra Dasgupta","raw_affiliation_strings":["Bredesen Center, University of Tennessee, Knoxville, TN 37996, USA","Department of Physics, Purdue University, West Lafayette, IN 47906, USA","Oak Ridge National Laboratory, Quantum Computing Institute, Oak Ridge, TN 37831, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bredesen Center, University of Tennessee, Knoxville, TN 37996, USA","institution_ids":["https://openalex.org/I75027704"]},{"raw_affiliation_string":"Department of Physics, Purdue University, West Lafayette, IN 47906, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Oak Ridge National Laboratory, Quantum Computing Institute, Oak Ridge, TN 37831, USA","institution_ids":["https://openalex.org/I4210151696","https://openalex.org/I1289243028"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055182869","display_name":"Alex Pothen","orcid":"https://orcid.org/0000-0002-3421-3325"},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Alex Pothen","raw_affiliation_strings":["Department of Computer Science, Purdue University, West Lafayette, IN 47906, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, Purdue University, West Lafayette, IN 47906, USA","institution_ids":["https://openalex.org/I219193219"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5004807872","display_name":"Arnab Banerjee","orcid":"https://orcid.org/0000-0002-3088-6071"},"institutions":[{"id":"https://openalex.org/I1289243028","display_name":"Oak Ridge National Laboratory","ror":"https://ror.org/01qz5mb56","country_code":"US","type":"facility","lineage":["https://openalex.org/I1289243028","https://openalex.org/I1330989302","https://openalex.org/I39565521","https://openalex.org/I4210159294"]},{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]},{"id":"https://openalex.org/I4210151696","display_name":"Quantum Science Center","ror":"https://ror.org/04q95ej23","country_code":"US","type":"facility","lineage":["https://openalex.org/I4210151696"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Arnab Banerjee","raw_affiliation_strings":["Department of Physics, Purdue University, West Lafayette, IN 47906, USA","Oak Ridge National Laboratory, Quantum Computing Institute, Oak Ridge, TN 37831, USA"],"raw_orcid":"https://orcid.org/0000-0002-3088-6071","affiliations":[{"raw_affiliation_string":"Department of Physics, Purdue University, West Lafayette, IN 47906, USA","institution_ids":["https://openalex.org/I219193219"]},{"raw_affiliation_string":"Oak Ridge National Laboratory, Quantum Computing Institute, Oak Ridge, TN 37831, USA","institution_ids":["https://openalex.org/I4210151696","https://openalex.org/I1289243028"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5004807872"],"corresponding_institution_ids":["https://openalex.org/I1289243028","https://openalex.org/I219193219","https://openalex.org/I4210151696"],"apc_list":{"value":2000,"currency":"CHF","value_usd":2165},"apc_paid":{"value":2000,"currency":"CHF","value_usd":2165},"fwci":0.8284,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.77285588,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"25","issue":"3","first_page":"541","last_page":"541"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10682","display_name":"Quantum Computing Algorithms and Architecture","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10682","display_name":"Quantum Computing Algorithms and Architecture","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10020","display_name":"Quantum Information and Cryptography","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10382","display_name":"Quantum and electron transport phenomena","score":0.9096999764442444,"subfield":{"id":"https://openalex.org/subfields/3107","display_name":"Atomic and Molecular Physics, and Optics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.5291705131530762},{"id":"https://openalex.org/keywords/quantum-annealing","display_name":"Quantum annealing","score":0.45707637071609497},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.434344619512558},{"id":"https://openalex.org/keywords/simulated-annealing","display_name":"Simulated annealing","score":0.41095343232154846},{"id":"https://openalex.org/keywords/quantum","display_name":"Quantum","score":0.39182448387145996},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3599321246147156},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.33080023527145386},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24360007047653198},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.22226890921592712},{"id":"https://openalex.org/keywords/quantum-computer","display_name":"Quantum computer","score":0.17561426758766174},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.15064898133277893},{"id":"https://openalex.org/keywords/quantum-mechanics","display_name":"Quantum mechanics","score":0.14832711219787598},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.14484155178070068}],"concepts":[{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5291705131530762},{"id":"https://openalex.org/C90408235","wikidata":"https://www.wikidata.org/wiki/Q938141","display_name":"Quantum annealing","level":4,"score":0.45707637071609497},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.434344619512558},{"id":"https://openalex.org/C126980161","wikidata":"https://www.wikidata.org/wiki/Q863783","display_name":"Simulated annealing","level":2,"score":0.41095343232154846},{"id":"https://openalex.org/C84114770","wikidata":"https://www.wikidata.org/wiki/Q46344","display_name":"Quantum","level":2,"score":0.39182448387145996},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3599321246147156},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.33080023527145386},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24360007047653198},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.22226890921592712},{"id":"https://openalex.org/C58053490","wikidata":"https://www.wikidata.org/wiki/Q176555","display_name":"Quantum computer","level":3,"score":0.17561426758766174},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.15064898133277893},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.14832711219787598},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.14484155178070068},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.3390/e25030541","is_oa":true,"landing_page_url":"https://doi.org/10.3390/e25030541","pdf_url":"https://www.mdpi.com/1099-4300/25/3/541/pdf?version=1679457600","source":{"id":"https://openalex.org/S195231649","display_name":"Entropy","issn_l":"1099-4300","issn":["1099-4300"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Entropy","raw_type":"journal-article"},{"id":"pmid:36981429","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/36981429","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Entropy (Basel, Switzerland)","raw_type":null},{"id":"pmh:oai:pubmedcentral.nih.gov:10047987","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/10047987","pdf_url":"https://pmc.ncbi.nlm.nih.gov/articles/PMC10047987/pdf/entropy-25-00541.pdf","source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Entropy (Basel)","raw_type":"Text"},{"id":"pmh:oai:doaj.org/article:02ca452b798f493caadbe77dad0b86f8","is_oa":true,"landing_page_url":"https://doaj.org/article/02ca452b798f493caadbe77dad0b86f8","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Entropy, Vol 25, Iss 3, p 541 (2023)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/1099-4300/25/3/541/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/e25030541","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Entropy; Volume 25; Issue 3; Pages: 541","raw_type":"Text"},{"id":"pmh:oai:osti.gov:2471374","is_oa":true,"landing_page_url":"https://www.osti.gov/biblio/2471374","pdf_url":null,"source":{"id":"https://openalex.org/S4306402487","display_name":"OSTI OAI (U.S. Department of Energy Office of Scientific and Technical Information)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I139351228","host_organization_name":"Office of Scientific and Technical Information","host_organization_lineage":["https://openalex.org/I139351228"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":{"id":"doi:10.3390/e25030541","is_oa":true,"landing_page_url":"https://doi.org/10.3390/e25030541","pdf_url":"https://www.mdpi.com/1099-4300/25/3/541/pdf?version=1679457600","source":{"id":"https://openalex.org/S195231649","display_name":"Entropy","issn_l":"1099-4300","issn":["1099-4300"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Entropy","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320309036","display_name":"Purdue University","ror":"https://ror.org/02dqehb95"},{"id":"https://openalex.org/F4320338287","display_name":"Oak Ridge National Laboratory","ror":"https://ror.org/01qz5mb56"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4353070810.pdf"},"referenced_works_count":54,"referenced_works":["https://openalex.org/W111380827","https://openalex.org/W248898573","https://openalex.org/W650854417","https://openalex.org/W1482298744","https://openalex.org/W1516760870","https://openalex.org/W1553502100","https://openalex.org/W1998174418","https://openalex.org/W2003291739","https://openalex.org/W2007473024","https://openalex.org/W2013520638","https://openalex.org/W2016980223","https://openalex.org/W2024060531","https://openalex.org/W2031494345","https://openalex.org/W2031828766","https://openalex.org/W2039122980","https://openalex.org/W2056760934","https://openalex.org/W2067612530","https://openalex.org/W2076112183","https://openalex.org/W2087830284","https://openalex.org/W2112426182","https://openalex.org/W2165129372","https://openalex.org/W2290452516","https://openalex.org/W2564229214","https://openalex.org/W2753618180","https://openalex.org/W2754868542","https://openalex.org/W2792255093","https://openalex.org/W2897628955","https://openalex.org/W2963073045","https://openalex.org/W2964132581","https://openalex.org/W2964323614","https://openalex.org/W2969640082","https://openalex.org/W2972088227","https://openalex.org/W2981878202","https://openalex.org/W2990475267","https://openalex.org/W2991210449","https://openalex.org/W2999185184","https://openalex.org/W3028662852","https://openalex.org/W3040309518","https://openalex.org/W3098268180","https://openalex.org/W3099327692","https://openalex.org/W3101633784","https://openalex.org/W3106475197","https://openalex.org/W3119994783","https://openalex.org/W3173351158","https://openalex.org/W4293103067","https://openalex.org/W4297825594","https://openalex.org/W4312191506","https://openalex.org/W4323345656","https://openalex.org/W4353070810","https://openalex.org/W4366365204","https://openalex.org/W6604526502","https://openalex.org/W6633207751","https://openalex.org/W6696497002","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W4385585333","https://openalex.org/W3208261700","https://openalex.org/W2606103374","https://openalex.org/W4379933616","https://openalex.org/W3165476442","https://openalex.org/W4304092472","https://openalex.org/W2810672418","https://openalex.org/W4386982579","https://openalex.org/W4310832015","https://openalex.org/W2963447708"],"abstract_inverted_index":{"Recent":[0],"advances":[1],"in":[2,62,169],"quantum":[3,117,124,167],"hardware":[4],"offer":[5],"new":[6],"approaches":[7],"to":[8,29,74,128,158,164],"solve":[9,30],"various":[10],"optimization":[11,66,82],"problems":[12],"that":[13,54,150],"can":[14],"be":[15],"computationally":[16],"expensive":[17],"when":[18],"classical":[19,140],"algorithms":[20],"are":[21,47,126],"employed.":[22],"We":[23,49,108,148],"propose":[24,50],"a":[25,31,37,41,60,63,86],"hybrid":[26],"quantum-classical":[27],"algorithm":[28,53],"dynamic":[32],"asset":[33],"allocation":[34],"problem":[35],"where":[36],"target":[38,42,57,72],"return":[39,58,73,137],"and":[40,68,115],"risk":[43,99],"metric":[44,100],"(expected":[45],"shortfall)":[46],"specified.":[48],"an":[51],"iterative":[52],"treats":[55],"the":[56,71,76,96,102,110,136,139,145,170],"as":[59,85],"constraint":[61],"Markowitz":[64,81],"portfolio":[65],"model,":[67],"dynamically":[69],"adjusts":[70],"satisfy":[75],"targeted":[77],"expected":[78,97,146],"shortfall.":[79,147],"The":[80,93],"is":[83],"formulated":[84],"Quadratic":[87],"Unconstrained":[88],"Binary":[89],"Optimization":[90],"(QUBO)":[91],"problem.":[92],"use":[94],"of":[95,104,135,138],"shortfall":[98],"enables":[101],"modeling":[103],"extreme":[105],"market":[106],"events.":[107],"compare":[109],"results":[111],"from":[112],"D-Wave's":[113],"2000Q":[114],"Advantage":[116],"annealers":[118,125],"using":[119],"real-world":[120],"financial":[121],"data.":[122],"Both":[123],"able":[127],"generate":[129],"portfolios":[130],"with":[131,154],"more":[132],"than":[133],"80%":[134],"optimal":[141],"solutions,":[142],"while":[143],"satisfying":[144],"observe":[149],"experiments":[151],"on":[152],"assets":[153],"higher":[155],"correlations":[156],"tend":[157],"perform":[159],"better,":[160],"which":[161],"may":[162],"help":[163],"design":[165],"practical":[166],"applications":[168],"near":[171],"term.":[172]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}